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	20.73
Prob. Sharpe Ratio	62.3%	100.0%
Smart Sharpe	0.18	19.43
Sortino	0.23	150.83
Smart Sortino	0.22	141.4
Sortino/√2	0.16	106.65
Smart Sortino/√2	0.15	99.99
Omega	1.04	1.04
Max Drawdown	-26.1%	-0.4%
Longest DD Days	479	120
Volatility (ann.)	16.84%	0.27%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.06	14.32
Skew	-7.67	0.2
Kurtosis	152.25	-0.3
Expected Daily	0.01%	0.02%
Expected Monthly	0.14%	0.46%
Expected Yearly	1.27%	4.33%
Kelly Criterion	3.18%	86.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-0.01%
Expected Shortfall (cVaR)	-1.73%	-0.01%
Max Consecutive Wins	8	357
Max Consecutive Losses	7	43
Gain/Pain Ratio	0.04	33.25
Gain/Pain (1M)	0.23	33.25
Payoff Ratio	1.06	4.94
Profit Factor	1.04	34.25
Common Sense Ratio	1.19	229.5
CPC Index	0.56	150.43
Tail Ratio	1.14	6.7
Outlier Win Ratio	2.35	52.77
Outlier Loss Ratio	1.86	177.82
MTD	-17.25%	1.17%
3M	-17.28%	3.2%
6M	-17.51%	5.82%
YTD	-17.42%	2.17%
1Y	-17.22%	9.24%
3Y (ann.)	1.88%	5.74%
5Y (ann.)	1.67%	5.72%
10Y (ann.)	1.67%	5.72%
All-time (ann.)	1.67%	5.72%
Best Day	6.23%	0.06%
Worst Day	-19.56%	-0.01%
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%	-0.25%
Avg. Drawdown Days	50	93
Recovery Factor	0.2	46.28
Ulcer Index	0.06	0.0
Serenity Index	0.1	21.75
Avg. Up Month	2.35%	0.43%
Avg. Down Month	-2.34%	-0.16%
Win Days	50.2%	88.82%
Win Month	54.05%	89.19%
Win Quarter	38.46%	92.31%
Win Year	50.0%	100.0%
Beta	-4.89	-
Alpha	0.3	-
Correlation	-7.77%	-
Treynor Ratio	-1.06%	-