SBCB[Strategy] vs RUB Inflation[Benchmark]

8 Feb, 2019 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	33.15%	25.94%
CAGR﹪	5.18%	4.15%
Sharpe	0.45	22.28
Prob. Sharpe Ratio	82.11%	100.0%
Smart Sharpe	0.45	22.22
Sortino	0.71	181.99
Smart Sortino	0.71	181.51
Sortino/√2	0.51	128.68
Smart Sortino/√2	0.5	128.35
Omega	1.12	1.12
Max Drawdown	-26.1%	-0.4%
Longest DD Days	1254	120
Volatility (ann.)	21.09%	0.27%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.2	10.4
Skew	3.06	0.16
Kurtosis	159.91	-0.38
Expected Daily	0.03%	0.02%
Expected Monthly	0.6%	0.48%
Expected Yearly	4.89%	3.92%
Kelly Criterion	10.69%	89.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.15%	-0.0%
Expected Shortfall (cVaR)	-2.15%	-0.0%
Max Consecutive Wins	8	564
Max Consecutive Losses	7	43
Gain/Pain Ratio	0.12	45.19
Gain/Pain (1M)	0.72	45.19
Payoff Ratio	1.29	5.08
Profit Factor	1.12	46.19
Common Sense Ratio	1.22	763.09
CPC Index	0.72	213.83
Tail Ratio	1.08	16.52
Outlier Win Ratio	2.27	58.53
Outlier Loss Ratio	1.76	183.38
MTD	3.69%	0.05%
3M	2.97%	1.33%
6M	-2.02%	3.39%
YTD	2.22%	5.51%
1Y	26.59%	6.28%
3Y (ann.)	2.85%	3.43%
5Y (ann.)	4.9%	4.51%
10Y (ann.)	5.18%	4.15%
All-time (ann.)	5.18%	4.15%
Best Day	24.17%	0.06%
Worst Day	-19.56%	-0.01%
Best Month	23.84%	1.17%
Worst Month	-17.25%	-0.24%
Best Year	25.78%	8.39%
Worst Year	-17.42%	0.73%
Avg. Drawdown	-3.54%	-0.25%
Avg. Drawdown Days	87	93
Recovery Factor	1.27	64.91
Ulcer Index	0.06	0.0
Serenity Index	0.77	38.94
Avg. Up Month	3.21%	0.45%
Avg. Down Month	-2.34%	-0.16%
Win Days	49.69%	91.19%
Win Month	56.25%	91.67%
Win Quarter	50.0%	94.44%
Win Year	66.67%	100.0%
Beta	-1.46	-
Alpha	0.18	-
Correlation	-1.85%	-
Treynor Ratio	-22.66%	-