SBCB[Strategy] vs RUB Inflation[Benchmark]

8 Feb, 2019 - 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	5.18%	18.49%
CAGR%	1.67%	5.72%
Sharpe	0.19	19.3
Sortino	0.23	81.64
Max Drawdown	-26.1%	-0.4%
Longest DD Days	479	120
Volatility (ann.)	16.84%	0.29%
R^2	0.01	0.01
Calmar	0.06	14.32
Skew	-7.67	0.32
Kurtosis	152.25	5.96
Expected Daily %	0.01%	0.02%
Expected Monthly %	0.14%	0.46%
Expected Yearly %	1.27%	4.33%
Kelly Criterion	4.25%	85.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-0.01%
Expected Shortfall (cVaR)	-3.55%	-3.55%
Payoff Ratio	1.08	3.3
Profit Factor	0.04	27.8
Common Sense Ratio	0.05	191.74
CPC Index	0.02	81.42
Tail Ratio	1.14	6.9
Outlier Win Ratio	2.35	52.39
Outlier Loss Ratio	1.86	150.42
MTD	-17.25%	1.17%
3M	-17.28%	3.2%
6M	-17.87%	5.82%
YTD	-17.42%	2.17%
1Y	-17.22%	9.24%
3Y (ann.)	1.89%	5.71%
5Y (ann.)	1.67%	5.72%
10Y (ann.)	1.67%	5.72%
All-time (ann.)	1.67%	5.72%
Best Day	6.23%	0.16%
Worst Day	-19.56%	-0.1%
Best Month	11.03%	1.17%
Worst Month	-17.25%	-0.24%
Best Year	25.78%	8.39%
Worst Year	-17.42%	1.99%
Avg. Drawdown	-3.18%	-0.2%
Avg. Drawdown Days	50	62
Recovery Factor	0.2	46.28
Ulcer Index	inf	inf
Avg. Up Month	2.35%	0.43%
Avg. Down Month	-2.34%	-0.16%
Win Days %	50.2%	88.69%
Win Month %	54.05%	89.19%
Win Quarter %	38.46%	92.31%
Win Year %	50.0%	100.0%
Beta	-4.16	-
Alpha	0.26	-