FXRW[Strategy] vs RUB Inflation[Benchmark]

10 Jan, 2020 - 30 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	4.96%	58.55%
CAGR﹪	0.8%	7.9%
Sharpe	0.23	6.26
Prob. Sharpe Ratio	69.65%	100.0%
Smart Sharpe	0.23	6.19
Sortino	0.27	102.89
Smart Sortino	0.27	101.75
Sortino/√2	0.19	72.76
Smart Sortino/√2	0.19	71.95
Omega	1.06	1.06
Max Drawdown	-71.54%	-1.25%
Longest DD Days	1534	205
Volatility (ann.)	31.89%	1.25%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.01	6.3
Skew	-13.19	14.17
Kurtosis	359.96	212.69
Expected Daily	0.0%	0.03%
Expected Monthly	0.07%	0.63%
Expected Yearly	0.69%	6.81%
Kelly Criterion	-51.27%	87.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.27%	-0.1%
Expected Shortfall (cVaR)	-3.27%	-0.1%
Max Consecutive Wins	11	718
Max Consecutive Losses	9	62
Gain/Pain Ratio	0.06	26.02
Gain/Pain (1M)	0.24	26.02
Payoff Ratio	0.43	2.04
Profit Factor	1.06	27.02
Common Sense Ratio	1.05	93.87
CPC Index	0.25	50.45
Tail Ratio	0.99	3.47
Outlier Win Ratio	2.04	51.85
Outlier Loss Ratio	1.9	144.28
MTD	-1.71%	0.3%
3M	-3.07%	1.09%
6M	2.55%	1.54%
YTD	-1.71%	0.3%
1Y	-5.46%	4.76%
3Y (ann.)	22.26%	7.35%
5Y (ann.)	-2.2%	8.44%
10Y (ann.)	0.8%	7.9%
All-time (ann.)	0.8%	7.9%
Best Day	16.77%	1.23%
Worst Day	-54.05%	-0.02%
Best Month	21.4%	7.61%
Worst Month	-62.61%	-0.52%
Best Year	54.14%	11.92%
Worst Year	-60.04%	0.3%
Avg. Drawdown	-4.87%	-0.59%
Avg. Drawdown Days	66	111
Recovery Factor	0.07	46.66
Ulcer Index	0.34	0.0
Serenity Index	0.0	33.11
Avg. Up Month	4.47%	0.6%
Avg. Down Month	-24.68%	-0.31%
Win Days	54.25%	91.55%
Win Month	67.14%	91.78%
Win Quarter	68.0%	96.0%
Win Year	57.14%	100.0%
Beta	0.24	-
Alpha	0.06	-
Correlation	0.94%	-
Treynor Ratio	20.85%	-