SBCB[Strategy] vs RUB Inflation[Benchmark]

8 Feb, 2019 - 20 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	50.4%	31.58%
CAGR﹪	7.1%	4.72%
Sharpe	0.53	22.75
Prob. Sharpe Ratio	86.99%	-
Smart Sharpe	0.51	21.59
Sortino	0.86	208.96
Smart Sortino	0.82	198.29
Sortino/√2	0.61	147.76
Smart Sortino/√2	0.58	140.22
Omega	1.15	1.15
Max Drawdown	-26.1%	-0.4%
Longest DD Days	1254	120
Volatility (ann.)	23.41%	0.29%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.27	11.8
Skew	2.8	0.23
Kurtosis	104.69	-0.34
Expected Daily	0.04%	0.03%
Expected Monthly	0.8%	0.54%
Expected Yearly	6.0%	4.0%
Kelly Criterion	15.48%	90.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.38%	-0.0%
Expected Shortfall (cVaR)	-2.38%	-0.0%
Max Consecutive Wins	8	636
Max Consecutive Losses	7	43
Gain/Pain Ratio	0.15	53.77
Gain/Pain (1M)	0.92	53.77
Payoff Ratio	1.46	5.67
Profit Factor	1.15	54.77
Common Sense Ratio	1.23	1026.02
CPC Index	0.83	285.02
Tail Ratio	1.07	18.73
Outlier Win Ratio	2.47	65.59
Outlier Loss Ratio	2.22	257.07
MTD	-3.3%	0.66%
3M	14.98%	3.75%
6M	16.71%	5.35%
YTD	-3.3%	0.66%
1Y	20.39%	9.65%
3Y (ann.)	6.11%	3.75%
5Y (ann.)	7.21%	5.18%
10Y (ann.)	7.1%	4.72%
All-time (ann.)	7.1%	4.72%
Best Day	24.17%	0.07%
Worst Day	-19.56%	-0.01%
Best Month	23.84%	1.43%
Worst Month	-17.25%	-0.24%
Best Year	25.78%	9.51%
Worst Year	-17.42%	0.66%
Avg. Drawdown	-4.14%	-0.25%
Avg. Drawdown Days	81	93
Recovery Factor	1.93	79.01
Ulcer Index	0.06	0.0
Serenity Index	1.25	55.38
Avg. Up Month	3.89%	0.55%
Avg. Down Month	-2.34%	-0.16%
Win Days	49.81%	91.79%
Win Month	54.9%	92.16%
Win Quarter	47.37%	94.74%
Win Year	57.14%	100.0%
Beta	1.36	-
Alpha	0.04	-
Correlation	1.68%	-
Treynor Ratio	37.16%	-