SUGB RUB[Strategy] vs SCFT RUB[Benchmark]

14 Feb, 2022 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	98.0%
Cumulative Return	43.98%	-53.69%
CAGR﹪	9.99%	-18.22%
Sharpe	0.47	-0.43
Prob. Sharpe Ratio	33.01%	0.38%
Smart Sharpe	0.35	-0.32
Sortino	1.01	-0.48
Smart Sortino	0.75	-0.35
Sortino/√2	0.72	-0.34
Smart Sortino/√2	0.53	-0.25
Omega	1.13	1.13
Max Drawdown	-7.29%	-62.81%
Longest DD Days	528	1395
Volatility (ann.)	14.83%	44.06%
R^2	0.31	0.31
Information Ratio	0.03	0.03
Calmar	1.37	-0.29
Skew	12.01	-13.96
Kurtosis	254.53	309.24
Expected Daily	0.05%	-0.11%
Expected Monthly	0.99%	-2.06%
Expected Yearly	9.54%	-17.51%
Kelly Criterion	5.77%	2.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.48%	-4.61%
Expected Shortfall (cVaR)	-1.48%	-4.61%
Max Consecutive Wins	6	8
Max Consecutive Losses	7	7
Gain/Pain Ratio	0.28	-0.08
Gain/Pain (1M)	2.19	-0.26
Payoff Ratio	1.09	1.01
Profit Factor	1.28	0.92
Common Sense Ratio	1.34	0.86
CPC Index	0.71	0.47
Tail Ratio	1.05	0.93
Outlier Win Ratio	6.47	2.69
Outlier Loss Ratio	6.52	2.12
MTD	2.06%	3.94%
3M	2.95%	-5.81%
6M	10.38%	4.88%
YTD	21.36%	-1.9%
1Y	28.88%	12.35%
3Y (ann.)	16.29%	-22.37%
5Y (ann.)	9.99%	-18.22%
10Y (ann.)	9.99%	-18.22%
All-time (ann.)	9.99%	-18.22%
Best Day	19.38%	14.97%
Worst Day	-5.57%	-60.33%
Best Month	19.76%	13.92%
Worst Month	-6.8%	-59.18%
Best Year	22.49%	-1.9%
Worst Year	-6.8%	-46.59%
Avg. Drawdown	-0.92%	-62.81%
Avg. Drawdown Days	22	1395
Recovery Factor	6.03	-0.85
Ulcer Index	0.02	0.53
Serenity Index	6.37	-0.05
Avg. Up Month	2.05%	5.06%
Avg. Down Month	-2.04%	-5.34%
Win Days	50.89%	51.14%
Win Month	56.76%	56.76%
Win Quarter	61.54%	46.15%
Win Year	75.0%	0.0%
Beta	-0.19	-
Alpha	0.11	-
Correlation	-56.04%	-
Treynor Ratio	-196.04%	-