SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 1 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	100.0%
Cumulative Return	1.49%	3.42%
CAGR﹪	2.12%	4.89%
Sharpe	0.24	16.06
Prob. Sharpe Ratio	57.54%	100.0%
Smart Sharpe	0.14	9.58
Sortino	0.37	46.33
Smart Sortino	0.22	27.63
Sortino/√2	0.26	32.76
Smart Sortino/√2	0.16	19.54
Omega	1.1	1.1
Max Drawdown	-16.5%	-0.4%
Longest DD Days	211	63
Volatility (ann.)	34.86%	0.34%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.13	12.23
Skew	2.22	0.29
Kurtosis	60.91	2.7
Expected Daily	0.01%	0.02%
Expected Monthly	0.15%	0.34%
Expected Yearly	1.49%	3.42%
Kelly Criterion	35.92%	78.12%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.58%	-0.01%
Expected Shortfall (cVaR)	-3.58%	-0.01%
Max Consecutive Wins	7	102
Max Consecutive Losses	4	19
Gain/Pain Ratio	0.1	8.39
Gain/Pain (1M)	0.82	8.39
Payoff Ratio	1.87	1.26
Profit Factor	1.1	9.39
Common Sense Ratio	1.09	35.93
CPC Index	1.2	10.35
Tail Ratio	0.99	3.83
Outlier Win Ratio	3.03	63.91
Outlier Loss Ratio	1.78	75.05
MTD	1.49%	0.02%
3M	0.69%	0.39%
6M	-0.2%	1.6%
YTD	1.49%	3.42%
1Y	1.49%	3.42%
3Y (ann.)	2.12%	4.89%
5Y (ann.)	2.12%	4.89%
10Y (ann.)	2.12%	4.89%
All-time (ann.)	2.12%	4.89%
Best Day	19.88%	0.08%
Worst Day	-16.07%	-0.02%
Best Month	1.73%	0.73%
Worst Month	-4.12%	-0.4%
Best Year	1.49%	3.42%
Worst Year	1.49%	3.42%
Avg. Drawdown	-4.09%	-0.4%
Avg. Drawdown Days	30	63
Recovery Factor	0.09	8.55
Ulcer Index	0.03	0.0
Serenity Index	0.23	3.01
Avg. Up Month	1.15%	0.42%
Avg. Down Month	-0.69%	-0.4%
Win Days	58.27%	87.82%
Win Month	70.0%	90.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.86	-
Alpha	0.04	-
Correlation	0.83%	-
Treynor Ratio	1.74%	-