PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 18 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	6.0%	3.42%
CAGR﹪	15.93%	8.89%
Sharpe	16.86	18.9
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	12.1	13.56
Sortino	74.14	-
Smart Sortino	53.19	-
Sortino/√2	52.42	-
Smart Sortino/√2	37.61	-
Omega	20.73	20.73
Max Drawdown	-0.07%	-
Longest DD Days	-	-
Volatility (ann.)	0.84%	0.43%
R^2	0.02	0.02
Information Ratio	0.38	0.38
Calmar	229.28	-
Skew	0.44	2.92
Kurtosis	0.48	10.48
Expected Daily	0.06%	0.03%
Expected Monthly	0.98%	0.56%
Expected Yearly	6.0%	3.42%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.01%
Expected Shortfall (cVaR)	-0.03%	-0.01%
Max Consecutive Wins	24	103
Max Consecutive Losses	1	0
Gain/Pain Ratio	19.73	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	20.73	-
Common Sense Ratio	114.74	-
CPC Index	-	-
Tail Ratio	5.54	5.43
Outlier Win Ratio	2.51	4.92
Outlier Loss Ratio	0.58	-
MTD	0.94%	0.32%
3M	4.38%	1.5%
6M	6.0%	3.42%
YTD	6.0%	3.42%
1Y	6.0%	3.42%
3Y (ann.)	15.93%	8.89%
5Y (ann.)	15.93%	8.89%
10Y (ann.)	15.93%	8.89%
All-time (ann.)	15.93%	8.89%
Best Day	0.22%	0.15%
Worst Day	-0.07%	0.0%
Best Month	1.42%	1.14%
Worst Month	0.1%	0.2%
Best Year	6.0%	3.42%
Worst Year	6.0%	3.42%
Avg. Drawdown	-0.04%	-
Avg. Drawdown Days	-	-
Recovery Factor	86.43	-
Ulcer Index	0.0	0.0
Serenity Index	1176.88	-
Avg. Up Month	0.98%	0.56%
Avg. Down Month	-	-
Win Days	92.71%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.3	-
Alpha	0.17	-
Correlation	-15.44%	-
Treynor Ratio	-19.98%	-