BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	10.09%	14.25%
CAGR﹪	5.04%	7.05%
Sharpe	0.32	16.06
Prob. Sharpe Ratio	67.4%	100.0%
Smart Sharpe	0.31	15.44
Sortino	0.48	105.83
Smart Sortino	0.46	101.75
Sortino/√2	0.34	74.83
Smart Sortino/√2	0.33	71.95
Omega	1.06	1.06
Max Drawdown	-36.08%	-0.4%
Longest DD Days	619	63
Volatility (ann.)	24.75%	0.42%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.14	17.61
Skew	0.67	1.64
Kurtosis	3.89	4.02
Expected Daily	0.02%	0.03%
Expected Monthly	0.4%	0.56%
Expected Yearly	3.26%	4.54%
Kelly Criterion	-2.75%	88.36%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.53%	-0.02%
Expected Shortfall (cVaR)	-2.53%	-0.02%
Max Consecutive Wins	6	231
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.06	27.71
Gain/Pain (1M)	0.35	27.71
Payoff Ratio	0.93	2.57
Profit Factor	1.06	28.71
Common Sense Ratio	1.11	712.39
CPC Index	0.5	67.68
Tail Ratio	1.05	24.82
Outlier Win Ratio	1.75	63.1
Outlier Loss Ratio	1.53	158.31
MTD	10.64%	0.35%
3M	11.65%	0.67%
6M	-1.52%	2.22%
YTD	-4.34%	5.41%
1Y	5.15%	6.23%
3Y (ann.)	5.04%	7.05%
5Y (ann.)	5.04%	7.05%
10Y (ann.)	5.04%	7.05%
All-time (ann.)	5.04%	7.05%
Best Day	8.59%	0.13%
Worst Day	-5.41%	-0.02%
Best Month	14.42%	1.62%
Worst Month	-8.62%	-0.4%
Best Year	12.59%	5.6%
Worst Year	-4.34%	2.64%
Avg. Drawdown	-6.98%	-0.24%
Avg. Drawdown Days	85	50
Recovery Factor	0.28	35.61
Ulcer Index	0.15	0.0
Serenity Index	0.04	39.16
Avg. Up Month	6.12%	0.74%
Avg. Down Month	-2.83%	-0.08%
Win Days	50.43%	91.62%
Win Month	41.67%	91.67%
Win Quarter	55.56%	100.0%
Win Year	66.67%	100.0%
Beta	1.3	-
Alpha	-0.01	-
Correlation	2.18%	-
Treynor Ratio	7.77%	-