RCHY[Strategy] vs RUB Inflation[Benchmark]

28 Jul, 2021 - 8 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	24.09%	19.01%
CAGR﹪	8.07%	6.46%
Sharpe	0.55	17.38
Prob. Sharpe Ratio	81.3%	100.0%
Smart Sharpe	0.37	11.71
Sortino	0.79	67.25
Smart Sortino	0.53	45.32
Sortino/√2	0.56	47.55
Smart Sortino/√2	0.38	32.05
Omega	1.18	1.18
Max Drawdown	-20.51%	-1.25%
Longest DD Days	149	209
Volatility (ann.)	17.24%	0.37%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.39	5.15
Skew	-0.14	0.27
Kurtosis	108.53	1.13
Expected Daily	0.03%	0.03%
Expected Monthly	0.64%	0.51%
Expected Yearly	5.54%	4.45%
Kelly Criterion	-17.75%	84.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.75%	-0.01%
Expected Shortfall (cVaR)	-1.75%	-0.01%
Max Consecutive Wins	13	429
Max Consecutive Losses	5	65
Gain/Pain Ratio	0.18	13.79
Gain/Pain (1M)	2.24	13.79
Payoff Ratio	0.62	1.55
Profit Factor	1.18	14.79
Common Sense Ratio	1.34	51.37
CPC Index	0.4	20.76
Tail Ratio	1.14	3.47
Outlier Win Ratio	2.54	35.02
Outlier Loss Ratio	2.22	57.21
MTD	0.2%	0.1%
3M	3.65%	1.45%
6M	6.43%	4.13%
YTD	4.74%	2.5%
1Y	9.56%	7.81%
3Y (ann.)	8.07%	6.46%
5Y (ann.)	8.07%	6.46%
10Y (ann.)	8.07%	6.46%
All-time (ann.)	8.07%	6.46%
Best Day	14.94%	0.1%
Worst Day	-15.05%	-0.02%
Best Month	5.32%	1.56%
Worst Month	-6.34%	-0.52%
Best Year	9.3%	7.42%
Worst Year	0.9%	2.5%
Avg. Drawdown	-0.99%	-1.25%
Avg. Drawdown Days	10	209
Recovery Factor	1.17	15.15
Ulcer Index	0.02	0.0
Serenity Index	3.3	1.46
Avg. Up Month	1.21%	0.56%
Avg. Down Month	-	-
Win Days	55.04%	90.38%
Win Month	76.47%	91.18%
Win Quarter	91.67%	91.67%
Win Year	100.0%	100.0%
Beta	-0.78	-
Alpha	0.15	-
Correlation	-1.7%	-
Treynor Ratio	-30.73%	-