RCGL[Strategy] vs RUB Inflation[Benchmark]

30 Aug, 2022 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	106.47%	11.12%
CAGR﹪	55.09%	6.59%
Sharpe	2.32	21.19
Prob. Sharpe Ratio	99.83%	99.96%
Smart Sharpe	2.18	19.85
Sortino	3.58	31.49
Smart Sortino	3.35	29.5
Sortino/√2	2.53	22.27
Smart Sortino/√2	2.37	20.86
Omega	1.48	1.48
Max Drawdown	-10.09%	-0.26%
Longest DD Days	204	63
Volatility (ann.)	19.69%	0.3%
R^2	0.0	0.0
Information Ratio	0.13	0.13
Calmar	5.46	25.31
Skew	-0.21	-8.2
Kurtosis	1.71	123.4
Expected Daily	0.17%	0.03%
Expected Monthly	3.51%	0.5%
Expected Yearly	27.34%	3.58%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.86%	-0.01%
Expected Shortfall (cVaR)	-1.86%	-0.01%
Max Consecutive Wins	10	415
Max Consecutive Losses	5	1
Gain/Pain Ratio	0.48	40.51
Gain/Pain (1M)	14.08	40.51
Payoff Ratio	-	-
Profit Factor	1.48	41.51
Common Sense Ratio	1.72	875.16
CPC Index	-	-
Tail Ratio	1.16	21.08
Outlier Win Ratio	1.63	58.94
Outlier Loss Ratio	1.62	5.87
MTD	3.34%	0.35%
3M	21.7%	1.68%
6M	18.03%	4.43%
YTD	17.23%	2.3%
1Y	31.33%	7.77%
3Y (ann.)	55.09%	6.59%
5Y (ann.)	55.09%	6.59%
10Y (ann.)	55.09%	6.59%
All-time (ann.)	55.09%	6.59%
Best Day	5.06%	0.05%
Worst Day	-5.0%	-0.26%
Best Month	17.22%	1.11%
Worst Month	-1.9%	-0.26%
Best Year	44.49%	7.42%
Worst Year	17.23%	1.12%
Avg. Drawdown	-2.28%	-0.26%
Avg. Drawdown Days	14	63
Recovery Factor	10.55	42.71
Ulcer Index	0.04	0.0
Serenity Index	5.6	30.69
Avg. Up Month	5.46%	0.46%
Avg. Down Month	-	-
Win Days	58.92%	99.76%
Win Month	75.0%	95.24%
Win Quarter	100.0%	87.5%
Win Year	100.0%	100.0%
Beta	-0.95	-
Alpha	0.52	-
Correlation	-1.44%	-
Treynor Ratio	-112.61%	-