RSHU[Strategy] vs RUB Inflation[Benchmark]

19 Oct, 2023 - 3 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	12.6%	15.78%
CAGR﹪	8.48%	10.57%
Sharpe	0.48	36.64
Prob. Sharpe Ratio	72.24%	-
Smart Sharpe	0.48	36.24
Sortino	0.76	-
Smart Sortino	0.75	-
Sortino/√2	0.54	-
Smart Sortino/√2	0.53	-
Omega	1.1	1.1
Max Drawdown	-14.69%	-
Longest DD Days	-	-
Volatility (ann.)	21.45%	0.27%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.58	-
Skew	0.72	0.54
Kurtosis	2.86	0.56
Expected Daily	0.03%	0.04%
Expected Monthly	0.63%	0.77%
Expected Yearly	4.04%	5.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.18%	-0.01%
Expected Shortfall (cVaR)	-2.18%	-0.01%
Max Consecutive Wins	7	371
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.61	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.33	-
CPC Index	-	-
Tail Ratio	1.22	7.45
Outlier Win Ratio	2.25	54.84
Outlier Loss Ratio	1.97	-
MTD	-1.36%	0.12%
3M	-10.69%	3.04%
6M	14.18%	6.62%
YTD	-10.69%	3.04%
1Y	7.86%	10.65%
3Y (ann.)	8.48%	10.57%
5Y (ann.)	8.48%	10.57%
10Y (ann.)	8.48%	10.57%
All-time (ann.)	8.48%	10.57%
Best Day	5.69%	0.09%
Worst Day	-3.97%	0.0%
Best Month	18.88%	1.43%
Worst Month	-6.28%	0.12%
Best Year	25.52%	9.51%
Worst Year	-10.69%	2.6%
Avg. Drawdown	-3.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.86	-
Ulcer Index	0.05	0.0
Serenity Index	0.38	-
Avg. Up Month	4.49%	0.87%
Avg. Down Month	-	-
Win Days	48.78%	100.0%
Win Month	47.37%	100.0%
Win Quarter	57.14%	100.0%
Win Year	66.67%	100.0%
Beta	4.81	-
Alpha	-0.37	-
Correlation	6.07%	-
Treynor Ratio	2.62%	-