SBGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

16 Sep, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	100.0%	100.0%
Cumulative Return	102.65%	112.53%
CAGR﹪	55.14%	59.8%
Sharpe	-9.22	-10.03
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.55	-9.31
Sortino	-8.76	-9.06
Smart Sortino	-8.13	-8.41
Sortino/√2	-6.19	-6.41
Smart Sortino/√2	-5.75	-5.94
Omega	0.22	0.22
Max Drawdown	-9.3%	-9.76%
Longest DD Days	204	204
Volatility (ann.)	17.76%	16.06%
R^2	0.56	0.56
Information Ratio	-0.01	-0.01
Calmar	5.93	6.13
Skew	0.23	-0.18
Kurtosis	2.24	1.46
Expected Daily	0.17%	0.18%
Expected Monthly	3.59%	3.84%
Expected Yearly	26.55%	28.57%
Kelly Criterion	18.06%	21.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.66%	-1.47%
Expected Shortfall (cVaR)	-1.66%	-1.47%
Max Consecutive Wins	11	10
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.54	0.65
Gain/Pain (1M)	7.94	12.6
Payoff Ratio	1.07	1.09
Profit Factor	1.54	1.65
Common Sense Ratio	1.95	2.05
CPC Index	0.94	1.06
Tail Ratio	1.27	1.24
Outlier Win Ratio	3.16	3.45
Outlier Loss Ratio	3.35	3.75
MTD	1.47%	2.44%
3M	17.63%	19.13%
6M	13.88%	17.72%
YTD	14.33%	15.85%
1Y	30.12%	32.37%
3Y (ann.)	55.14%	59.8%
5Y (ann.)	55.14%	59.8%
10Y (ann.)	55.14%	59.8%
All-time (ann.)	55.14%	59.8%
Best Day	5.4%	3.78%
Worst Day	-4.36%	-3.61%
Best Month	16.43%	18.04%
Worst Month	-4.03%	-2.55%
Best Year	43.56%	46.25%
Worst Year	14.33%	15.85%
Avg. Drawdown	-1.99%	-1.4%
Avg. Drawdown Days	15	10
Recovery Factor	11.03	11.53
Ulcer Index	0.04	0.03
Serenity Index	-25.83	-27.32
Avg. Up Month	5.94%	6.1%
Avg. Down Month	-2.17%	-1.58%
Win Days	57.74%	58.97%
Win Month	75.0%	75.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	0.83	-
Alpha	0.06	-
Correlation	74.81%	-
Treynor Ratio	-721.86%	-