SBCS RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

16 Jun, 2021 - 17 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	24.07%	29.92%
CAGR﹪	7.89%	9.66%
Sharpe	0.59	0.55
Prob. Sharpe Ratio	85.2%	82.24%
Smart Sharpe	0.55	0.51
Sortino	0.95	0.83
Smart Sortino	0.89	0.77
Sortino/√2	0.67	0.59
Smart Sortino/√2	0.63	0.55
Omega	1.46	1.46
Max Drawdown	-14.95%	-39.65%
Longest DD Days	264	488
Volatility (ann.)	14.97%	21.44%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.53	0.24
Skew	5.42	1.1
Kurtosis	262.8	14.17
Expected Daily	0.03%	0.04%
Expected Monthly	0.62%	0.75%
Expected Yearly	5.54%	6.76%
Kelly Criterion	36.52%	11.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-2.18%
Expected Shortfall (cVaR)	-1.52%	-2.18%
Max Consecutive Wins	8	9
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.46	0.12
Gain/Pain (1M)	1.73	0.51
Payoff Ratio	1.51	1.22
Profit Factor	1.46	1.12
Common Sense Ratio	2.08	1.1
CPC Index	1.37	0.71
Tail Ratio	1.42	0.98
Outlier Win Ratio	12.9	2.65
Outlier Loss Ratio	9.3	2.45
MTD	0.77%	1.94%
3M	3.74%	7.3%
6M	6.93%	-3.21%
YTD	4.35%	4.33%
1Y	7.82%	15.26%
3Y (ann.)	7.89%	9.66%
5Y (ann.)	7.89%	9.66%
10Y (ann.)	7.89%	9.66%
All-time (ann.)	7.89%	9.66%
Best Day	18.08%	10.7%
Worst Day	-13.96%	-6.67%
Best Month	17.8%	19.77%
Worst Month	-13.68%	-16.34%
Best Year	10.05%	29.27%
Worst Year	2.8%	-6.4%
Avg. Drawdown	-0.4%	-4.56%
Avg. Drawdown Days	10	52
Recovery Factor	1.61	0.75
Ulcer Index	0.02	0.16
Serenity Index	3.47	0.09
Avg. Up Month	1.5%	4.16%
Avg. Down Month	-	-
Win Days	61.77%	51.58%
Win Month	91.43%	65.71%
Win Quarter	92.31%	76.92%
Win Year	100.0%	75.0%
Beta	-0.05	-
Alpha	0.09	-
Correlation	-7.6%	-
Treynor Ratio	-453.76%	-