TEUR[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 19 Mar, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	-38.57%	12.36%
CAGR﹪	-13.5%	3.53%
Sharpe	-0.39	18.53
Prob. Sharpe Ratio	30.7%	100.0%
Smart Sharpe	-0.39	18.41
Sortino	-0.42	64.25
Smart Sortino	-0.42	63.82
Sortino/√2	-0.3	45.43
Smart Sortino/√2	-0.29	45.13
Omega	0.88	0.88
Max Drawdown	-47.86%	-0.91%
Longest DD Days	1118	152
Volatility (ann.)	50.97%	0.47%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	-0.28	3.89
Skew	-9.0	-0.49
Kurtosis	106.07	0.07
Expected Daily	-0.14%	0.03%
Expected Monthly	-2.67%	0.65%
Expected Yearly	-9.28%	2.36%
Kelly Criterion	-91.9%	82.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.36%	-0.01%
Expected Shortfall (cVaR)	-5.36%	-0.01%
Max Consecutive Wins	5	227
Max Consecutive Losses	7	35
Gain/Pain Ratio	-0.12	12.78
Gain/Pain (1M)	-0.34	12.78
Payoff Ratio	0.29	1.53
Profit Factor	0.88	13.78
Common Sense Ratio	0.86	41.12
CPC Index	0.14	18.84
Tail Ratio	0.98	2.98
Outlier Win Ratio	2.45	54.98
Outlier Loss Ratio	1.19	74.43
MTD	0.74%	0.53%
3M	5.59%	3.14%
6M	-28.04%	6.22%
YTD	3.01%	2.59%
1Y	-28.04%	6.22%
3Y (ann.)	-18.86%	2.95%
5Y (ann.)	-13.5%	3.53%
10Y (ann.)	-13.5%	3.53%
All-time (ann.)	-13.5%	3.53%
Best Day	9.32%	0.11%
Worst Day	-40.61%	-0.03%
Best Month	15.63%	1.43%
Worst Month	-35.03%	-0.52%
Best Year	6.65%	3.54%
Worst Year	-30.14%	1.3%
Avg. Drawdown	-9.06%	-0.91%
Avg. Drawdown Days	173	152
Recovery Factor	-0.81	13.61
Ulcer Index	0.35	0.0
Serenity Index	-0.06	1.38
Avg. Up Month	3.61%	0.84%
Avg. Down Month	-20.35%	-0.46%
Win Days	57.1%	89.61%
Win Month	77.78%	88.89%
Win Quarter	71.43%	85.71%
Win Year	60.0%	100.0%
Beta	1.0	-
Alpha	-0.29	-
Correlation	0.92%	-
Treynor Ratio	-38.58%	-