SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 22 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	36.04%	14.99%
CAGR﹪	19.22%	8.3%
Sharpe	13.85	18.61
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.1	13.57
Sortino	26.88	120.21
Smart Sortino	19.6	87.69
Sortino/√2	19.0	85.0
Smart Sortino/√2	13.86	62.0
Omega	25.01	25.01
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.26%	0.43%
R^2	0.0	0.0
Information Ratio	0.45	0.45
Calmar	26.65	20.76
Skew	-0.55	1.44
Kurtosis	43.2	3.76
Expected Daily	0.07%	0.03%
Expected Monthly	1.41%	0.64%
Expected Yearly	10.81%	4.77%
Kelly Criterion	97.68%	92.54%
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	24.01	34.86
Gain/Pain (1M)	-	34.86
Payoff Ratio	9.29	1.74
Profit Factor	25.01	35.86
Common Sense Ratio	-	373.4
CPC Index	227.47	59.29
Tail Ratio	-	10.41
Outlier Win Ratio	2.49	5.42
Outlier Loss Ratio	0.1	0.71
MTD	0.84%	0.44%
3M	3.65%	2.36%
6M	7.84%	4.37%
YTD	4.41%	3.42%
1Y	18.17%	6.04%
3Y (ann.)	19.22%	8.3%
5Y (ann.)	19.22%	8.3%
10Y (ann.)	19.22%	8.3%
All-time (ann.)	19.22%	8.3%
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	4.41%	3.42%
Avg. Drawdown	-0.14%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	49.97	37.47
Ulcer Index	0.0	0.0
Serenity Index	242.03	38.21
Avg. Up Month	1.41%	0.69%
Avg. Down Month	-	-
Win Days	97.91%	95.27%
Win Month	100.0%	95.45%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.02	-
Alpha	0.17	-
Correlation	0.8%	-
Treynor Ratio	1520.26%	-