CNYM RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jan, 2024 - 8 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	3.28%	5.11%
CAGR﹪	11.89%	18.92%
Sharpe	1.3	27.98
Prob. Sharpe Ratio	75.67%	100.0%
Smart Sharpe	1.06	22.74
Sortino	1.9	-
Smart Sortino	1.54	-
Sortino/√2	1.34	-
Smart Sortino/√2	1.09	-
Omega	1.23	1.23
Max Drawdown	-3.24%	-
Longest DD Days	-	-
Volatility (ann.)	8.75%	0.61%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	3.66	-
Skew	-0.2	3.23
Kurtosis	-0.42	9.72
Expected Daily	0.04%	0.07%
Expected Monthly	0.65%	1.0%
Expected Yearly	3.28%	5.11%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-0.0%
Expected Shortfall (cVaR)	-0.86%	-0.0%
Max Consecutive Wins	5	73
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.23	-
Gain/Pain (1M)	8.03	-
Payoff Ratio	-	-
Profit Factor	1.23	-
Common Sense Ratio	1.14	-
CPC Index	-	-
Tail Ratio	0.93	3.83
Outlier Win Ratio	1.59	9.79
Outlier Loss Ratio	1.08	-
MTD	-0.42%	0.27%
3M	0.35%	3.72%
6M	3.28%	5.11%
YTD	3.28%	5.11%
1Y	3.28%	5.11%
3Y (ann.)	11.89%	18.92%
5Y (ann.)	11.89%	18.92%
10Y (ann.)	11.89%	18.92%
All-time (ann.)	11.89%	18.92%
Best Day	1.26%	0.21%
Worst Day	-1.09%	0.0%
Best Month	1.34%	1.24%
Worst Month	-0.42%	0.27%
Best Year	3.28%	5.11%
Worst Year	3.28%	5.11%
Avg. Drawdown	-1.25%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.01	-
Ulcer Index	0.01	0.0
Serenity Index	0.55	-
Avg. Up Month	0.92%	1.19%
Avg. Down Month	-	-
Win Days	57.53%	100.0%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.61	-
Alpha	-0.16	-
Correlation	11.17%	-
Treynor Ratio	2.04%	-