SUGB RUB[Strategy] vs BCSY RUB[Benchmark]

25 Nov, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	-7.27%	7.88%
CAGR﹪	-25.88%	35.13%
Sharpe	-3.01	1.39
Prob. Sharpe Ratio	0.41%	61.69%
Smart Sharpe	-2.9	1.34
Sortino	-3.12	2.55
Smart Sortino	-3.0	2.46
Sortino/√2	-2.2	1.8
Smart Sortino/√2	-2.12	1.74
Omega	0.45	0.45
Max Drawdown	-9.44%	-6.93%
Longest DD Days	51	29
Volatility (ann.)	13.43%	21.75%
R^2	0.34	0.34
Information Ratio	-0.14	-0.14
Calmar	-2.74	5.07
Skew	-5.03	1.48
Kurtosis	32.29	5.45
Expected Daily	-0.14%	0.14%
Expected Monthly	-1.87%	1.92%
Expected Yearly	-3.7%	3.87%
Kelly Criterion	-32.12%	-94.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-2.11%
Expected Shortfall (cVaR)	-1.52%	-2.11%
Max Consecutive Wins	7	6
Max Consecutive Losses	4	7
Gain/Pain Ratio	-0.49	0.39
Gain/Pain (1M)	-0.81	4.44
Payoff Ratio	0.65	0.33
Profit Factor	0.51	1.39
Common Sense Ratio	0.43	1.38
CPC Index	0.16	0.24
Tail Ratio	0.84	0.99
Outlier Win Ratio	10.0	2.76
Outlier Loss Ratio	4.89	3.39
MTD	-7.25%	5.76%
3M	-7.27%	7.88%
6M	-7.27%	7.88%
YTD	-8.86%	6.61%
1Y	-7.27%	7.88%
3Y (ann.)	-25.88%	35.13%
5Y (ann.)	-25.88%	35.13%
10Y (ann.)	-25.88%	35.13%
All-time (ann.)	-25.88%	35.13%
Best Day	0.83%	5.93%
Worst Day	-5.57%	-2.47%
Best Month	1.54%	5.76%
Worst Month	-7.25%	-1.82%
Best Year	1.74%	6.61%
Worst Year	-8.86%	1.19%
Avg. Drawdown	-2.19%	-2.72%
Avg. Drawdown Days	15	16
Recovery Factor	-0.77	1.14
Ulcer Index	0.02	0.03
Serenity Index	-1.44	0.08
Avg. Up Month	1.54%	3.07%
Avg. Down Month	-	-
Win Days	48.08%	51.85%
Win Month	50.0%	75.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.36	-
Alpha	-0.2	-
Correlation	-57.92%	-
Treynor Ratio	39.92%	-