BCSW[Strategy] vs RUB Inflation[Benchmark]

11 Apr, 2025 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	99.0%
Cumulative Return	5.63%	2.06%
CAGR﹪	15.58%	5.54%
Sharpe	1.43	50.8
Prob. Sharpe Ratio	80.89%	100.0%
Smart Sharpe	1.39	49.39
Sortino	2.12	-
Smart Sortino	2.06	-
Sortino/√2	1.5	-
Smart Sortino/√2	1.46	-
Omega	1.25	1.25
Max Drawdown	-4.25%	-
Longest DD Days	-	-
Volatility (ann.)	10.42%	0.11%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	3.67	-
Skew	-0.15	-1.15
Kurtosis	-0.15	0.18
Expected Daily	0.06%	0.02%
Expected Monthly	1.1%	0.41%
Expected Yearly	5.63%	2.06%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.02%	-0.01%
Expected Shortfall (cVaR)	-1.02%	-0.01%
Max Consecutive Wins	7	95
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.25	-
Gain/Pain (1M)	3.45	-
Payoff Ratio	-	-
Profit Factor	1.25	-
Common Sense Ratio	1.34	-
CPC Index	-	-
Tail Ratio	1.07	2.85
Outlier Win Ratio	1.42	32.44
Outlier Loss Ratio	1.2	-
MTD	3.98%	0.47%
3M	7.86%	1.33%
6M	5.63%	2.06%
YTD	5.63%	2.06%
1Y	5.63%	2.06%
3Y (ann.)	15.58%	5.54%
5Y (ann.)	15.58%	5.54%
10Y (ann.)	15.58%	5.54%
All-time (ann.)	15.58%	5.54%
Best Day	1.64%	0.03%
Worst Day	-1.58%	0.0%
Best Month	3.98%	0.57%
Worst Month	-1.67%	0.2%
Best Year	5.63%	2.06%
Worst Year	5.63%	2.06%
Avg. Drawdown	-1.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.32	-
Ulcer Index	0.02	0.0
Serenity Index	0.46	-
Avg. Up Month	1.81%	0.4%
Avg. Down Month	-	-
Win Days	58.24%	100.0%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.31	-
Alpha	0.08	-
Correlation	1.32%	-
Treynor Ratio	4.3%	-