RCUS[Strategy] vs RUB Inflation[Benchmark]

23 Sep, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-5.32%	10.8%
CAGR﹪	-2.77%	5.4%
Sharpe	0.15	10.1
Prob. Sharpe Ratio	57.61%	100.0%
Smart Sharpe	0.15	10.05
Sortino	0.18	49.38
Smart Sortino	0.18	49.14
Sortino/√2	0.13	34.92
Smart Sortino/√2	0.12	34.75
Omega	1.03	1.03
Max Drawdown	-43.59%	-1.25%
Longest DD Days	526	209
Volatility (ann.)	40.24%	0.59%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	-0.06	4.31
Skew	-6.15	6.29
Kurtosis	82.11	68.46
Expected Daily	-0.01%	0.02%
Expected Monthly	-0.24%	0.45%
Expected Yearly	-1.81%	3.48%
Kelly Criterion	-16.07%	75.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.15%	-0.04%
Expected Shortfall (cVaR)	-4.15%	-0.04%
Max Consecutive Wins	8	256
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.03	8.12
Gain/Pain (1M)	0.13	8.12
Payoff Ratio	0.64	1.53
Profit Factor	1.03	9.12
Common Sense Ratio	0.92	26.02
CPC Index	0.36	11.88
Tail Ratio	0.89	2.85
Outlier Win Ratio	2.12	88.06
Outlier Loss Ratio	2.15	175.02
MTD	-6.16%	0.87%
3M	-6.67%	2.13%
6M	3.17%	3.2%
YTD	18.32%	4.6%
1Y	28.79%	6.04%
3Y (ann.)	-2.77%	5.4%
5Y (ann.)	-2.77%	5.4%
10Y (ann.)	-2.77%	5.4%
All-time (ann.)	-2.77%	5.4%
Best Day	7.08%	0.43%
Worst Day	-34.8%	-0.02%
Best Month	22.67%	1.17%
Worst Month	-30.05%	-0.52%
Best Year	18.32%	4.6%
Worst Year	-27.63%	2.41%
Avg. Drawdown	-8.7%	-1.25%
Avg. Drawdown Days	68	209
Recovery Factor	-0.12	8.6
Ulcer Index	0.23	0.0
Serenity Index	-0.01	0.83
Avg. Up Month	4.83%	0.62%
Avg. Down Month	-11.17%	-0.44%
Win Days	54.82%	85.06%
Win Month	65.22%	86.96%
Win Quarter	55.56%	77.78%
Win Year	66.67%	100.0%
Beta	-3.12	-
Alpha	0.25	-
Correlation	-4.55%	-
Treynor Ratio	1.7%	-