SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	26.1%	10.03%
CAGR﹪	20.6%	8.03%
Sharpe	14.65	17.29
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.42	12.29
Sortino	28.59	97.2
Smart Sortino	20.32	69.1
Sortino/√2	20.21	68.73
Smart Sortino/√2	14.37	48.86
Omega	31.66	31.66
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	66
Volatility (ann.)	1.25%	0.44%
R^2	0.0	0.0
Information Ratio	0.52	0.52
Calmar	28.56	20.07
Skew	-0.54	1.38
Kurtosis	53.31	4.25
Expected Daily	0.07%	0.03%
Expected Monthly	1.46%	0.6%
Expected Yearly	12.3%	4.9%
Kelly Criterion	98.58%	89.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.02%
Expected Shortfall (cVaR)	-0.06%	-0.02%
Max Consecutive Wins	213	262
Max Consecutive Losses	1	21
Gain/Pain Ratio	30.66	23.87
Gain/Pain (1M)	-	23.87
Payoff Ratio	9.52	1.71
Profit Factor	31.66	24.87
Common Sense Ratio	662.66	88.13
CPC Index	297.33	39.77
Tail Ratio	20.93	3.54
Outlier Win Ratio	2.27	5.17
Outlier Loss Ratio	0.07	0.67
MTD	0.84%	0.2%
3M	4.53%	0.41%
6M	9.88%	1.53%
YTD	16.33%	4.51%
1Y	21.2%	7.79%
3Y (ann.)	20.6%	8.03%
5Y (ann.)	20.6%	8.03%
10Y (ann.)	20.6%	8.03%
All-time (ann.)	20.6%	8.03%
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	16.33%	5.28%
Worst Year	8.4%	4.51%
Avg. Drawdown	-0.19%	-0.4%
Avg. Drawdown Days	5	66
Recovery Factor	36.19	25.08
Ulcer Index	0.0	0.0
Serenity Index	164.72	18.58
Avg. Up Month	1.46%	0.67%
Avg. Down Month	-	-
Win Days	98.71%	93.4%
Win Month	100.0%	93.75%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.06	-
Alpha	0.18	-
Correlation	2.05%	-
Treynor Ratio	444.35%	-