RCHY RUB[Strategy] vs BCSD RUB[Benchmark]

30 Jul, 2024 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	98.0%
Cumulative Return	-1.13%	2.76%
CAGR﹪	-6.35%	17.06%
Sharpe	-1.82	12.57
Prob. Sharpe Ratio	20.59%	-
Smart Sharpe	-1.26	8.7
Sortino	-2.46	118.02
Smart Sortino	-1.7	81.66
Sortino/√2	-1.74	83.45
Smart Sortino/√2	-1.2	57.75
Omega	0.68	0.68
Max Drawdown	-2.78%	-
Longest DD Days	-	-
Volatility (ann.)	6.99%	0.65%
R^2	0.0	0.0
Information Ratio	-0.19	-0.19
Calmar	-2.28	-
Skew	0.31	1.26
Kurtosis	9.83	0.42
Expected Daily	-0.02%	0.06%
Expected Monthly	-0.28%	0.68%
Expected Yearly	-1.13%	2.76%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.75%	-0.01%
Expected Shortfall (cVaR)	-0.75%	-0.01%
Max Consecutive Wins	4	45
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.17	-
Gain/Pain (1M)	-0.67	-
Payoff Ratio	-	-
Profit Factor	0.83	-
Common Sense Ratio	0.56	-
CPC Index	-	-
Tail Ratio	0.67	6.99
Outlier Win Ratio	3.1	11.83
Outlier Loss Ratio	2.14	-
MTD	-0.77%	0.05%
3M	-1.13%	2.76%
6M	-1.13%	2.76%
YTD	-1.13%	2.76%
1Y	-1.13%	2.76%
3Y (ann.)	-6.35%	17.06%
5Y (ann.)	-6.35%	17.06%
10Y (ann.)	-6.35%	17.06%
All-time (ann.)	-6.35%	17.06%
Best Day	1.8%	0.16%
Worst Day	-1.69%	0.0%
Best Month	0.4%	1.36%
Worst Month	-0.88%	0.03%
Best Year	-1.13%	2.76%
Worst Year	-1.13%	2.76%
Avg. Drawdown	-1.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.4	-
Ulcer Index	0.01	0.0
Serenity Index	-1.9	-
Avg. Up Month	0.26%	0.66%
Avg. Down Month	-	-
Win Days	47.62%	100.0%
Win Month	50.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.58	-
Alpha	0.03	-
Correlation	-5.33%	-
Treynor Ratio	14.1%	-