SBCS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 2 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	45.1%	41.99%
CAGR﹪	10.25%	9.62%
Sharpe	0.83	4.23
Prob. Sharpe Ratio	95.37%	100.0%
Smart Sharpe	0.77	3.92
Sortino	1.34	114.67
Smart Sortino	1.24	106.42
Sortino/√2	0.95	81.08
Smart Sortino/√2	0.88	75.25
Omega	1.68	1.68
Max Drawdown	-14.95%	-1.25%
Longest DD Days	264	209
Volatility (ann.)	12.9%	2.21%
R^2	0.16	0.16
Information Ratio	0.01	0.01
Calmar	0.69	7.67
Skew	6.22	17.09
Kurtosis	351.78	298.23
Expected Daily	0.04%	0.04%
Expected Monthly	0.8%	0.75%
Expected Yearly	7.73%	7.26%
Kelly Criterion	35.56%	90.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.29%	-0.19%
Expected Shortfall (cVaR)	-1.29%	-0.19%
Max Consecutive Wins	10	659
Max Consecutive Losses	5	65
Gain/Pain Ratio	0.68	27.85
Gain/Pain (1M)	2.83	27.85
Payoff Ratio	1.2	2.22
Profit Factor	1.68	28.85
Common Sense Ratio	2.57	111.69
CPC Index	1.31	59.78
Tail Ratio	1.53	3.87
Outlier Win Ratio	1.97	7.4
Outlier Loss Ratio	1.35	13.49
MTD	0.41%	0.08%
3M	5.19%	3.0%
6M	9.58%	6.61%
YTD	5.19%	3.0%
1Y	17.44%	10.63%
3Y (ann.)	11.06%	6.89%
5Y (ann.)	10.25%	9.62%
10Y (ann.)	10.25%	9.62%
All-time (ann.)	10.25%	9.62%
Best Day	18.08%	2.47%
Worst Day	-13.96%	-0.02%
Best Month	17.8%	7.61%
Worst Month	-13.68%	-0.52%
Best Year	15.93%	11.92%
Worst Year	2.88%	3.0%
Avg. Drawdown	-0.31%	-1.25%
Avg. Drawdown Days	7	209
Recovery Factor	3.02	33.47
Ulcer Index	0.02	0.0
Serenity Index	7.61	27.07
Avg. Up Month	1.27%	0.84%
Avg. Down Month	-	-
Win Days	64.9%	93.15%
Win Month	93.62%	93.62%
Win Quarter	94.12%	94.12%
Win Year	100.0%	100.0%
Beta	2.34	-
Alpha	-0.11	-
Correlation	40.11%	-
Treynor Ratio	19.24%	-