SCFT[Strategy] vs RUB Inflation[Benchmark]

2 Feb, 2022 - 15 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-53.78%	25.48%
CAGR﹪	-18.09%	6.04%
Sharpe	-0.27	23.02
Prob. Sharpe Ratio	30.17%	100.0%
Smart Sharpe	-0.26	22.73
Sortino	-0.3	150.08
Smart Sortino	-0.3	148.2
Sortino/√2	-0.21	106.12
Smart Sortino/√2	-0.21	104.8
Omega	0.93	0.93
Max Drawdown	-64.42%	-0.4%
Longest DD Days	1403	63
Volatility (ann.)	43.64%	0.33%
R^2	0.04	0.04
Information Ratio	-0.03	-0.03
Calmar	-0.28	15.11
Skew	-13.78	1.95
Kurtosis	308.26	11.65
Expected Daily	-0.1%	0.03%
Expected Monthly	-2.06%	0.62%
Expected Yearly	-17.55%	5.84%
Kelly Criterion	12.5%	95.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.57%	-0.0%
Expected Shortfall (cVaR)	-4.57%	-0.0%
Max Consecutive Wins	8	656
Max Consecutive Losses	7	21
Gain/Pain Ratio	-0.07	56.65
Gain/Pain (1M)	-0.26	56.65
Payoff Ratio	1.28	1.67
Profit Factor	0.93	57.65
Common Sense Ratio	0.86	429.31
CPC Index	0.6	93.63
Tail Ratio	0.93	7.45
Outlier Win Ratio	2.02	71.87
Outlier Loss Ratio	1.66	115.01
MTD	3.99%	0.23%
3M	-3.45%	1.34%
6M	4.79%	1.78%
YTD	-1.86%	5.51%
1Y	16.05%	6.26%
3Y (ann.)	-22.3%	7.76%
5Y (ann.)	-18.09%	6.04%
10Y (ann.)	-18.09%	6.04%
All-time (ann.)	-18.09%	6.04%
Best Day	14.97%	0.17%
Worst Day	-60.33%	-0.02%
Best Month	13.92%	1.43%
Worst Month	-59.18%	-0.4%
Best Year	-1.86%	9.51%
Worst Year	-46.59%	1.1%
Avg. Drawdown	-32.97%	-0.4%
Avg. Drawdown Days	704	63
Recovery Factor	-0.83	63.7
Ulcer Index	0.54	0.0
Serenity Index	-0.04	87.18
Avg. Up Month	4.49%	0.61%
Avg. Down Month	-	-
Win Days	50.82%	97.21%
Win Month	56.76%	97.3%
Win Quarter	46.15%	100.0%
Win Year	0.0%	100.0%
Beta	-24.84	-
Alpha	1.77	-
Correlation	-18.76%	-
Treynor Ratio	2.17%	-