SUGB RUB[Strategy] vs TLCB RUB[Benchmark]

1 Dec, 2023 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	92.0%
Cumulative Return	12.3%	-3.75%
CAGR﹪	8.41%	-2.63%
Sharpe	0.2	-0.57
Prob. Sharpe Ratio	38.66%	7.39%
Smart Sharpe	0.14	-0.41
Sortino	0.29	-0.79
Smart Sortino	0.21	-0.57
Sortino/√2	0.21	-0.56
Smart Sortino/√2	0.15	-0.4
Omega	1.03	1.03
Max Drawdown	-4.77%	-14.23%
Longest DD Days	352	260
Volatility (ann.)	10.02%	14.77%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.76	-0.18
Skew	0.5	0.12
Kurtosis	2.49	2.21
Expected Daily	0.03%	-0.01%
Expected Monthly	0.65%	-0.21%
Expected Yearly	3.94%	-1.27%
Kelly Criterion	4.82%	-0.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.0%	-1.54%
Expected Shortfall (cVaR)	-1.0%	-1.54%
Max Consecutive Wins	6	6
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.16	-0.02
Gain/Pain (1M)	1.93	-0.09
Payoff Ratio	1.05	1.0
Profit Factor	1.16	0.98
Common Sense Ratio	1.3	1.04
CPC Index	0.62	0.49
Tail Ratio	1.12	1.06
Outlier Win Ratio	4.9	3.67
Outlier Loss Ratio	4.11	2.66
MTD	0.53%	0.5%
3M	5.08%	-8.76%
6M	14.47%	-0.89%
YTD	6.56%	-10.31%
1Y	12.25%	-8.26%
3Y (ann.)	8.41%	-2.63%
5Y (ann.)	8.41%	-2.63%
10Y (ann.)	8.41%	-2.63%
All-time (ann.)	8.41%	-2.63%
Best Day	3.13%	3.82%
Worst Day	-2.32%	-3.41%
Best Month	7.42%	8.07%
Worst Month	-2.6%	-6.81%
Best Year	6.56%	5.29%
Worst Year	1.4%	-10.31%
Avg. Drawdown	-1.43%	-4.05%
Avg. Drawdown Days	37	45
Recovery Factor	2.58	-0.26
Ulcer Index	0.02	0.08
Serenity Index	0.59	-0.09
Avg. Up Month	1.81%	2.47%
Avg. Down Month	-1.09%	-2.89%
Win Days	51.36%	50.0%
Win Month	61.11%	50.0%
Win Quarter	57.14%	57.14%
Win Year	100.0%	66.67%
Beta	-0.01	-
Alpha	0.09	-
Correlation	-0.85%	-
Treynor Ratio	-918.21%	-