VTBF RUB[Strategy] vs ^SP500TR USD[Benchmark]

6 Oct, 2021 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	99.0%	100.0%
Cumulative Return	-39.47%	-7.27%
CAGR﹪	-47.07%	-9.13%
Sharpe	-3.78	-3.38
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-3.4	-3.03
Sortino	-4.09	-3.98
Smart Sortino	-3.67	-3.57
Sortino/√2	-2.89	-2.81
Smart Sortino/√2	-2.6	-2.53
Omega	0.43	0.43
Max Drawdown	-41.62%	-22.99%
Longest DD Days	274	198
Volatility (ann.)	36.49%	23.12%
R^2	0.01	0.01
Information Ratio	-0.09	-0.09
Calmar	-1.13	-0.4
Skew	-3.09	-0.34
Kurtosis	25.72	0.86
Expected Daily	-0.3%	-0.05%
Expected Monthly	-4.9%	-0.75%
Expected Yearly	-22.2%	-3.71%
Kelly Criterion	-26.24%	9.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.05%	-2.43%
Expected Shortfall (cVaR)	-4.05%	-2.43%
Max Consecutive Wins	6	7
Max Consecutive Losses	7	5
Gain/Pain Ratio	-0.34	-0.06
Gain/Pain (1M)	-0.8	-0.22
Payoff Ratio	0.72	1.22
Profit Factor	0.66	0.94
Common Sense Ratio	0.43	0.83
CPC Index	0.23	0.58
Tail Ratio	0.64	0.88
Outlier Win Ratio	3.01	3.27
Outlier Loss Ratio	3.32	4.52
MTD	-5.6%	5.72%
3M	-3.85%	-9.94%
6M	-31.68%	-10.09%
YTD	-35.3%	-15.6%
1Y	-39.47%	-7.27%
3Y (ann.)	-47.07%	-9.13%
5Y (ann.)	-47.07%	-9.13%
10Y (ann.)	-47.07%	-9.13%
All-time (ann.)	-47.07%	-9.13%
Best Day	8.78%	4.07%
Worst Day	-18.7%	-4.55%
Best Month	8.78%	5.72%
Worst Month	-28.39%	-8.72%
Best Year	-6.45%	9.87%
Worst Year	-35.3%	-15.6%
Avg. Drawdown	-21.1%	-3.11%
Avg. Drawdown Days	140	23
Recovery Factor	-0.95	-0.32
Ulcer Index	0.26	0.11
Serenity Index	-0.27	-0.74
Avg. Up Month	3.66%	4.61%
Avg. Down Month	-9.38%	-5.17%
Win Days	46.95%	50.6%
Win Month	30.0%	50.0%
Win Quarter	0.0%	50.0%
Win Year	0.0%	50.0%
Beta	0.18	-
Alpha	-0.67	-
Correlation	11.41%	-
Treynor Ratio	-774.16%	-