SBMX[Strategy] vs RUB Inflation[Benchmark]

17 Sep, 2018 - 2 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	74.99%	38.88%
CAGR﹪	11.73%	6.73%
Sharpe	0.61	1.95
Prob. Sharpe Ratio	90.38%	99.99%
Smart Sharpe	0.6	1.93
Sortino	0.79	87.32
Smart Sortino	0.78	86.03
Sortino/√2	0.56	61.75
Smart Sortino/√2	0.55	60.84
Omega	1.13	1.13
Max Drawdown	-54.18%	-1.25%
Longest DD Days	711	209
Volatility (ann.)	23.02%	3.42%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.22	5.36
Skew	-1.89	34.91
Kurtosis	16.86	1227.84
Expected Daily	0.04%	0.03%
Expected Monthly	0.91%	0.53%
Expected Yearly	9.77%	5.63%
Kelly Criterion	10.48%	84.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.33%	-0.33%
Expected Shortfall (cVaR)	-2.33%	-0.33%
Max Consecutive Wins	9	393
Max Consecutive Losses	7	65
Gain/Pain Ratio	0.13	18.68
Gain/Pain (1M)	0.61	18.68
Payoff Ratio	0.98	3.33
Profit Factor	1.13	19.68
Common Sense Ratio	1.13	59.26
CPC Index	0.61	57.58
Tail Ratio	1.01	3.01
Outlier Win Ratio	1.89	52.14
Outlier Loss Ratio	2.33	199.55
MTD	0.25%	0.01%
3M	12.69%	1.18%
6M	33.0%	2.26%
YTD	51.58%	3.97%
1Y	77.18%	5.36%
3Y (ann.)	11.18%	8.86%
5Y (ann.)	11.93%	6.79%
10Y (ann.)	11.73%	6.73%
All-time (ann.)	11.73%	6.73%
Best Day	7.45%	7.61%
Worst Day	-14.14%	-0.02%
Best Month	15.26%	7.61%
Worst Month	-26.92%	-0.52%
Best Year	51.58%	11.92%
Worst Year	-38.96%	1.85%
Avg. Drawdown	-2.9%	-0.59%
Avg. Drawdown Days	28	132
Recovery Factor	1.38	30.99
Ulcer Index	0.23	0.0
Serenity Index	0.1	48.4
Avg. Up Month	4.32%	0.64%
Avg. Down Month	-2.44%	-0.22%
Win Days	55.75%	87.88%
Win Month	70.97%	88.71%
Win Quarter	72.73%	90.91%
Win Year	83.33%	100.0%
Beta	0.28	-
Alpha	0.12	-
Correlation	4.22%	-
Treynor Ratio	264.4%	-