SCFT[Strategy] vs RUB Inflation[Benchmark]

2 Feb, 2022 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-43.04%	11.14%
CAGR﹪	-22.31%	4.85%
Sharpe	-0.27	22.75
Prob. Sharpe Ratio	36.27%	100.0%
Smart Sharpe	-0.26	21.88
Sortino	-0.29	-
Smart Sortino	-0.27	-
Sortino/√2	-0.2	-
Smart Sortino/√2	-0.19	-
Omega	0.89	0.89
Max Drawdown	-64.42%	-
Longest DD Days	-	-
Volatility (ann.)	57.31%	0.35%
R^2	0.1	0.1
Information Ratio	-0.03	-0.03
Calmar	-0.35	-
Skew	-13.78	3.71
Kurtosis	234.02	19.97
Expected Daily	-0.17%	0.03%
Expected Monthly	-3.26%	0.62%
Expected Yearly	-17.11%	3.58%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.0%	-0.0%
Expected Shortfall (cVaR)	-6.0%	-0.0%
Max Consecutive Wins	8	335
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.11	-
Gain/Pain (1M)	-0.3	-
Payoff Ratio	-	-
Profit Factor	0.89	-
Common Sense Ratio	0.9	-
CPC Index	-	-
Tail Ratio	1.01	5.63
Outlier Win Ratio	1.75	50.4
Outlier Loss Ratio	1.87	-
MTD	4.88%	0.39%
3M	7.76%	1.63%
6M	5.85%	4.39%
YTD	11.24%	2.34%
1Y	26.74%	7.77%
3Y (ann.)	-22.31%	4.85%
5Y (ann.)	-22.31%	4.85%
10Y (ann.)	-22.31%	4.85%
All-time (ann.)	-22.31%	4.85%
Best Day	14.97%	0.17%
Worst Day	-60.33%	0.0%
Best Month	11.63%	1.11%
Worst Month	-59.18%	0.28%
Best Year	11.24%	7.42%
Worst Year	-46.59%	1.1%
Avg. Drawdown	-32.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.67	-
Ulcer Index	0.53	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.92%	0.5%
Avg. Down Month	-	-
Win Days	52.92%	100.0%
Win Month	70.59%	100.0%
Win Quarter	57.14%	100.0%
Win Year	33.33%	100.0%
Beta	-52.42	-
Alpha	4.0	-
Correlation	-31.85%	-
Treynor Ratio	0.82%	-