TEUR[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 24 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-14.63%	5.78%
CAGR﹪	-11.51%	4.44%
Sharpe	-0.01	13.72
Prob. Sharpe Ratio	49.53%	100.0%
Smart Sharpe	-0.01	13.12
Sortino	-0.01	37.24
Smart Sortino	-0.01	35.63
Sortino/√2	-0.01	26.34
Smart Sortino/√2	-0.01	25.2
Omega	1.0	1.0
Max Drawdown	-45.48%	-0.91%
Longest DD Days	364	152
Volatility (ann.)	51.0%	0.44%
R^2	0.02	0.02
Information Ratio	-0.01	-0.01
Calmar	-0.25	4.89
Skew	-8.59	-0.49
Kurtosis	110.03	-0.66
Expected Daily	-0.07%	0.02%
Expected Monthly	-1.31%	0.47%
Expected Yearly	-5.14%	1.89%
Kelly Criterion	-61.71%	73.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.29%	-0.02%
Expected Shortfall (cVaR)	-5.29%	-0.02%
Max Consecutive Wins	5	123
Max Consecutive Losses	6	35
Gain/Pain Ratio	-0.0	6.16
Gain/Pain (1M)	-0.01	6.16
Payoff Ratio	0.38	1.27
Profit Factor	1.0	7.16
Common Sense Ratio	1.04	17.73
CPC Index	0.21	7.71
Tail Ratio	1.05	2.47
Outlier Win Ratio	1.84	74.65
Outlier Loss Ratio	1.12	74.55
MTD	2.91%	0.46%
3M	21.94%	2.18%
6M	26.12%	2.57%
YTD	6.65%	1.3%
1Y	-18.21%	1.91%
3Y (ann.)	-11.51%	4.44%
5Y (ann.)	-11.51%	4.44%
10Y (ann.)	-11.51%	4.44%
All-time (ann.)	-11.51%	4.44%
Best Day	9.32%	0.06%
Worst Day	-40.61%	-0.03%
Best Month	15.63%	1.17%
Worst Month	-35.03%	-0.52%
Best Year	6.65%	2.65%
Worst Year	-20.77%	1.3%
Avg. Drawdown	-8.72%	-0.91%
Avg. Drawdown Days	65	152
Recovery Factor	-0.32	6.37
Ulcer Index	0.29	0.0
Serenity Index	-0.03	0.42
Avg. Up Month	4.74%	0.72%
Avg. Down Month	-20.35%	-0.46%
Win Days	55.84%	84.98%
Win Month	75.0%	83.33%
Win Quarter	80.0%	80.0%
Win Year	66.67%	100.0%
Beta	14.22	-
Alpha	-0.87	-
Correlation	12.31%	-
Treynor Ratio	-1.03%	-