SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 16 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	98.0%
Cumulative Return	2.57%	1.3%
CAGR﹪	17.97%	8.78%
Sharpe	5.55	9.87
Prob. Sharpe Ratio	95.98%	-
Smart Sharpe	3.65	6.5
Sortino	8.73	-
Smart Sortino	5.75	-
Sortino/√2	6.18	-
Smart Sortino/√2	4.06	-
Omega	4.43	4.43
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	2.82%	0.8%
R^2	0.0	0.0
Information Ratio	0.17	0.17
Calmar	24.91	-
Skew	-0.37	1.81
Kurtosis	16.39	1.36
Expected Daily	0.06%	0.03%
Expected Monthly	0.85%	0.43%
Expected Yearly	2.57%	1.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-0.05%
Expected Shortfall (cVaR)	-0.23%	-0.05%
Max Consecutive Wins	25	40
Max Consecutive Losses	1	0
Gain/Pain Ratio	3.43	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	4.43	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	15.61
Outlier Win Ratio	4.16	11.1
Outlier Loss Ratio	0.59	-
MTD	0.65%	0.1%
3M	2.57%	1.3%
6M	2.57%	1.3%
YTD	2.57%	1.3%
1Y	2.57%	1.3%
3Y (ann.)	17.97%	8.78%
5Y (ann.)	17.97%	8.78%
10Y (ann.)	17.97%	8.78%
All-time (ann.)	17.97%	8.78%
Best Day	0.8%	0.14%
Worst Day	-0.72%	0.0%
Best Month	1.47%	1.0%
Worst Month	0.43%	0.1%
Best Year	2.57%	1.3%
Worst Year	2.57%	1.3%
Avg. Drawdown	-0.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.56	-
Ulcer Index	0.0	0.0
Serenity Index	4.28	-
Avg. Up Month	0.85%	0.43%
Avg. Down Month	-	-
Win Days	94.74%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.01	-
Alpha	0.16	-
Correlation	0.18%	-
Treynor Ratio	404.39%	-