YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	16.21%	1.76%
CAGR﹪	54.52%	5.19%
Sharpe	0.99	35.75
Prob. Sharpe Ratio	72.89%	-
Smart Sharpe	0.62	22.25
Sortino	1.57	-
Smart Sortino	0.98	-
Sortino/√2	1.11	-
Smart Sortino/√2	0.69	-
Omega	1.42	1.42
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	60.23%	0.14%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	2.53	-
Skew	1.6	0.52
Kurtosis	37.37	-1.12
Expected Daily	0.17%	0.02%
Expected Monthly	3.05%	0.35%
Expected Yearly	16.21%	1.76%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.0%	-0.01%
Expected Shortfall (cVaR)	-6.0%	-0.01%
Max Consecutive Wins	7	89
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.42	-
Gain/Pain (1M)	28.52	-
Payoff Ratio	-	-
Profit Factor	1.42	-
Common Sense Ratio	1.48	-
CPC Index	-	-
Tail Ratio	1.04	2.83
Outlier Win Ratio	2.31	156.69
Outlier Loss Ratio	1.78	-
MTD	-0.76%	0.19%
3M	13.6%	1.23%
6M	16.21%	1.76%
YTD	16.21%	1.76%
1Y	16.21%	1.76%
3Y (ann.)	54.52%	5.19%
5Y (ann.)	54.52%	5.19%
10Y (ann.)	54.52%	5.19%
All-time (ann.)	54.52%	5.19%
Best Day	26.44%	0.03%
Worst Day	-21.55%	0.0%
Best Month	8.66%	0.63%
Worst Month	-0.76%	0.19%
Best Year	16.21%	1.76%
Worst Year	16.21%	1.76%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.75	-
Ulcer Index	0.12	0.0
Serenity Index	0.25	-
Avg. Up Month	5.45%	0.43%
Avg. Down Month	-	-
Win Days	60.67%	100.0%
Win Month	60.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-1.74	-
Alpha	0.68	-
Correlation	-0.39%	-
Treynor Ratio	-9.34%	-