BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 24 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	15.08%	12.16%
CAGR﹪	10.26%	8.3%
Sharpe	0.53	17.52
Prob. Sharpe Ratio	74.12%	100.0%
Smart Sharpe	0.49	16.21
Sortino	0.82	108.45
Smart Sortino	0.76	100.36
Sortino/√2	0.58	76.69
Smart Sortino/√2	0.54	70.97
Omega	1.1	1.1
Max Drawdown	-21.51%	-0.4%
Longest DD Days	430	63
Volatility (ann.)	23.2%	0.45%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.48	20.76
Skew	0.81	1.42
Kurtosis	3.92	2.99
Expected Daily	0.04%	0.03%
Expected Monthly	0.78%	0.64%
Expected Yearly	4.79%	3.9%
Kelly Criterion	22.65%	91.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.36%	-0.02%
Expected Shortfall (cVaR)	-2.36%	-0.02%
Max Consecutive Wins	6	184
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.1	28.64
Gain/Pain (1M)	0.63	28.64
Payoff Ratio	1.73	1.81
Profit Factor	1.1	29.64
Common Sense Ratio	1.15	146.88
CPC Index	0.97	50.69
Tail Ratio	1.05	4.96
Outlier Win Ratio	1.97	58.09
Outlier Loss Ratio	1.37	78.74
MTD	-1.2%	0.49%
3M	-2.12%	2.22%
6M	7.46%	4.38%
YTD	-0.0%	3.48%
1Y	-0.6%	6.06%
3Y (ann.)	10.26%	8.3%
5Y (ann.)	10.26%	8.3%
10Y (ann.)	10.26%	8.3%
All-time (ann.)	10.26%	8.3%
Best Day	8.43%	0.13%
Worst Day	-4.2%	-0.02%
Best Month	14.42%	1.62%
Worst Month	-7.55%	-0.4%
Best Year	12.59%	5.6%
Worst Year	-0.0%	2.64%
Avg. Drawdown	-5.16%	-0.4%
Avg. Drawdown Days	62	63
Recovery Factor	0.7	30.39
Ulcer Index	0.12	0.0
Serenity Index	0.1	26.85
Avg. Up Month	5.82%	0.85%
Avg. Down Month	-	-
Win Days	51.02%	94.29%
Win Month	44.44%	94.44%
Win Quarter	57.14%	100.0%
Win Year	66.67%	100.0%
Beta	1.51	-
Alpha	0.0	-
Correlation	2.91%	-
Treynor Ratio	9.99%	-