TEUR[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 29 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-42.49%	8.99%
CAGR﹪	-16.55%	2.86%
Sharpe	-0.55	14.21
Prob. Sharpe Ratio	25.8%	100.0%
Smart Sharpe	-0.55	14.1
Sortino	-0.59	53.82
Smart Sortino	-0.59	53.43
Sortino/√2	-0.42	38.06
Smart Sortino/√2	-0.42	37.78
Omega	0.84	0.84
Max Drawdown	-47.86%	-0.91%
Longest DD Days	1008	152
Volatility (ann.)	57.73%	0.58%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	-0.35	3.15
Skew	-7.94	0.32
Kurtosis	82.21	-0.13
Expected Daily	-0.21%	0.03%
Expected Monthly	-3.87%	0.62%
Expected Yearly	-12.92%	2.18%
Kelly Criterion	-72.7%	77.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.11%	-0.03%
Expected Shortfall (cVaR)	-6.11%	-0.03%
Max Consecutive Wins	5	152
Max Consecutive Losses	7	35
Gain/Pain Ratio	-0.16	9.44
Gain/Pain (1M)	-0.43	9.44
Payoff Ratio	0.35	1.47
Profit Factor	0.84	10.44
Common Sense Ratio	0.8	49.21
CPC Index	0.16	13.31
Tail Ratio	0.95	4.71
Outlier Win Ratio	2.0	57.21
Outlier Loss Ratio	1.14	82.15
MTD	1.18%	2.27%
3M	-32.63%	3.03%
6M	-32.63%	3.03%
YTD	-32.63%	3.03%
1Y	-32.63%	3.03%
3Y (ann.)	-17.54%	2.42%
5Y (ann.)	-16.55%	2.86%
10Y (ann.)	-16.55%	2.86%
All-time (ann.)	-16.55%	2.86%
Best Day	9.32%	0.11%
Worst Day	-40.61%	-0.03%
Best Month	15.63%	2.27%
Worst Month	-35.03%	-0.52%
Best Year	6.65%	3.03%
Worst Year	-32.63%	1.3%
Avg. Drawdown	-9.06%	-0.91%
Avg. Drawdown Days	157	152
Recovery Factor	-0.89	9.9
Ulcer Index	0.31	0.0
Serenity Index	-0.09	0.97
Avg. Up Month	4.38%	0.88%
Avg. Down Month	-20.35%	-0.46%
Win Days	55.16%	86.64%
Win Month	71.43%	85.71%
Win Quarter	66.67%	83.33%
Win Year	50.0%	100.0%
Beta	0.41	-
Alpha	-0.35	-
Correlation	0.41%	-
Treynor Ratio	-104.88%	-