SBGD[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2022 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	202.03%	25.7%
CAGR﹪	40.52%	7.29%
Sharpe	1.85	26.27
Prob. Sharpe Ratio	99.96%	100.0%
Smart Sharpe	1.73	24.62
Sortino	2.87	144.12
Smart Sortino	2.69	135.06
Sortino/√2	2.03	101.91
Smart Sortino/√2	1.9	95.5
Omega	1.36	1.36
Max Drawdown	-12.87%	-0.4%
Longest DD Days	278	63
Volatility (ann.)	19.19%	0.26%
R^2	0.0	0.0
Information Ratio	0.09	0.09
Calmar	3.15	18.23
Skew	0.05	0.12
Kurtosis	1.81	0.69
Expected Daily	0.13%	0.03%
Expected Monthly	2.8%	0.57%
Expected Yearly	31.83%	5.88%
Kelly Criterion	37.84%	95.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-0.0%
Expected Shortfall (cVaR)	-1.85%	-0.0%
Max Consecutive Wins	11	738
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.36	57.07
Gain/Pain (1M)	4.03	57.07
Payoff Ratio	2.45	1.49
Profit Factor	1.36	58.07
Common Sense Ratio	1.72	404.33
CPC Index	1.86	84.45
Tail Ratio	1.27	6.96
Outlier Win Ratio	1.73	56.76
Outlier Loss Ratio	1.96	90.81
MTD	0.31%	0.11%
3M	15.52%	1.33%
6M	23.19%	1.73%
YTD	20.55%	5.39%
1Y	18.98%	6.59%
3Y (ann.)	35.18%	7.62%
5Y (ann.)	40.52%	7.29%
10Y (ann.)	40.52%	7.29%
All-time (ann.)	40.52%	7.29%
Best Day	5.4%	0.07%
Worst Day	-4.36%	-0.02%
Best Month	16.43%	1.43%
Worst Month	-6.2%	-0.4%
Best Year	45.34%	9.51%
Worst Year	20.09%	1.38%
Avg. Drawdown	-2.46%	-0.4%
Avg. Drawdown Days	22	63
Recovery Factor	15.7	64.24
Ulcer Index	0.05	0.0
Serenity Index	5.97	77.89
Avg. Up Month	5.1%	0.57%
Avg. Down Month	-	-
Win Days	55.88%	97.47%
Win Month	72.5%	97.5%
Win Quarter	71.43%	100.0%
Win Year	100.0%	100.0%
Beta	-2.43	-
Alpha	0.52	-
Correlation	-3.35%	-
Treynor Ratio	-83.03%	-