BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	20.28%	12.99%
CAGR﹪	15.04%	9.71%
Sharpe	0.69	16.88
Prob. Sharpe Ratio	79.19%	-
Smart Sharpe	0.64	15.59
Sortino	1.09	120.78
Smart Sortino	1.0	111.58
Sortino/√2	0.77	85.41
Smart Sortino/√2	0.71	78.9
Omega	1.13	1.13
Max Drawdown	-21.51%	-0.4%
Longest DD Days	386	63
Volatility (ann.)	24.08%	0.54%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.7	24.27
Skew	0.76	0.94
Kurtosis	3.49	0.32
Expected Daily	0.05%	0.04%
Expected Monthly	1.09%	0.72%
Expected Yearly	6.35%	4.15%
Kelly Criterion	25.14%	90.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.43%	-0.02%
Expected Shortfall (cVaR)	-2.43%	-0.02%
Max Consecutive Wins	6	184
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.13	30.48
Gain/Pain (1M)	0.86	30.48
Payoff Ratio	1.83	2.14
Profit Factor	1.13	31.48
Common Sense Ratio	1.18	156.01
CPC Index	1.06	63.12
Tail Ratio	1.05	4.96
Outlier Win Ratio	1.96	51.88
Outlier Loss Ratio	1.33	80.35
MTD	1.95%	0.76%
3M	6.27%	4.46%
6M	-0.08%	5.77%
YTD	4.51%	4.25%
1Y	-4.14%	7.67%
3Y (ann.)	15.04%	9.71%
5Y (ann.)	15.04%	9.71%
10Y (ann.)	15.04%	9.71%
All-time (ann.)	15.04%	9.71%
Best Day	8.43%	0.13%
Worst Day	-4.2%	-0.02%
Best Month	14.42%	1.81%
Worst Month	-7.55%	-0.4%
Best Year	12.59%	5.6%
Worst Year	2.22%	2.64%
Avg. Drawdown	-5.16%	-0.4%
Avg. Drawdown Days	56	63
Recovery Factor	0.94	32.47
Ulcer Index	0.12	0.0
Serenity Index	0.14	31.57
Avg. Up Month	5.34%	0.83%
Avg. Down Month	-	-
Win Days	51.6%	93.75%
Win Month	52.94%	94.12%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	1.04	-
Alpha	0.07	-
Correlation	2.34%	-
Treynor Ratio	19.51%	-