RUSE[Strategy] vs RUB Inflation[Benchmark]

17 Apr, 2018 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	26.17%	23.79%
CAGR﹪	6.2%	5.68%
Sharpe	0.36	21.2
Prob. Sharpe Ratio	75.77%	100.0%
Smart Sharpe	0.34	20.15
Sortino	0.48	168.31
Smart Sortino	0.45	159.91
Sortino/√2	0.34	119.01
Smart Sortino/√2	0.32	113.07
Omega	1.08	1.08
Max Drawdown	-52.75%	-0.4%
Longest DD Days	309	120
Volatility (ann.)	26.45%	0.26%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.12	14.21
Skew	-1.39	0.28
Kurtosis	21.0	-0.26
Expected Daily	0.02%	0.02%
Expected Monthly	0.5%	0.46%
Expected Yearly	4.76%	4.36%
Kelly Criterion	23.92%	89.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-0.01%
Expected Shortfall (cVaR)	-2.7%	-0.01%
Max Consecutive Wins	11	357
Max Consecutive Losses	7	43
Gain/Pain Ratio	0.08	41.82
Gain/Pain (1M)	0.4	41.82
Payoff Ratio	1.57	4.0
Profit Factor	1.08	42.82
Common Sense Ratio	0.97	676.1
CPC Index	0.91	156.28
Tail Ratio	0.9	15.79
Outlier Win Ratio	2.22	86.2
Outlier Loss Ratio	2.78	490.99
MTD	-26.35%	1.17%
3M	-34.28%	3.2%
6M	-34.6%	5.82%
YTD	-28.89%	2.17%
1Y	-21.36%	9.24%
3Y (ann.)	3.45%	5.74%
5Y (ann.)	6.2%	5.68%
10Y (ann.)	6.2%	5.68%
All-time (ann.)	6.2%	5.68%
Best Day	10.19%	0.06%
Worst Day	-15.17%	-0.01%
Best Month	21.99%	1.17%
Worst Month	-26.35%	-0.24%
Best Year	27.98%	8.39%
Worst Year	-28.89%	2.17%
Avg. Drawdown	-3.66%	-0.25%
Avg. Drawdown Days	26	93
Recovery Factor	0.5	59.53
Ulcer Index	0.13	0.0
Serenity Index	0.13	34.72
Avg. Up Month	4.35%	0.46%
Avg. Down Month	-0.97%	-0.16%
Win Days	53.54%	91.2%
Win Month	65.96%	91.49%
Win Quarter	68.75%	93.75%
Win Year	80.0%	100.0%
Beta	-3.13	-
Alpha	0.27	-
Correlation	-3.07%	-
Treynor Ratio	-8.35%	-