TRAI[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2021 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-8.48%	7.82%
CAGR﹪	-4.67%	4.15%
Sharpe	0.1	12.7
Prob. Sharpe Ratio	54.72%	100.0%
Smart Sharpe	0.1	12.32
Sortino	0.12	39.2
Smart Sortino	0.12	38.04
Sortino/√2	0.09	27.72
Smart Sortino/√2	0.08	26.9
Omega	1.02	1.02
Max Drawdown	-55.27%	-1.25%
Longest DD Days	668	209
Volatility (ann.)	42.9%	0.4%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	-0.08	3.31
Skew	-4.81	0.12
Kurtosis	59.36	-0.32
Expected Daily	-0.02%	0.02%
Expected Monthly	-0.44%	0.38%
Expected Yearly	-2.91%	2.54%
Kelly Criterion	-20.14%	70.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.43%	-0.02%
Expected Shortfall (cVaR)	-4.43%	-0.02%
Max Consecutive Wins	5	234
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.02	5.97
Gain/Pain (1M)	0.06	5.97
Payoff Ratio	0.72	1.48
Profit Factor	1.02	6.97
Common Sense Ratio	1.27	19.87
CPC Index	0.37	8.51
Tail Ratio	1.25	2.85
Outlier Win Ratio	1.72	97.94
Outlier Loss Ratio	1.48	126.4
MTD	-6.13%	0.19%
3M	7.34%	1.23%
6M	28.64%	2.18%
YTD	51.61%	3.52%
1Y	71.44%	4.91%
3Y (ann.)	-4.67%	4.15%
5Y (ann.)	-4.67%	4.15%
10Y (ann.)	-4.67%	4.15%
All-time (ann.)	-4.67%	4.15%
Best Day	8.89%	0.08%
Worst Day	-32.96%	-0.02%
Best Month	31.55%	1.17%
Worst Month	-34.08%	-0.52%
Best Year	51.61%	3.52%
Worst Year	-39.28%	1.71%
Avg. Drawdown	-28.08%	-1.25%
Avg. Drawdown Days	335	209
Recovery Factor	-0.15	6.23
Ulcer Index	0.34	0.01
Serenity Index	-0.01	0.35
Avg. Up Month	6.22%	0.55%
Avg. Down Month	-16.3%	-0.44%
Win Days	49.59%	82.53%
Win Month	65.0%	85.0%
Win Quarter	50.0%	75.0%
Win Year	33.33%	100.0%
Beta	-3.06	-
Alpha	0.2	-
Correlation	-2.86%	-
Treynor Ratio	2.77%	-