BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	10.29%	8.17%
CAGR﹪	9.73%	7.73%
Sharpe	0.47	16.18
Prob. Sharpe Ratio	69.15%	100.0%
Smart Sharpe	0.44	15.17
Sortino	0.74	85.85
Smart Sortino	0.69	80.49
Sortino/√2	0.52	60.71
Smart Sortino/√2	0.49	56.92
Omega	1.08	1.08
Max Drawdown	-21.51%	-0.4%
Longest DD Days	290	63
Volatility (ann.)	25.89%	0.44%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.45	19.33
Skew	0.77	1.52
Kurtosis	2.95	4.2
Expected Daily	0.04%	0.03%
Expected Monthly	0.7%	0.56%
Expected Yearly	5.02%	4.01%
Kelly Criterion	26.29%	87.97%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.63%	-0.02%
Expected Shortfall (cVaR)	-2.63%	-0.02%
Max Consecutive Wins	6	184
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.08	19.61
Gain/Pain (1M)	0.51	19.61
Payoff Ratio	2.01	1.74
Profit Factor	1.08	20.61
Common Sense Ratio	1.18	66.02
CPC Index	1.11	33.12
Tail Ratio	1.09	3.2
Outlier Win Ratio	2.07	72.51
Outlier Loss Ratio	1.27	84.11
MTD	-0.9%	0.11%
3M	-7.77%	1.33%
6M	-3.16%	1.73%
YTD	-2.04%	5.39%
1Y	16.95%	6.59%
3Y (ann.)	9.73%	7.73%
5Y (ann.)	9.73%	7.73%
10Y (ann.)	9.73%	7.73%
All-time (ann.)	9.73%	7.73%
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%	5.39%
Worst Year	-2.04%	2.64%
Avg. Drawdown	-5.16%	-0.4%
Avg. Drawdown Days	44	63
Recovery Factor	0.48	20.43
Ulcer Index	0.12	0.0
Serenity Index	0.07	13.22
Avg. Up Month	6.83%	0.8%
Avg. Down Month	-	-
Win Days	50.79%	92.36%
Win Month	42.86%	92.86%
Win Quarter	40.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.57	-
Alpha	0.01	-
Correlation	2.69%	-
Treynor Ratio	6.54%	-