BCSW[Strategy] vs RUB Inflation[Benchmark]

11 Apr, 2025 - 8 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	99.0%
Cumulative Return	4.44%	1.3%
CAGR﹪	14.26%	4.03%
Sharpe	1.3	32.78
Prob. Sharpe Ratio	76.8%	-
Smart Sharpe	1.27	32.09
Sortino	1.87	-
Smart Sortino	1.83	-
Sortino/√2	1.32	-
Smart Sortino/√2	1.3	-
Omega	1.22	1.22
Max Drawdown	-4.25%	-
Longest DD Days	-	-
Volatility (ann.)	10.61%	0.12%
R^2	0.01	0.01
Information Ratio	0.06	0.06
Calmar	3.36	-
Skew	-0.27	0.6
Kurtosis	-0.26	-1.07
Expected Daily	0.05%	0.02%
Expected Monthly	0.87%	0.26%
Expected Yearly	4.44%	1.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.0%
Expected Shortfall (cVaR)	-1.04%	-0.0%
Max Consecutive Wins	7	82
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.75	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.17	-
CPC Index	-	-
Tail Ratio	0.96	2.85
Outlier Win Ratio	1.35	42.1
Outlier Loss Ratio	1.14	-
MTD	2.82%	0.06%
3M	4.24%	0.84%
6M	4.44%	1.3%
YTD	4.44%	1.3%
1Y	4.44%	1.3%
3Y (ann.)	14.26%	4.03%
5Y (ann.)	14.26%	4.03%
10Y (ann.)	14.26%	4.03%
All-time (ann.)	14.26%	4.03%
Best Day	1.64%	0.03%
Worst Day	-1.58%	0.0%
Best Month	2.82%	0.43%
Worst Month	-1.67%	0.06%
Best Year	4.44%	1.3%
Worst Year	4.44%	1.3%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.05	-
Ulcer Index	0.02	0.0
Serenity Index	0.34	-
Avg. Up Month	1.52%	0.22%
Avg. Down Month	-	-
Win Days	58.97%	100.0%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-6.59	-
Alpha	0.4	-
Correlation	-7.41%	-
Treynor Ratio	-0.67%	-