SMCF[Strategy] vs RUB Inflation[Benchmark]

13 Dec, 2023 - 30 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	34.57%	16.76%
CAGR﹪	14.92%	7.53%
Sharpe	0.77	23.99
Prob. Sharpe Ratio	86.59%	100.0%
Smart Sharpe	0.76	23.9
Sortino	1.11	121.74
Smart Sortino	1.11	121.28
Sortino/√2	0.79	86.08
Smart Sortino/√2	0.78	85.76
Omega	1.15	1.15
Max Drawdown	-28.92%	-0.4%
Longest DD Days	380	63
Volatility (ann.)	21.26%	0.3%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.52	18.83
Skew	-0.14	0.18
Kurtosis	8.56	0.47
Expected Daily	0.06%	0.03%
Expected Monthly	1.15%	0.6%
Expected Yearly	7.7%	3.95%
Kelly Criterion	19.46%	93.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.14%	-0.0%
Expected Shortfall (cVaR)	-2.14%	-0.0%
Max Consecutive Wins	7	407
Max Consecutive Losses	9	21
Gain/Pain Ratio	0.15	38.67
Gain/Pain (1M)	0.76	38.67
Payoff Ratio	1.58	1.64
Profit Factor	1.15	39.67
Common Sense Ratio	1.26	272.85
CPC Index	0.92	62.34
Tail Ratio	1.1	6.88
Outlier Win Ratio	1.7	53.9
Outlier Loss Ratio	1.93	89.4
MTD	5.63%	0.29%
3M	6.78%	1.08%
6M	8.4%	1.53%
YTD	5.63%	0.29%
1Y	5.48%	4.75%
3Y (ann.)	14.92%	7.53%
5Y (ann.)	14.92%	7.53%
10Y (ann.)	14.92%	7.53%
All-time (ann.)	14.92%	7.53%
Best Day	8.86%	0.07%
Worst Day	-9.07%	-0.02%
Best Month	11.31%	1.43%
Worst Month	-9.11%	-0.4%
Best Year	15.59%	9.51%
Worst Year	4.47%	0.29%
Avg. Drawdown	-3.92%	-0.4%
Avg. Drawdown Days	36	63
Recovery Factor	1.2	41.9
Ulcer Index	0.09	0.0
Serenity Index	0.34	38.03
Avg. Up Month	5.58%	0.67%
Avg. Down Month	-	-
Win Days	50.66%	96.06%
Win Month	53.85%	96.15%
Win Quarter	70.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.09	-
Alpha	0.17	-
Correlation	-0.13%	-
Treynor Ratio	-378.92%	-