SCFT[Strategy] vs RUB Inflation[Benchmark]

2 Feb, 2022 - 18 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-51.95%	29.2%
CAGR﹪	-16.28%	6.41%
Sharpe	-0.23	22.52
Prob. Sharpe Ratio	32.66%	100.0%
Smart Sharpe	-0.22	22.3
Sortino	-0.25	163.03
Smart Sortino	-0.25	161.45
Sortino/√2	-0.18	115.28
Smart Sortino/√2	-0.18	114.16
Omega	0.94	0.94
Max Drawdown	-64.42%	-0.4%
Longest DD Days	1496	63
Volatility (ann.)	42.17%	0.35%
R^2	0.03	0.03
Information Ratio	-0.03	-0.03
Calmar	-0.25	16.03
Skew	-14.16	1.8
Kurtosis	327.65	8.43
Expected Daily	-0.09%	0.03%
Expected Monthly	-1.82%	0.64%
Expected Yearly	-13.63%	5.26%
Kelly Criterion	11.58%	95.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.41%	-0.01%
Expected Shortfall (cVaR)	-4.41%	-0.01%
Max Consecutive Wins	8	656
Max Consecutive Losses	7	21
Gain/Pain Ratio	-0.06	63.94
Gain/Pain (1M)	-0.23	63.94
Payoff Ratio	1.24	1.77
Profit Factor	0.94	64.94
Common Sense Ratio	0.89	483.61
CPC Index	0.59	111.88
Tail Ratio	0.95	7.45
Outlier Win Ratio	1.91	63.35
Outlier Loss Ratio	1.71	114.38
MTD	0.12%	0.5%
3M	3.38%	3.01%
6M	1.69%	4.3%
YTD	4.41%	2.87%
1Y	-11.03%	6.09%
3Y (ann.)	5.68%	8.07%
5Y (ann.)	-16.28%	6.41%
10Y (ann.)	-16.28%	6.41%
All-time (ann.)	-16.28%	6.41%
Best Day	14.97%	0.17%
Worst Day	-60.33%	-0.02%
Best Month	13.92%	1.62%
Worst Month	-59.18%	-0.4%
Best Year	4.41%	9.51%
Worst Year	-46.59%	1.1%
Avg. Drawdown	-32.97%	-0.4%
Avg. Drawdown Days	751	63
Recovery Factor	-0.81	73.0
Ulcer Index	0.54	0.0
Serenity Index	-0.04	115.6
Avg. Up Month	4.36%	0.66%
Avg. Down Month	-	-
Win Days	51.01%	97.42%
Win Month	57.5%	97.5%
Win Quarter	50.0%	100.0%
Win Year	20.0%	100.0%
Beta	-19.09	-
Alpha	1.42	-
Correlation	-15.95%	-
Treynor Ratio	2.72%	-