TRAI[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-37.41%	10.66%
CAGR﹪	-21.22%	5.29%
Sharpe	-0.37	8.9
Prob. Sharpe Ratio	31.03%	100.0%
Smart Sharpe	-0.37	8.87
Sortino	-0.44	50.83
Smart Sortino	-0.43	50.64
Sortino/√2	-0.31	35.94
Smart Sortino/√2	-0.31	35.81
Omega	0.92	0.92
Max Drawdown	-55.27%	-1.25%
Longest DD Days	709	209
Volatility (ann.)	46.47%	0.71%
R^2	0.06	0.06
Information Ratio	-0.03	-0.03
Calmar	-0.38	4.22
Skew	-4.98	8.05
Kurtosis	51.64	93.69
Expected Daily	-0.12%	0.03%
Expected Monthly	-2.11%	0.46%
Expected Yearly	-14.46%	3.44%
Kelly Criterion	-21.6%	74.36%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.88%	-0.05%
Expected Shortfall (cVaR)	-4.88%	-0.05%
Max Consecutive Wins	5	263
Max Consecutive Losses	6	65
Gain/Pain Ratio	-0.08	8.03
Gain/Pain (1M)	-0.21	8.03
Payoff Ratio	0.72	1.72
Profit Factor	0.92	9.03
Common Sense Ratio	1.07	25.75
CPC Index	0.33	13.0
Tail Ratio	1.16	2.85
Outlier Win Ratio	1.74	82.14
Outlier Loss Ratio	1.43	131.4
MTD	-22.81%	1.11%
3M	-36.08%	3.11%
6M	-13.29%	4.48%
YTD	3.69%	6.25%
1Y	20.32%	7.45%
3Y (ann.)	-21.22%	5.29%
5Y (ann.)	-21.22%	5.29%
10Y (ann.)	-21.22%	5.29%
All-time (ann.)	-21.22%	5.29%
Best Day	8.89%	0.55%
Worst Day	-32.96%	-0.02%
Best Month	31.55%	1.17%
Worst Month	-34.08%	-0.52%
Best Year	3.69%	6.25%
Worst Year	-39.28%	1.71%
Avg. Drawdown	-28.08%	-1.25%
Avg. Drawdown Days	356	209
Recovery Factor	-0.68	8.5
Ulcer Index	0.33	0.01
Serenity Index	-0.06	0.92
Avg. Up Month	6.22%	0.55%
Avg. Down Month	-16.3%	-0.44%
Win Days	49.1%	83.79%
Win Month	59.09%	86.36%
Win Quarter	55.56%	77.78%
Win Year	33.33%	100.0%
Beta	-15.74	-
Alpha	0.83	-
Correlation	-24.18%	-
Treynor Ratio	2.38%	-