SCLI[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	33.71%	15.57%
CAGR﹪	19.61%	9.33%
Sharpe	13.75	17.73
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	9.95	12.83
Sortino	26.36	129.48
Smart Sortino	19.07	93.66
Sortino/√2	18.64	91.56
Smart Sortino/√2	13.48	66.23
Omega	23.66	23.66
Max Drawdown	-0.72%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	1.29%	0.5%
R^2	0.0	0.0
Information Ratio	0.41	0.41
Calmar	27.19	23.34
Skew	-0.59	1.07
Kurtosis	42.06	1.19
Expected Daily	0.07%	0.04%
Expected Monthly	1.39%	0.69%
Expected Yearly	10.17%	4.94%
Kelly Criterion	97.52%	92.28%
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	22.66	36.13
Gain/Pain (1M)	-	36.13
Payoff Ratio	9.42	1.96
Profit Factor	23.66	37.13
Common Sense Ratio	506.26	408.88
CPC Index	217.81	68.88
Tail Ratio	21.4	11.01
Outlier Win Ratio	2.45	4.85
Outlier Loss Ratio	0.1	0.71
MTD	0.28%	0.47%
3M	3.82%	4.21%
6M	8.04%	5.52%
YTD	2.61%	3.95%
1Y	19.24%	7.47%
3Y (ann.)	19.61%	9.33%
5Y (ann.)	19.61%	9.33%
10Y (ann.)	19.61%	9.33%
All-time (ann.)	19.61%	9.33%
Best Day	0.8%	0.14%
Worst Day	-0.72%	-0.02%
Best Month	1.8%	1.81%
Worst Month	0.28%	-0.4%
Best Year	20.2%	5.6%
Worst Year	2.61%	3.95%
Avg. Drawdown	-0.14%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	46.73	38.94
Ulcer Index	0.0	0.0
Serenity Index	214.43	43.05
Avg. Up Month	1.39%	0.75%
Avg. Down Month	-	-
Win Days	97.76%	94.89%
Win Month	100.0%	95.24%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.01	-
Alpha	0.18	-
Correlation	-0.24%	-
Treynor Ratio	-5537.59%	-