SBGD[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2022 - 24 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	228.43%	30.33%
CAGR﹪	38.73%	7.56%
Sharpe	1.64	24.81
Prob. Sharpe Ratio	99.85%	100.0%
Smart Sharpe	1.45	21.98
Sortino	2.41	158.29
Smart Sortino	2.13	140.21
Sortino/√2	1.7	111.93
Smart Sortino/√2	1.51	99.14
Omega	1.33	1.33
Max Drawdown	-14.05%	-0.4%
Longest DD Days	278	63
Volatility (ann.)	21.21%	0.29%
R^2	0.0	0.0
Information Ratio	0.08	0.08
Calmar	2.76	18.91
Skew	-0.85	0.78
Kurtosis	10.15	2.32
Expected Daily	0.13%	0.03%
Expected Monthly	2.74%	0.6%
Expected Yearly	26.85%	5.44%
Kelly Criterion	38.51%	96.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.06%	-0.0%
Expected Shortfall (cVaR)	-2.06%	-0.0%
Max Consecutive Wins	11	738
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.33	66.11
Gain/Pain (1M)	3.01	66.11
Payoff Ratio	2.56	1.55
Profit Factor	1.33	67.11
Common Sense Ratio	1.82	479.1
CPC Index	1.9	101.67
Tail Ratio	1.36	7.14
Outlier Win Ratio	1.72	57.14
Outlier Loss Ratio	1.94	96.08
MTD	-5.16%	0.49%
3M	-5.13%	2.22%
6M	6.45%	4.38%
YTD	3.62%	3.48%
1Y	31.43%	6.06%
3Y (ann.)	31.09%	8.14%
5Y (ann.)	38.73%	7.56%
10Y (ann.)	38.73%	7.56%
All-time (ann.)	38.73%	7.56%
Best Day	5.4%	0.09%
Worst Day	-12.71%	-0.02%
Best Month	20.57%	1.62%
Worst Month	-6.58%	-0.4%
Best Year	45.34%	9.51%
Worst Year	3.62%	1.38%
Avg. Drawdown	-2.57%	-0.4%
Avg. Drawdown Days	22	63
Recovery Factor	16.25	75.82
Ulcer Index	0.05	0.0
Serenity Index	6.64	113.2
Avg. Up Month	5.8%	0.62%
Avg. Down Month	-	-
Win Days	55.77%	97.72%
Win Month	68.18%	97.73%
Win Quarter	68.75%	100.0%
Win Year	100.0%	100.0%
Beta	1.57	-
Alpha	0.23	-
Correlation	2.15%	-
Treynor Ratio	145.84%	-