SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 15 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	-0.31%	10.09%
CAGR﹪	-0.18%	5.67%
Sharpe	0.11	15.92
Prob. Sharpe Ratio	56.02%	100.0%
Smart Sharpe	0.07	9.14
Sortino	0.17	78.24
Smart Sortino	0.1	44.93
Sortino/√2	0.12	55.32
Smart Sortino/√2	0.07	31.77
Omega	1.04	1.04
Max Drawdown	-16.5%	-0.4%
Longest DD Days	328	63
Volatility (ann.)	24.72%	0.35%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.01	14.18
Skew	2.23	1.65
Kurtosis	87.16	4.89
Expected Daily	-0.0%	0.02%
Expected Monthly	-0.01%	0.44%
Expected Yearly	-0.15%	4.92%
Kelly Criterion	29.43%	86.28%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.55%	-0.01%
Expected Shortfall (cVaR)	-2.55%	-0.01%
Max Consecutive Wins	7	224
Max Consecutive Losses	4	23
Gain/Pain Ratio	0.04	20.0
Gain/Pain (1M)	0.55	20.0
Payoff Ratio	1.72	2.38
Profit Factor	1.04	21.0
Common Sense Ratio	1.02	487.08
CPC Index	0.99	45.1
Tail Ratio	0.98	23.19
Outlier Win Ratio	3.74	74.07
Outlier Loss Ratio	2.46	155.55
MTD	0.69%	0.17%
3M	-0.84%	0.86%
6M	-0.12%	2.35%
YTD	0.25%	5.62%
1Y	-2.9%	6.17%
3Y (ann.)	-0.18%	5.67%
5Y (ann.)	-0.18%	5.67%
10Y (ann.)	-0.18%	5.67%
All-time (ann.)	-0.18%	5.67%
Best Day	19.88%	0.1%
Worst Day	-16.07%	-0.02%
Best Month	1.73%	1.62%
Worst Month	-4.12%	-0.4%
Best Year	0.25%	5.62%
Worst Year	-0.56%	4.23%
Avg. Drawdown	-4.4%	-0.24%
Avg. Drawdown Days	56	50
Recovery Factor	-0.02	25.23
Ulcer Index	0.05	0.0
Serenity Index	-0.01	25.61
Avg. Up Month	0.75%	0.56%
Avg. Down Month	-1.1%	-0.24%
Win Days	55.33%	90.34%
Win Month	59.09%	90.91%
Win Quarter	62.5%	100.0%
Win Year	50.0%	100.0%
Beta	0.49	-
Alpha	0.0	-
Correlation	0.69%	-
Treynor Ratio	-0.63%	-