SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	17.83%	8.99%
CAGR﹪	20.94%	10.49%
Sharpe	13.34	23.06
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.32	16.12
Sortino	24.3	-
Smart Sortino	16.98	-
Sortino/√2	17.19	-
Smart Sortino/√2	12.01	-
Omega	23.17	23.17
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	1.4%	0.43%
R^2	0.0	0.0
Information Ratio	0.38	0.38
Calmar	29.03	-
Skew	-0.66	1.76
Kurtosis	48.72	4.51
Expected Daily	0.07%	0.04%
Expected Monthly	1.38%	0.72%
Expected Yearly	8.55%	4.4%
Kelly Criterion	-	-
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	188	220
Max Consecutive Losses	1	0
Gain/Pain Ratio	22.17	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	23.17	-
Common Sense Ratio	455.39	-
CPC Index	-	-
Tail Ratio	19.66	7.45
Outlier Win Ratio	2.25	4.52
Outlier Loss Ratio	-0.01	-
MTD	0.01%	0.02%
3M	5.32%	1.44%
6M	10.54%	4.88%
YTD	8.7%	3.52%
1Y	17.83%	8.99%
3Y (ann.)	20.94%	10.49%
5Y (ann.)	20.94%	10.49%
10Y (ann.)	20.94%	10.49%
All-time (ann.)	20.94%	10.49%
Best Day	0.8%	0.14%
Worst Day	-0.72%	0.0%
Best Month	1.8%	1.43%
Worst Month	0.01%	0.02%
Best Year	8.7%	5.28%
Worst Year	8.4%	3.52%
Avg. Drawdown	-0.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	24.72	-
Ulcer Index	0.0	0.0
Serenity Index	86.24	-
Avg. Up Month	1.38%	0.72%
Avg. Down Month	-	-
Win Days	99.08%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.03	-
Alpha	0.18	-
Correlation	0.93%	-
Treynor Ratio	582.31%	-