SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 14 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	46.93%	17.42%
CAGR﹪	18.08%	7.18%
Sharpe	13.93	16.66
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.46	12.51
Sortino	28.55	116.22
Smart Sortino	21.44	87.26
Sortino/√2	20.19	82.18
Smart Sortino/√2	15.16	61.7
Omega	25.23	25.23
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.14%	0.4%
R^2	0.0	0.0
Information Ratio	0.49	0.49
Calmar	25.07	17.96
Skew	-0.35	1.67
Kurtosis	46.4	4.69
Expected Daily	0.06%	0.03%
Expected Monthly	1.34%	0.56%
Expected Yearly	13.69%	5.5%
Kelly Criterion	94.08%	90.92%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.01%
Expected Shortfall (cVaR)	-0.06%	-0.01%
Max Consecutive Wins	213	262
Max Consecutive Losses	1	25
Gain/Pain Ratio	24.23	33.41
Gain/Pain (1M)	-	33.41
Payoff Ratio	3.61	5.0
Profit Factor	25.23	34.41
Common Sense Ratio	-	726.98
CPC Index	86.94	159.05
Tail Ratio	-	21.13
Outlier Win Ratio	2.54	5.96
Outlier Loss Ratio	0.39	2.19
MTD	0.51%	0.17%
3M	3.56%	0.85%
6M	7.12%	2.35%
YTD	12.77%	5.61%
1Y	15.27%	6.19%
3Y (ann.)	18.08%	7.18%
5Y (ann.)	18.08%	7.18%
10Y (ann.)	18.08%	7.18%
All-time (ann.)	18.08%	7.18%
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%	5.61%
Worst Year	8.4%	5.28%
Avg. Drawdown	-0.06%	-0.24%
Avg. Drawdown Days	2	50
Recovery Factor	65.06	43.55
Ulcer Index	0.0	0.0
Serenity Index	393.59	55.78
Avg. Up Month	1.34%	0.62%
Avg. Down Month	-	-
Win Days	95.36%	92.43%
Win Month	100.0%	93.1%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.16	-
Alpha	0.15	-
Correlation	5.62%	-
Treynor Ratio	291.14%	-