SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 20 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	31.14%	11.34%
CAGR﹪	19.83%	7.43%
Sharpe	13.5	17.53
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.78	12.69
Sortino	25.58	99.94
Smart Sortino	18.52	72.35
Sortino/√2	18.09	70.67
Smart Sortino/√2	13.1	51.16
Omega	22.28	22.28
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.33%	0.41%
R^2	0.0	0.0
Information Ratio	0.49	0.49
Calmar	27.49	18.58
Skew	-0.63	1.63
Kurtosis	40.69	5.6
Expected Daily	0.07%	0.03%
Expected Monthly	1.44%	0.57%
Expected Yearly	9.46%	3.65%
Kelly Criterion	97.62%	91.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.01%
Expected Shortfall (cVaR)	-0.07%	-0.01%
Max Consecutive Wins	213	262
Max Consecutive Losses	1	21
Gain/Pain Ratio	21.28	26.82
Gain/Pain (1M)	-	26.82
Payoff Ratio	9.54	1.6
Profit Factor	22.28	27.82
Common Sense Ratio	479.98	98.58
CPC Index	208.02	41.97
Tail Ratio	21.55	3.54
Outlier Win Ratio	2.45	6.03
Outlier Loss Ratio	0.09	0.77
MTD	0.64%	0.15%
3M	3.99%	1.11%
6M	8.48%	1.56%
YTD	0.64%	0.15%
1Y	19.9%	5.11%
3Y (ann.)	19.83%	7.43%
5Y (ann.)	19.83%	7.43%
10Y (ann.)	19.83%	7.43%
All-time (ann.)	19.83%	7.43%
Best Day	0.8%	0.14%
Worst Day	-0.72%	-0.02%
Best Month	1.8%	1.43%
Worst Month	0.43%	-0.4%
Best Year	20.2%	5.6%
Worst Year	0.64%	0.15%
Avg. Drawdown	-0.16%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	43.17	28.36
Ulcer Index	0.0	0.0
Serenity Index	191.38	23.47
Avg. Up Month	1.43%	0.62%
Avg. Down Month	-	-
Win Days	97.84%	94.47%
Win Month	100.0%	94.74%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.08	-
Alpha	0.17	-
Correlation	2.32%	-
Treynor Ratio	410.23%	-