BCSW[Strategy] vs RUB Inflation[Benchmark]

11 Apr, 2025 - 6 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	8.29%	3.11%
CAGR﹪	10.14%	3.78%
Sharpe	0.95	18.78
Prob. Sharpe Ratio	80.57%	100.0%
Smart Sharpe	0.94	18.48
Sortino	1.41	38.65
Smart Sortino	1.39	38.03
Sortino/√2	1.0	27.33
Smart Sortino/√2	0.98	26.89
Omega	1.16	1.16
Max Drawdown	-7.08%	-0.4%
Longest DD Days	137	63
Volatility (ann.)	10.82%	0.2%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.43	9.46
Skew	0.1	-1.87
Kurtosis	0.45	2.78
Expected Daily	0.04%	0.01%
Expected Monthly	0.73%	0.28%
Expected Yearly	4.06%	1.54%
Kelly Criterion	28.11%	79.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.01%
Expected Shortfall (cVaR)	-1.08%	-0.01%
Max Consecutive Wins	7	109
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.16	7.64
Gain/Pain (1M)	1.82	7.64
Payoff Ratio	1.54	0.98
Profit Factor	1.16	8.64
Common Sense Ratio	1.24	12.92
CPC Index	1.01	7.63
Tail Ratio	1.07	1.49
Outlier Win Ratio	1.67	43.9
Outlier Loss Ratio	1.28	40.66
MTD	-1.08%	0.07%
3M	4.58%	1.0%
6M	5.18%	1.56%
YTD	0.92%	0.32%
1Y	8.29%	3.11%
3Y (ann.)	10.14%	3.78%
5Y (ann.)	10.14%	3.78%
10Y (ann.)	10.14%	3.78%
All-time (ann.)	10.14%	3.78%
Best Day	2.58%	0.03%
Worst Day	-1.67%	-0.02%
Best Month	3.3%	0.57%
Worst Month	-1.67%	-0.4%
Best Year	7.31%	2.78%
Worst Year	0.92%	0.32%
Avg. Drawdown	-2.2%	-0.4%
Avg. Drawdown Days	30	63
Recovery Factor	1.17	7.78
Ulcer Index	0.03	0.0
Serenity Index	0.38	1.67
Avg. Up Month	1.61%	0.35%
Avg. Down Month	-	-
Win Days	56.41%	89.81%
Win Month	63.64%	90.91%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.37	-
Alpha	0.23	-
Correlation	-6.19%	-
Treynor Ratio	-2.46%	-