RUSE USD[Strategy] vs [Benchmark] RTSTR USD

14 May, 2019 - 14 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	37.0%	100.0%
Cumulative Return	-14.24%	47.71%
CAGR﹪	-2.27%	6.02%
Sharpe	0.07	0.16
Prob. Sharpe Ratio	0.96%	2.98%
Smart Sharpe	0.05	0.11
Sortino	0.1	0.22
Smart Sortino	0.07	0.15
Sortino/√2	0.07	0.15
Smart Sortino/√2	0.05	0.1
Omega	1.02	1.02
Max Drawdown	-59.82%	-60.7%
Longest DD Days	1651	1541
Volatility (ann.)	49.95%	35.5%
R^2	0.07	0.07
Information Ratio	-0.0	-0.0
Calmar	-0.04	0.1
Skew	0.55	-2.76
Kurtosis	32.96	72.04
Expected Daily	-0.01%	0.02%
Expected Monthly	-0.19%	0.48%
Expected Yearly	-1.9%	5.0%
Kelly Criterion	-3.66%	-11.37%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.13%	-3.63%
Expected Shortfall (cVaR)	-5.13%	-3.63%
Max Consecutive Wins	6	11
Max Consecutive Losses	8	11
Gain/Pain Ratio	0.08	0.08
Gain/Pain (1M)	0.53	0.36
Payoff Ratio	0.94	0.69
Profit Factor	1.08	1.08
Common Sense Ratio	1.16	1.1
CPC Index	0.5	0.41
Tail Ratio	1.08	1.02
Outlier Win Ratio	13.01	7.1
Outlier Loss Ratio	2.71	5.51
MTD	0.0%	-1.11%
3M	0.0%	10.13%
6M	0.0%	6.73%
YTD	0.0%	-1.11%
1Y	0.0%	33.83%
3Y (ann.)	0.0%	12.92%
5Y (ann.)	-7.09%	1.97%
10Y (ann.)	-2.27%	6.02%
All-time (ann.)	-2.27%	6.02%
Best Day	39.33%	26.12%
Worst Day	-27.47%	-39.44%
Best Month	35.14%	20.7%
Worst Month	-31.49%	-34.72%
Best Year	27.85%	33.8%
Worst Year	-37.76%	-32.91%
Avg. Drawdown	-11.89%	-5.38%
Avg. Drawdown Days	159	72
Recovery Factor	-0.24	0.79
Ulcer Index	0.48	0.28
Serenity Index	-0.02	0.07
Avg. Up Month	8.17%	6.36%
Avg. Down Month	-12.05%	-11.37%
Win Days	49.75%	54.55%
Win Month	61.76%	64.2%
Win Quarter	50.0%	60.71%
Win Year	50.0%	50.0%
Beta	0.37	-
Alpha	0.06	-
Correlation	26.38%	-
Treynor Ratio	-57.22%	-