SBGD[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2022 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	109.35%	11.34%
CAGR﹪	57.82%	6.86%
Sharpe	2.67	32.7
Prob. Sharpe Ratio	99.97%	-
Smart Sharpe	2.44	29.98
Sortino	4.45	-
Smart Sortino	4.08	-
Sortino/√2	3.14	-
Smart Sortino/√2	2.88	-
Omega	1.57	1.57
Max Drawdown	-9.3%	-
Longest DD Days	-	-
Volatility (ann.)	17.5%	0.2%
R^2	0.0	0.0
Information Ratio	0.14	0.14
Calmar	6.21	-
Skew	0.28	0.09
Kurtosis	2.31	-1.03
Expected Daily	0.18%	0.03%
Expected Monthly	3.76%	0.54%
Expected Yearly	27.92%	3.65%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.63%	-0.01%
Expected Shortfall (cVaR)	-1.63%	-0.01%
Max Consecutive Wins	11	412
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.57	-
Gain/Pain (1M)	6.38	-
Payoff Ratio	-	-
Profit Factor	1.57	-
Common Sense Ratio	2.06	-
CPC Index	-	-
Tail Ratio	1.31	5.86
Outlier Win Ratio	1.7	57.75
Outlier Loss Ratio	1.66	-
MTD	7.78%	0.29%
3M	22.67%	1.74%
6M	18.8%	4.48%
YTD	21.43%	2.24%
1Y	35.6%	7.76%
3Y (ann.)	57.82%	6.86%
5Y (ann.)	57.82%	6.86%
10Y (ann.)	57.82%	6.86%
All-time (ann.)	57.82%	6.86%
Best Day	5.4%	0.05%
Worst Day	-4.36%	0.0%
Best Month	16.43%	1.11%
Worst Month	-4.03%	0.05%
Best Year	43.56%	7.42%
Worst Year	20.09%	1.38%
Avg. Drawdown	-1.91%	-
Avg. Drawdown Days	-	-
Recovery Factor	11.75	-
Ulcer Index	0.04	0.0
Serenity Index	4.57	-
Avg. Up Month	6.01%	0.51%
Avg. Down Month	-	-
Win Days	57.66%	100.0%
Win Month	75.0%	100.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	-2.35	-
Alpha	0.62	-
Correlation	-2.69%	-
Treynor Ratio	-46.54%	-