BCSB[Strategy] vs RUB Inflation[Benchmark]

15 Mar, 2021 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	40.13%	35.89%
CAGR﹪	8.13%	7.36%
Sharpe	0.49	21.46
Prob. Sharpe Ratio	84.11%	100.0%
Smart Sharpe	0.28	12.11
Sortino	0.71	94.01
Smart Sortino	0.4	53.06
Sortino/√2	0.5	66.48
Smart Sortino/√2	0.28	37.52
Omega	1.18	1.18
Max Drawdown	-29.99%	-1.25%
Longest DD Days	253	209
Volatility (ann.)	20.27%	0.33%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.27	5.87
Skew	0.87	0.02
Kurtosis	267.45	0.74
Expected Daily	0.03%	0.03%
Expected Monthly	0.65%	0.59%
Expected Yearly	6.98%	6.33%
Kelly Criterion	-21.14%	90.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.06%	-0.01%
Expected Shortfall (cVaR)	-2.06%	-0.01%
Max Consecutive Wins	9	731
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.18	24.3
Gain/Pain (1M)	2.33	24.3
Payoff Ratio	0.59	1.61
Profit Factor	1.18	25.3
Common Sense Ratio	1.43	97.95
CPC Index	0.38	38.28
Tail Ratio	1.21	3.87
Outlier Win Ratio	2.41	33.8
Outlier Loss Ratio	2.18	57.6
MTD	1.86%	0.1%
3M	11.9%	1.17%
6M	16.9%	3.89%
YTD	17.19%	4.01%
1Y	20.57%	9.39%
3Y (ann.)	11.47%	7.52%
5Y (ann.)	8.13%	7.36%
10Y (ann.)	8.13%	7.36%
All-time (ann.)	8.13%	7.36%
Best Day	25.56%	0.09%
Worst Day	-24.07%	-0.02%
Best Month	6.35%	1.56%
Worst Month	-9.42%	-0.52%
Best Year	17.19%	9.51%
Worst Year	2.57%	4.01%
Avg. Drawdown	-1.16%	-1.25%
Avg. Drawdown Days	15	209
Recovery Factor	1.34	28.61
Ulcer Index	0.04	0.0
Serenity Index	1.9	3.99
Avg. Up Month	1.48%	0.57%
Avg. Down Month	-	-
Win Days	54.96%	93.95%
Win Month	75.0%	94.23%
Win Quarter	73.68%	94.74%
Win Year	100.0%	100.0%
Beta	-1.27	-
Alpha	0.19	-
Correlation	-2.09%	-
Treynor Ratio	-31.69%	-