CNYM RUB[Strategy] vs TDIV RUB[Benchmark]

30 Jan, 2024 - 9 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	96.0%
Cumulative Return	-2.94%	-9.64%
CAGR﹪	-2.47%	-8.15%
Sharpe	-0.41	-0.56
Prob. Sharpe Ratio	10.25%	6.71%
Smart Sharpe	-0.39	-0.53
Sortino	-0.58	-0.82
Smart Sortino	-0.55	-0.78
Sortino/√2	-0.41	-0.58
Smart Sortino/√2	-0.39	-0.55
Omega	0.92	0.92
Max Drawdown	-25.26%	-29.94%
Longest DD Days	139	327
Volatility (ann.)	18.33%	22.44%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	-0.1	-0.27
Skew	0.44	0.83
Kurtosis	8.47	4.81
Expected Daily	-0.01%	-0.03%
Expected Monthly	-0.19%	-0.63%
Expected Yearly	-1.48%	-4.94%
Kelly Criterion	14.1%	1.7%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.9%	-2.35%
Expected Shortfall (cVaR)	-1.9%	-2.35%
Max Consecutive Wins	7	8
Max Consecutive Losses	7	8
Gain/Pain Ratio	-0.01	-0.05
Gain/Pain (1M)	-0.03	-0.16
Payoff Ratio	1.3	1.02
Profit Factor	0.99	0.95
Common Sense Ratio	0.95	0.91
CPC Index	0.66	0.49
Tail Ratio	0.96	0.96
Outlier Win Ratio	4.79	3.83
Outlier Loss Ratio	4.57	3.38
MTD	-1.93%	-5.2%
3M	-17.31%	-2.42%
6M	-16.85%	-0.21%
YTD	-18.37%	-3.4%
1Y	-6.09%	-14.66%
3Y (ann.)	-2.47%	-8.15%
5Y (ann.)	-2.47%	-8.15%
10Y (ann.)	-2.47%	-8.15%
All-time (ann.)	-2.47%	-8.15%
Best Day	7.29%	8.47%
Worst Day	-4.96%	-4.14%
Best Month	13.51%	15.07%
Worst Month	-9.77%	-11.31%
Best Year	18.9%	-3.4%
Worst Year	-18.37%	-6.45%
Avg. Drawdown	-2.98%	-5.4%
Avg. Drawdown Days	22	57
Recovery Factor	-0.12	-0.32
Ulcer Index	0.09	0.15
Serenity Index	-0.07	-0.06
Avg. Up Month	3.29%	2.97%
Avg. Down Month	-2.34%	-5.54%
Win Days	51.49%	50.34%
Win Month	56.25%	56.25%
Win Quarter	50.0%	50.0%
Win Year	50.0%	0.0%
Beta	-0.06	-
Alpha	-0.01	-
Correlation	-6.76%	-
Treynor Ratio	179.98%	-