SBGD[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2022 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	142.18%	22.94%
CAGR﹪	40.93%	8.34%
Sharpe	1.9	31.51
Prob. Sharpe Ratio	99.9%	-
Smart Sharpe	1.76	29.17
Sortino	2.97	-
Smart Sortino	2.75	-
Sortino/√2	2.1	-
Smart Sortino/√2	1.94	-
Omega	1.37	1.37
Max Drawdown	-12.87%	-
Longest DD Days	-	-
Volatility (ann.)	18.81%	0.25%
R^2	0.0	0.0
Information Ratio	0.09	0.09
Calmar	3.18	-
Skew	0.14	0.34
Kurtosis	2.02	-0.44
Expected Daily	0.13%	0.03%
Expected Monthly	2.8%	0.65%
Expected Yearly	24.75%	5.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.81%	-0.01%
Expected Shortfall (cVaR)	-1.81%	-0.01%
Max Consecutive Wins	11	657
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.37	-
Gain/Pain (1M)	3.5	-
Payoff Ratio	-	-
Profit Factor	1.37	-
Common Sense Ratio	1.62	-
CPC Index	-	-
Tail Ratio	1.18	7.14
Outlier Win Ratio	1.8	52.17
Outlier Loss Ratio	1.81	-
MTD	-1.36%	0.16%
3M	-4.62%	3.02%
6M	5.4%	6.63%
YTD	-3.34%	3.08%
1Y	21.92%	10.67%
3Y (ann.)	40.93%	8.34%
5Y (ann.)	40.93%	8.34%
10Y (ann.)	40.93%	8.34%
All-time (ann.)	40.93%	8.34%
Best Day	5.4%	0.07%
Worst Day	-4.36%	0.0%
Best Month	16.43%	1.43%
Worst Month	-6.2%	0.05%
Best Year	45.34%	9.51%
Worst Year	-3.34%	1.38%
Avg. Drawdown	-2.47%	-
Avg. Drawdown Days	-	-
Recovery Factor	11.05	-
Ulcer Index	0.04	0.0
Serenity Index	4.81	-
Avg. Up Month	5.5%	0.63%
Avg. Down Month	-	-
Win Days	57.01%	100.0%
Win Month	68.75%	100.0%
Win Quarter	66.67%	100.0%
Win Year	75.0%	100.0%
Beta	-3.27	-
Alpha	0.62	-
Correlation	-4.37%	-
Treynor Ratio	-43.48%	-