SBCN[Strategy] vs RUB Inflation[Benchmark]

16 Jan, 2023 - 19 Mar, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	23.52%	20.59%
CAGR﹪	10.21%	9.0%
Sharpe	0.69	33.18
Prob. Sharpe Ratio	84.78%	-
Smart Sharpe	0.68	32.65
Sortino	1.01	-
Smart Sortino	0.99	-
Sortino/√2	0.71	-
Smart Sortino/√2	0.7	-
Omega	1.13	1.13
Max Drawdown	-23.77%	-
Longest DD Days	-	-
Volatility (ann.)	15.69%	0.26%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.43	-
Skew	0.19	0.5
Kurtosis	4.03	-0.53
Expected Daily	0.04%	0.03%
Expected Monthly	0.79%	0.7%
Expected Yearly	7.3%	6.44%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.58%	-0.01%
Expected Shortfall (cVaR)	-1.58%	-0.01%
Max Consecutive Wins	8	553
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.13	-
Gain/Pain (1M)	0.59	-
Payoff Ratio	-	-
Profit Factor	1.13	-
Common Sense Ratio	1.13	-
CPC Index	-	-
Tail Ratio	0.99	5.56
Outlier Win Ratio	1.86	37.58
Outlier Loss Ratio	1.9	-
MTD	-5.65%	0.53%
3M	-18.62%	3.14%
6M	-8.91%	6.41%
YTD	-16.09%	2.59%
1Y	-4.0%	10.4%
3Y (ann.)	10.21%	9.0%
5Y (ann.)	10.21%	9.0%
10Y (ann.)	10.21%	9.0%
All-time (ann.)	10.21%	9.0%
Best Day	5.06%	0.07%
Worst Day	-4.13%	0.0%
Best Month	13.51%	1.43%
Worst Month	-9.03%	0.2%
Best Year	26.22%	9.51%
Worst Year	-16.09%	2.59%
Avg. Drawdown	-3.22%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.99	-
Ulcer Index	0.08	0.0
Serenity Index	0.22	-
Avg. Up Month	3.8%	0.61%
Avg. Down Month	-	-
Win Days	53.2%	100.0%
Win Month	62.96%	100.0%
Win Quarter	66.67%	100.0%
Win Year	66.67%	100.0%
Beta	-3.2	-
Alpha	0.38	-
Correlation	-5.23%	-
Treynor Ratio	-7.36%	-