BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 10 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	6.69%	11.97%
CAGR﹪	4.22%	7.48%
Sharpe	0.29	15.84
Prob. Sharpe Ratio	64.45%	100.0%
Smart Sharpe	0.27	14.76
Sortino	0.45	102.48
Smart Sortino	0.42	95.51
Sortino/√2	0.32	72.46
Smart Sortino/√2	0.3	67.53
Omega	1.05	1.05
Max Drawdown	-21.51%	-0.4%
Longest DD Days	477	63
Volatility (ann.)	22.69%	0.45%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.2	18.7
Skew	0.83	1.52
Kurtosis	4.05	3.1
Expected Daily	0.02%	0.03%
Expected Monthly	0.32%	0.57%
Expected Yearly	2.18%	3.84%
Kelly Criterion	20.08%	91.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-0.02%
Expected Shortfall (cVaR)	-2.32%	-0.02%
Max Consecutive Wins	6	195
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.05	28.21
Gain/Pain (1M)	0.29	28.21
Payoff Ratio	1.71	1.67
Profit Factor	1.05	29.21
Common Sense Ratio	1.06	144.76
CPC Index	0.89	46.3
Tail Ratio	1.01	4.96
Outlier Win Ratio	1.91	61.48
Outlier Loss Ratio	1.38	77.12
MTD	-2.02%	0.05%
3M	-11.3%	0.76%
6M	-5.74%	3.53%
YTD	-7.29%	3.3%
1Y	-4.39%	5.27%
3Y (ann.)	4.22%	7.48%
5Y (ann.)	4.22%	7.48%
10Y (ann.)	4.22%	7.48%
All-time (ann.)	4.22%	7.48%
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	-7.29%	2.64%
Avg. Drawdown	-5.16%	-0.4%
Avg. Drawdown Days	68	63
Recovery Factor	0.31	29.91
Ulcer Index	0.12	0.0
Serenity Index	0.04	28.88
Avg. Up Month	5.82%	0.85%
Avg. Down Month	-	-
Win Days	49.6%	94.75%
Win Month	40.0%	95.0%
Win Quarter	57.14%	100.0%
Win Year	66.67%	100.0%
Beta	2.13	-
Alpha	-0.09	-
Correlation	4.21%	-
Treynor Ratio	3.14%	-