SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	38.4%	14.83%
CAGR﹪	18.97%	7.67%
Sharpe	13.95	17.12
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.17	12.49
Sortino	27.43	115.1
Smart Sortino	20.01	83.95
Sortino/√2	19.4	81.38
Smart Sortino/√2	14.15	59.36
Omega	25.93	25.93
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.23%	0.43%
R^2	0.0	0.0
Information Ratio	0.48	0.48
Calmar	26.29	19.18
Skew	-0.51	1.5
Kurtosis	43.79	3.71
Expected Daily	0.07%	0.03%
Expected Monthly	1.36%	0.58%
Expected Yearly	11.44%	4.72%
Kelly Criterion	97.35%	92.83%
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	24.93	34.52
Gain/Pain (1M)	-	34.52
Payoff Ratio	9.18	1.61
Profit Factor	25.93	35.52
Common Sense Ratio	-	415.37
CPC Index	232.32	54.62
Tail Ratio	-	11.69
Outlier Win Ratio	2.51	5.84
Outlier Loss Ratio	0.12	0.76
MTD	0.26%	0.03%
3M	3.67%	0.82%
6M	7.6%	3.55%
YTD	6.22%	3.28%
1Y	17.31%	5.28%
3Y (ann.)	18.97%	7.67%
5Y (ann.)	18.97%	7.67%
10Y (ann.)	18.97%	7.67%
All-time (ann.)	18.97%	7.67%
Best Day	0.8%	0.14%
Worst Day	-0.72%	-0.02%
Best Month	1.8%	1.62%
Worst Month	0.26%	-0.4%
Best Year	20.2%	5.6%
Worst Year	6.22%	3.28%
Avg. Drawdown	-0.12%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	53.24	37.08
Ulcer Index	0.0	0.0
Serenity Index	270.88	40.82
Avg. Up Month	1.36%	0.62%
Avg. Down Month	-	-
Win Days	97.61%	95.58%
Win Month	100.0%	95.83%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.07	-
Alpha	0.17	-
Correlation	2.29%	-
Treynor Ratio	581.13%	-