TBEU[Strategy] vs RUB Inflation[Benchmark]

23 Nov, 2021 - 6 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	5.15%	5.68%
CAGR﹪	1.82%	2.0%
Sharpe	0.45	10.23
Prob. Sharpe Ratio	66.45%	100.0%
Smart Sharpe	0.43	9.76
Sortino	0.57	31.59
Smart Sortino	0.55	30.14
Sortino/√2	0.41	22.33
Smart Sortino/√2	0.39	21.31
Omega	1.16	1.16
Max Drawdown	-52.16%	-1.25%
Longest DD Days	798	195
Volatility (ann.)	61.33%	0.53%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	0.03	1.59
Skew	-4.19	1.09
Kurtosis	93.63	3.9
Expected Daily	0.02%	0.02%
Expected Monthly	0.34%	0.37%
Expected Yearly	1.26%	1.39%
Kelly Criterion	-37.31%	62.89%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.25%	-0.03%
Expected Shortfall (cVaR)	-6.25%	-0.03%
Max Consecutive Wins	6	137
Max Consecutive Losses	5	55
Gain/Pain Ratio	0.16	4.37
Gain/Pain (1M)	0.39	4.37
Payoff Ratio	0.52	1.36
Profit Factor	1.16	5.37
Common Sense Ratio	1.34	14.66
CPC Index	0.32	5.75
Tail Ratio	1.16	2.73
Outlier Win Ratio	2.21	97.0
Outlier Loss Ratio	1.36	87.76
MTD	1.19%	0.14%
3M	33.02%	0.35%
6M	33.02%	0.35%
YTD	33.02%	0.35%
1Y	33.02%	0.35%
3Y (ann.)	1.82%	2.0%
5Y (ann.)	1.82%	2.0%
10Y (ann.)	1.82%	2.0%
All-time (ann.)	1.82%	2.0%
Best Day	32.08%	0.16%
Worst Day	-45.56%	-0.03%
Best Month	31.46%	1.17%
Worst Month	-51.26%	-0.52%
Best Year	33.02%	2.29%
Worst Year	-28.47%	0.35%
Avg. Drawdown	-9.8%	-1.25%
Avg. Drawdown Days	128	195
Recovery Factor	0.1	4.52
Ulcer Index	0.35	0.01
Serenity Index	0.01	0.24
Avg. Up Month	9.31%	0.55%
Avg. Down Month	-27.32%	-0.43%
Win Days	53.15%	78.6%
Win Month	66.67%	80.0%
Win Quarter	85.71%	71.43%
Win Year	75.0%	100.0%
Beta	10.59	-
Alpha	-0.3	-
Correlation	9.1%	-
Treynor Ratio	0.49%	-