FXRD[Strategy] vs RUB Inflation[Benchmark]

10 Aug, 2021 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-33.4%	37.93%
CAGR﹪	-7.73%	6.57%
Sharpe	-0.01	19.54
Prob. Sharpe Ratio	48.88%	100.0%
Smart Sharpe	-0.01	18.77
Sortino	-0.01	80.28
Smart Sortino	-0.01	77.12
Sortino/√2	-0.01	56.76
Smart Sortino/√2	-0.01	54.53
Omega	1.0	1.0
Max Drawdown	-68.82%	-1.25%
Longest DD Days	1752	204
Volatility (ann.)	33.98%	0.36%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.11	5.24
Skew	-17.78	0.03
Kurtosis	511.46	0.43
Expected Daily	-0.04%	0.03%
Expected Monthly	-0.7%	0.56%
Expected Yearly	-6.55%	5.51%
Kelly Criterion	-106.14%	86.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.52%	-0.01%
Expected Shortfall (cVaR)	-3.52%	-0.01%
Max Consecutive Wins	14	693
Max Consecutive Losses	10	59
Gain/Pain Ratio	-0.0	18.45
Gain/Pain (1M)	-0.01	18.45
Payoff Ratio	0.29	1.69
Profit Factor	1.0	19.45
Common Sense Ratio	0.91	66.43
CPC Index	0.16	30.07
Tail Ratio	0.91	3.42
Outlier Win Ratio	2.06	47.74
Outlier Loss Ratio	1.93	95.03
MTD	9.24%	-0.08%
3M	22.26%	1.35%
6M	12.16%	2.26%
YTD	10.17%	4.67%
1Y	11.04%	6.29%
3Y (ann.)	3.29%	7.78%
5Y (ann.)	-8.43%	6.61%
10Y (ann.)	-7.73%	6.57%
All-time (ann.)	-7.73%	6.57%
Best Day	18.76%	0.09%
Worst Day	-58.98%	-0.02%
Best Month	21.53%	1.62%
Worst Month	-65.33%	-0.52%
Best Year	34.41%	9.51%
Worst Year	-56.77%	2.29%
Avg. Drawdown	-10.12%	-0.58%
Avg. Drawdown Days	259	97
Recovery Factor	-0.49	30.22
Ulcer Index	0.44	0.0
Serenity Index	-0.02	4.97
Avg. Up Month	3.89%	0.62%
Avg. Down Month	-36.28%	-0.43%
Win Days	53.25%	91.31%
Win Month	60.34%	91.38%
Win Quarter	61.9%	90.48%
Win Year	66.67%	100.0%
Beta	4.21	-
Alpha	-0.3	-
Correlation	4.51%	-
Treynor Ratio	-7.94%	-