SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	28.79%	10.96%
CAGR﹪	20.24%	7.87%
Sharpe	14.85	17.84
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.58	12.71
Sortino	29.57	100.38
Smart Sortino	21.08	71.54
Sortino/√2	20.91	70.98
Smart Sortino/√2	14.9	50.59
Omega	32.79	32.79
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.21%	0.42%
R^2	0.0	0.0
Information Ratio	0.53	0.53
Calmar	28.06	19.68
Skew	-0.47	1.51
Kurtosis	54.18	5.14
Expected Daily	0.07%	0.03%
Expected Monthly	1.42%	0.58%
Expected Yearly	13.49%	5.34%
Kelly Criterion	98.08%	90.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.05%	-0.01%
Expected Shortfall (cVaR)	-0.05%	-0.01%
Max Consecutive Wins	213	262
Max Consecutive Losses	1	21
Gain/Pain Ratio	31.79	25.96
Gain/Pain (1M)	-	25.96
Payoff Ratio	9.39	1.67
Profit Factor	32.79	26.96
Common Sense Ratio	691.69	95.56
CPC Index	302.43	42.29
Tail Ratio	21.09	3.54
Outlier Win Ratio	2.33	5.39
Outlier Loss Ratio	0.1	0.71
MTD	0.33%	0.11%
3M	4.21%	1.33%
6M	9.16%	1.73%
YTD	18.81%	5.39%
1Y	20.62%	6.59%
3Y (ann.)	20.24%	7.87%
5Y (ann.)	20.24%	7.87%
10Y (ann.)	20.24%	7.87%
All-time (ann.)	20.24%	7.87%
Best Day	0.8%	0.14%
Worst Day	-0.72%	-0.02%
Best Month	1.8%	1.43%
Worst Month	0.33%	-0.4%
Best Year	18.81%	5.39%
Worst Year	8.4%	5.28%
Avg. Drawdown	-0.13%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	39.91	27.41
Ulcer Index	0.0	0.0
Serenity Index	196.15	21.51
Avg. Up Month	1.41%	0.64%
Avg. Down Month	-	-
Win Days	98.26%	94.05%
Win Month	100.0%	94.44%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.07	-
Alpha	0.18	-
Correlation	2.38%	-
Treynor Ratio	412.9%	-