CNYM[Strategy] vs RUB Inflation[Benchmark]

24 Jan, 2024 - 10 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	5.8%	21.77%
CAGR﹪	2.24%	8.05%
Sharpe	0.21	21.01
Prob. Sharpe Ratio	63.51%	100.0%
Smart Sharpe	0.21	20.16
Sortino	0.31	140.18
Smart Sortino	0.3	134.51
Sortino/√2	0.22	99.12
Smart Sortino/√2	0.21	95.11
Omega	1.04	1.04
Max Drawdown	-31.11%	-0.4%
Longest DD Days	621	63
Volatility (ann.)	16.47%	0.36%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.07	20.12
Skew	0.31	1.34
Kurtosis	6.41	4.49
Expected Daily	0.01%	0.03%
Expected Monthly	0.18%	0.62%
Expected Yearly	1.9%	6.79%
Kelly Criterion	24.54%	94.88%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.69%	-0.01%
Expected Shortfall (cVaR)	-1.69%	-0.01%
Max Consecutive Wins	8	392
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.04	49.17
Gain/Pain (1M)	0.16	49.17
Payoff Ratio	1.79	1.71
Profit Factor	1.04	50.17
Common Sense Ratio	1.12	533.55
CPC Index	0.96	82.8
Tail Ratio	1.08	10.64
Outlier Win Ratio	1.9	41.87
Outlier Loss Ratio	1.71	65.87
MTD	4.37%	0.25%
3M	12.55%	2.21%
6M	11.3%	3.53%
YTD	10.99%	5.45%
1Y	12.3%	6.82%
3Y (ann.)	2.24%	8.05%
5Y (ann.)	2.24%	8.05%
10Y (ann.)	2.24%	8.05%
All-time (ann.)	2.24%	8.05%
Best Day	7.29%	0.14%
Worst Day	-4.96%	-0.02%
Best Month	13.51%	1.62%
Worst Month	-9.77%	-0.4%
Best Year	19.76%	9.36%
Worst Year	-20.4%	5.45%
Avg. Drawdown	-3.19%	-0.4%
Avg. Drawdown Days	48	63
Recovery Factor	0.19	54.43
Ulcer Index	0.2	0.0
Serenity Index	0.01	70.43
Avg. Up Month	3.81%	0.64%
Avg. Down Month	-	-
Win Days	51.55%	96.77%
Win Month	56.25%	96.88%
Win Quarter	54.55%	100.0%
Win Year	66.67%	100.0%
Beta	0.33	-
Alpha	0.01	-
Correlation	0.72%	-
Treynor Ratio	17.66%	-