SUGB RUB[Strategy] vs FXRD RUB[Benchmark]

23 Aug, 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	-9.02%	-13.5%
CAGR﹪	-16.94%	-24.77%
Sharpe	-2.61	-2.63
Prob. Sharpe Ratio	0.16%	0.0%
Smart Sharpe	-2.32	-2.35
Sortino	-2.79	-2.71
Smart Sortino	-2.48	-2.42
Sortino/√2	-1.97	-1.92
Smart Sortino/√2	-1.76	-1.71
Omega	0.53	0.53
Max Drawdown	-9.45%	-15.96%
Longest DD Days	177	107
Volatility (ann.)	10.02%	13.76%
R^2	0.5	0.5
Information Ratio	0.07	0.07
Calmar	-1.79	-1.55
Skew	-5.53	-7.21
Kurtosis	48.04	67.25
Expected Daily	-0.08%	-0.12%
Expected Monthly	-1.34%	-2.05%
Expected Yearly	-4.62%	-7.0%
Kelly Criterion	-69.38%	-80.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.12%	-1.54%
Expected Shortfall (cVaR)	-1.12%	-1.54%
Max Consecutive Wins	7	6
Max Consecutive Losses	5	5
Gain/Pain Ratio	-0.37	-0.47
Gain/Pain (1M)	-0.82	-0.77
Payoff Ratio	0.46	0.39
Profit Factor	0.63	0.53
Common Sense Ratio	0.53	0.36
CPC Index	0.13	0.1
Tail Ratio	0.84	0.69
Outlier Win Ratio	3.54	3.46
Outlier Loss Ratio	3.3	2.73
MTD	-7.25%	-12.5%
3M	-7.12%	-14.14%
6M	-9.36%	-13.63%
YTD	-8.86%	-15.76%
1Y	-9.02%	-13.5%
3Y (ann.)	-16.94%	-24.77%
5Y (ann.)	-16.94%	-24.77%
10Y (ann.)	-16.94%	-24.77%
All-time (ann.)	-16.94%	-24.77%
Best Day	1.09%	0.96%
Worst Day	-5.57%	-8.29%
Best Month	1.54%	2.6%
Worst Month	-7.25%	-12.5%
Best Year	-0.18%	2.68%
Worst Year	-8.86%	-15.76%
Avg. Drawdown	-4.77%	-3.99%
Avg. Drawdown Days	90	33
Recovery Factor	-0.95	-0.85
Ulcer Index	0.02	0.03
Serenity Index	-1.69	-0.89
Avg. Up Month	1.01%	1.71%
Avg. Down Month	-2.41%	-4.45%
Win Days	46.9%	49.15%
Win Month	28.57%	42.86%
Win Quarter	33.33%	66.67%
Win Year	0.0%	50.0%
Beta	0.52	-
Alpha	-0.04	-
Correlation	70.89%	-
Treynor Ratio	-31.02%	-