YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 29 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	20.4%	12.88%
CAGR﹪	12.86%	8.22%
Sharpe	0.53	42.59
Prob. Sharpe Ratio	75.23%	-
Smart Sharpe	0.36	28.7
Sortino	0.82	-
Smart Sortino	0.55	-
Sortino/√2	0.58	-
Smart Sortino/√2	0.39	-
Omega	1.17	1.17
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	31.73%	0.18%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.6	-
Skew	2.62	-0.24
Kurtosis	111.04	-0.62
Expected Daily	0.05%	0.03%
Expected Monthly	0.98%	0.64%
Expected Yearly	9.73%	6.24%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.22%	-0.01%
Expected Shortfall (cVaR)	-3.22%	-0.01%
Max Consecutive Wins	7	393
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	1.49	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.13	-
CPC Index	-	-
Tail Ratio	0.97	5.53
Outlier Win Ratio	2.1	58.16
Outlier Loss Ratio	1.87	-
MTD	6.68%	0.68%
3M	15.59%	1.95%
6M	9.01%	4.07%
YTD	6.59%	7.29%
1Y	8.19%	8.18%
3Y (ann.)	12.86%	8.22%
5Y (ann.)	12.86%	8.22%
10Y (ann.)	12.86%	8.22%
All-time (ann.)	12.86%	8.22%
Best Day	26.44%	0.05%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.14%
Worst Month	-5.89%	0.2%
Best Year	12.96%	7.29%
Worst Year	6.59%	5.21%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.95	-
Ulcer Index	0.12	0.0
Serenity Index	0.18	-
Avg. Up Month	3.16%	0.55%
Avg. Down Month	-	-
Win Days	53.21%	100.0%
Win Month	63.16%	100.0%
Win Quarter	71.43%	100.0%
Win Year	100.0%	100.0%
Beta	-9.1	-
Alpha	0.87	-
Correlation	-5.22%	-
Treynor Ratio	-2.24%	-