RCHY RUB[Strategy] vs RCUS RUB[Benchmark]

28 Sep, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	98.0%
Cumulative Return	14.36%	-3.49%
CAGR﹪	7.18%	-1.82%
Sharpe	0.15	0.01
Prob. Sharpe Ratio	21.49%	11.9%
Smart Sharpe	0.11	0.01
Sortino	0.21	0.01
Smart Sortino	0.16	0.01
Sortino/√2	0.15	0.01
Smart Sortino/√2	0.11	0.01
Omega	1.05	1.05
Max Drawdown	-20.51%	-43.59%
Longest DD Days	149	526
Volatility (ann.)	19.51%	40.37%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.35	-0.04
Skew	-0.22	-6.14
Kurtosis	102.58	81.7
Expected Daily	0.03%	-0.01%
Expected Monthly	0.59%	-0.15%
Expected Yearly	4.57%	-1.18%
Kelly Criterion	23.32%	16.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.98%	-4.15%
Expected Shortfall (cVaR)	-1.98%	-4.15%
Max Consecutive Wins	13	8
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.18	0.04
Gain/Pain (1M)	1.5	0.16
Payoff Ratio	1.48	1.14
Profit Factor	1.18	1.04
Common Sense Ratio	1.19	0.93
CPC Index	0.95	0.66
Tail Ratio	1.01	0.89
Outlier Win Ratio	8.64	2.88
Outlier Loss Ratio	8.82	2.76
MTD	0.04%	-6.16%
3M	2.16%	-6.67%
6M	2.84%	3.17%
YTD	4.41%	18.32%
1Y	9.03%	28.79%
3Y (ann.)	7.18%	-1.82%
5Y (ann.)	7.18%	-1.82%
10Y (ann.)	7.18%	-1.82%
All-time (ann.)	7.18%	-1.82%
Best Day	14.94%	7.08%
Worst Day	-15.05%	-34.8%
Best Month	5.32%	22.67%
Worst Month	-6.34%	-30.05%
Best Year	9.3%	18.32%
Worst Year	0.21%	-27.63%
Avg. Drawdown	-1.18%	-7.87%
Avg. Drawdown Days	11	61
Recovery Factor	0.7	-0.08
Ulcer Index	0.02	0.23
Serenity Index	1.44	-0.03
Avg. Up Month	1.43%	6.86%
Avg. Down Month	-1.68%	-7.16%
Win Days	54.27%	55.21%
Win Month	69.57%	65.22%
Win Quarter	77.78%	55.56%
Win Year	100.0%	66.67%
Beta	-0.03	-
Alpha	0.1	-
Correlation	-5.74%	-
Treynor Ratio	-265.1%	-