BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 16 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	12.49%	7.25%
CAGR﹪	13.68%	7.92%
Sharpe	0.6	15.47
Prob. Sharpe Ratio	72.39%	100.0%
Smart Sharpe	0.55	14.27
Sortino	0.95	82.04
Smart Sortino	0.87	75.7
Sortino/√2	0.67	58.01
Smart Sortino/√2	0.62	53.53
Omega	1.11	1.11
Max Drawdown	-19.22%	-0.4%
Longest DD Days	240	66
Volatility (ann.)	26.18%	0.48%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.71	19.81
Skew	0.8	1.35
Kurtosis	3.1	3.15
Expected Daily	0.05%	0.03%
Expected Monthly	0.99%	0.58%
Expected Yearly	6.06%	3.56%
Kelly Criterion	27.58%	86.34%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.02%
Expected Shortfall (cVaR)	-2.65%	-0.02%
Max Consecutive Wins	6	184
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.11	17.47
Gain/Pain (1M)	0.74	17.47
Payoff Ratio	1.99	1.8
Profit Factor	1.11	18.47
Common Sense Ratio	1.25	59.18
CPC Index	1.14	30.35
Tail Ratio	1.12	3.2
Outlier Win Ratio	2.28	77.02
Outlier Loss Ratio	1.3	86.92
MTD	0.99%	0.19%
3M	0.09%	0.42%
6M	0.27%	1.53%
YTD	-0.09%	4.5%
1Y	12.49%	7.25%
3Y (ann.)	13.68%	7.92%
5Y (ann.)	13.68%	7.92%
10Y (ann.)	13.68%	7.92%
All-time (ann.)	13.68%	7.92%
Best Day	8.43%	0.13%
Worst Day	-4.2%	-0.02%
Best Month	14.42%	1.32%
Worst Month	-7.55%	-0.4%
Best Year	12.59%	4.5%
Worst Year	-0.09%	2.64%
Avg. Drawdown	-4.88%	-0.4%
Avg. Drawdown Days	38	66
Recovery Factor	0.65	18.13
Ulcer Index	0.1	0.0
Serenity Index	0.11	10.87
Avg. Up Month	5.89%	0.75%
Avg. Down Month	-	-
Win Days	51.8%	91.21%
Win Month	50.0%	91.67%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.44	-
Alpha	0.05	-
Correlation	2.61%	-
Treynor Ratio	8.69%	-