SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 15 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	38.76%	14.94%
CAGR﹪	18.83%	7.61%
Sharpe	13.95	17.15
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.18	12.52
Sortino	27.51	115.29
Smart Sortino	20.07	84.13
Sortino/√2	19.45	81.52
Smart Sortino/√2	14.19	59.49
Omega	26.13	26.13
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.23%	0.43%
R^2	0.0	0.0
Information Ratio	0.48	0.48
Calmar	26.11	19.03
Skew	-0.51	1.53
Kurtosis	43.83	3.81
Expected Daily	0.07%	0.03%
Expected Monthly	1.37%	0.58%
Expected Yearly	11.54%	4.75%
Kelly Criterion	97.37%	92.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.02%
Expected Shortfall (cVaR)	-0.06%	-0.02%
Max Consecutive Wins	213	262
Max Consecutive Losses	1	21
Gain/Pain Ratio	25.13	34.76
Gain/Pain (1M)	-	34.76
Payoff Ratio	9.17	1.6
Profit Factor	26.13	35.76
Common Sense Ratio	-	380.3
CPC Index	233.86	54.84
Tail Ratio	-	10.64
Outlier Win Ratio	2.51	5.85
Outlier Loss Ratio	0.12	0.75
MTD	0.52%	0.08%
3M	3.48%	0.72%
6M	7.42%	3.56%
YTD	6.49%	3.38%
1Y	16.89%	5.32%
3Y (ann.)	18.83%	7.61%
5Y (ann.)	18.83%	7.61%
10Y (ann.)	18.83%	7.61%
All-time (ann.)	18.83%	7.61%
Best Day	0.8%	0.14%
Worst Day	-0.72%	-0.02%
Best Month	1.8%	1.62%
Worst Month	0.43%	-0.4%
Best Year	20.2%	5.6%
Worst Year	6.49%	3.38%
Avg. Drawdown	-0.12%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	53.73	37.36
Ulcer Index	0.0	0.0
Serenity Index	275.61	41.34
Avg. Up Month	1.37%	0.63%
Avg. Down Month	-	-
Win Days	97.63%	95.62%
Win Month	100.0%	95.83%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.07	-
Alpha	0.17	-
Correlation	2.37%	-
Treynor Ratio	566.13%	-