RCGL[Strategy] vs RUB Inflation[Benchmark]

30 Aug, 2022 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	135.52%	15.75%
CAGR﹪	50.65%	7.25%
Sharpe	2.19	12.11
Prob. Sharpe Ratio	99.92%	99.85%
Smart Sharpe	2.1	11.57
Sortino	3.39	38.76
Smart Sortino	3.24	37.02
Sortino/√2	2.4	27.4
Smart Sortino/√2	2.29	26.17
Omega	1.44	1.44
Max Drawdown	-12.41%	-0.26%
Longest DD Days	204	63
Volatility (ann.)	19.44%	0.57%
R^2	0.0	0.0
Information Ratio	0.12	0.12
Calmar	4.08	27.84
Skew	-0.14	14.13
Kurtosis	1.45	308.22
Expected Daily	0.16%	0.03%
Expected Monthly	3.22%	0.54%
Expected Yearly	33.05%	5.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-0.03%
Expected Shortfall (cVaR)	-1.85%	-0.03%
Max Consecutive Wins	10	528
Max Consecutive Losses	5	1
Gain/Pain Ratio	0.44	56.2
Gain/Pain (1M)	10.03	56.2
Payoff Ratio	-	-
Profit Factor	1.44	57.2
Common Sense Ratio	1.67	310.49
CPC Index	-	-
Tail Ratio	1.16	5.43
Outlier Win Ratio	1.68	55.58
Outlier Loss Ratio	1.54	5.59
MTD	1.2%	0.75%
3M	21.38%	2.59%
6M	17.88%	4.53%
YTD	33.73%	6.56%
1Y	35.1%	9.43%
3Y (ann.)	50.65%	7.25%
5Y (ann.)	50.65%	7.25%
10Y (ann.)	50.65%	7.25%
All-time (ann.)	50.65%	7.25%
Best Day	5.06%	0.75%
Worst Day	-5.0%	-0.26%
Best Month	17.22%	1.14%
Worst Month	-2.65%	-0.26%
Best Year	44.49%	7.42%
Worst Year	21.89%	1.12%
Avg. Drawdown	-2.49%	-0.26%
Avg. Drawdown Days	17	63
Recovery Factor	10.92	60.5
Ulcer Index	0.04	0.0
Serenity Index	4.92	106.6
Avg. Up Month	5.24%	0.5%
Avg. Down Month	-	-
Win Days	58.54%	99.81%
Win Month	73.08%	96.3%
Win Quarter	90.0%	90.0%
Win Year	100.0%	100.0%
Beta	0.65	-
Alpha	0.38	-
Correlation	1.92%	-
Treynor Ratio	208.36%	-