SCIP[Strategy] vs RUB Inflation[Benchmark]

2 Jul, 2020 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	32.87%	13.19%
CAGR﹪	18.77%	7.79%
Sharpe	0.77	27.71
Prob. Sharpe Ratio	83.72%	100.0%
Smart Sharpe	0.73	26.18
Sortino	1.1	557.87
Smart Sortino	1.04	526.98
Sortino/√2	0.78	394.47
Smart Sortino/√2	0.73	372.63
Omega	1.14	1.14
Max Drawdown	-21.41%	-0.11%
Longest DD Days	132	67
Volatility (ann.)	27.2%	0.27%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.88	70.84
Skew	-0.15	-0.28
Kurtosis	2.26	-0.37
Expected Daily	0.07%	0.03%
Expected Monthly	1.43%	0.62%
Expected Yearly	9.94%	4.22%
Kelly Criterion	6.53%	88.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.74%	-0.0%
Expected Shortfall (cVaR)	-2.74%	-0.0%
Max Consecutive Wins	8	352
Max Consecutive Losses	6	43
Gain/Pain Ratio	0.14	112.66
Gain/Pain (1M)	1.3	112.66
Payoff Ratio	0.92	13.01
Profit Factor	1.14	113.66
Common Sense Ratio	1.15	1877.6
CPC Index	0.58	1325.49
Tail Ratio	1.0	16.52
Outlier Win Ratio	1.73	61.87
Outlier Loss Ratio	1.96	1002.93
MTD	0.86%	1.17%
3M	-11.65%	3.2%
6M	-10.68%	5.82%
YTD	-9.2%	2.17%
1Y	4.24%	9.24%
3Y (ann.)	18.77%	7.79%
5Y (ann.)	18.77%	7.79%
10Y (ann.)	18.77%	7.79%
All-time (ann.)	18.77%	7.79%
Best Day	7.39%	0.06%
Worst Day	-6.58%	-0.0%
Best Month	10.52%	1.17%
Worst Month	-9.98%	-0.07%
Best Year	28.02%	8.39%
Worst Year	-9.2%	2.17%
Avg. Drawdown	-4.73%	-0.11%
Avg. Drawdown Days	26	67
Recovery Factor	1.54	119.98
Ulcer Index	0.07	0.0
Serenity Index	0.55	302.47
Avg. Up Month	4.82%	0.69%
Avg. Down Month	-	-
Win Days	55.1%	89.64%
Win Month	60.0%	90.0%
Win Quarter	71.43%	100.0%
Win Year	66.67%	100.0%
Beta	-4.38	-
Alpha	0.54	-
Correlation	-4.36%	-
Treynor Ratio	-7.51%	-