SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	40.77%	16.61%
CAGR﹪	18.65%	7.99%
Sharpe	14.03	18.4
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.23	13.42
Sortino	27.94	123.79
Smart Sortino	20.38	90.3
Sortino/√2	19.75	87.53
Smart Sortino/√2	14.41	63.85
Omega	26.95	26.95
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.21%	0.41%
R^2	0.0	0.0
Information Ratio	0.46	0.46
Calmar	25.85	19.97
Skew	-0.48	1.43
Kurtosis	44.45	3.86
Expected Daily	0.07%	0.03%
Expected Monthly	1.38%	0.62%
Expected Yearly	12.07%	5.26%
Kelly Criterion	97.04%	93.36%
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	21
Gain/Pain Ratio	25.95	38.35
Gain/Pain (1M)	-	38.35
Payoff Ratio	9.12	1.66
Profit Factor	26.95	39.35
Common Sense Ratio	-	418.56
CPC Index	239.07	62.65
Tail Ratio	-	10.64
Outlier Win Ratio	2.53	5.6
Outlier Loss Ratio	0.13	0.71
MTD	0.85%	0.66%
3M	3.55%	1.76%
6M	7.25%	3.8%
YTD	8.03%	4.88%
1Y	16.39%	6.33%
3Y (ann.)	18.65%	7.99%
5Y (ann.)	18.65%	7.99%
10Y (ann.)	18.65%	7.99%
All-time (ann.)	18.65%	7.99%
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	8.03%	4.88%
Avg. Drawdown	-0.1%	-0.4%
Avg. Drawdown Days	3	63
Recovery Factor	56.52	41.53
Ulcer Index	0.0	0.0
Serenity Index	301.49	47.37
Avg. Up Month	1.37%	0.66%
Avg. Down Month	-	-
Win Days	97.34%	95.86%
Win Month	100.0%	96.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.04	-
Alpha	0.17	-
Correlation	1.38%	-
Treynor Ratio	1014.28%	-