TEUS[Strategy] vs RUB Inflation[Benchmark]

8 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-2.95%	10.14%
CAGR﹪	-1.5%	4.99%
Sharpe	0.25	8.89
Prob. Sharpe Ratio	61.68%	100.0%
Smart Sharpe	0.23	8.13
Sortino	0.31	47.26
Smart Sortino	0.28	43.21
Sortino/√2	0.22	33.42
Smart Sortino/√2	0.2	30.55
Omega	1.06	1.06
Max Drawdown	-52.08%	-1.25%
Longest DD Days	498	200
Volatility (ann.)	50.39%	0.72%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	-0.03	3.98
Skew	-5.33	8.12
Kurtosis	72.81	93.59
Expected Daily	-0.01%	0.03%
Expected Monthly	-0.15%	0.48%
Expected Yearly	-0.99%	3.27%
Kelly Criterion	-65.12%	74.37%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.17%	-0.05%
Expected Shortfall (cVaR)	-5.17%	-0.05%
Max Consecutive Wins	11	243
Max Consecutive Losses	5	58
Gain/Pain Ratio	0.06	7.65
Gain/Pain (1M)	0.19	7.65
Payoff Ratio	0.4	1.5
Profit Factor	1.06	8.65
Common Sense Ratio	1.15	24.68
CPC Index	0.22	11.0
Tail Ratio	1.08	2.85
Outlier Win Ratio	1.55	76.5
Outlier Loss Ratio	1.79	151.39
MTD	-11.4%	1.11%
3M	-19.98%	3.11%
6M	5.45%	4.48%
YTD	20.98%	5.84%
1Y	59.56%	7.04%
3Y (ann.)	-1.5%	4.99%
5Y (ann.)	-1.5%	4.99%
10Y (ann.)	-1.5%	4.99%
All-time (ann.)	-1.5%	4.99%
Best Day	13.83%	0.55%
Worst Day	-40.6%	-0.03%
Best Month	24.39%	1.17%
Worst Month	-48.12%	-0.52%
Best Year	20.98%	5.84%
Worst Year	-19.22%	1.73%
Avg. Drawdown	-6.6%	-1.25%
Avg. Drawdown Days	40	200
Recovery Factor	-0.06	8.08
Ulcer Index	0.26	0.01
Serenity Index	-0.01	0.84
Avg. Up Month	8.11%	0.6%
Avg. Down Month	-28.15%	-0.44%
Win Days	52.7%	84.62%
Win Month	65.0%	85.0%
Win Quarter	55.56%	77.78%
Win Year	33.33%	100.0%
Beta	-4.86	-
Alpha	0.44	-
Correlation	-6.99%	-
Treynor Ratio	0.61%	-