INFL RUB[Strategy] vs TRND RUB[Benchmark]

24 Mar, 2025 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	90.0%	90.0%
Cumulative Return	-0.98%	-11.6%
CAGR﹪	-27.89%	-98.33%
Sharpe	-2.19	-10.14
Prob. Sharpe Ratio	30.56%	0.84%
Smart Sharpe	-1.59	-7.35
Sortino	-3.3	-9.2
Smart Sortino	-2.39	-6.67
Sortino/√2	-2.33	-6.51
Smart Sortino/√2	-1.69	-4.72
Omega	0.7	0.7
Max Drawdown	-1.92%	-12.4%
Longest DD Days	7	9
Volatility (ann.)	14.0%	30.71%
R^2	0.07	0.07
Information Ratio	0.48	0.48
Calmar	-14.49	-7.93
Skew	0.96	-0.08
Kurtosis	-0.18	-0.93
Expected Daily	-0.1%	-1.23%
Expected Monthly	-0.49%	-5.98%
Expected Yearly	-0.98%	-11.6%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.55%	-4.39%
Expected Shortfall (cVaR)	-1.55%	-4.39%
Max Consecutive Wins	2	1
Max Consecutive Losses	2	3
Gain/Pain Ratio	-0.24	-0.79
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	-	-
Profit Factor	0.76	0.21
Common Sense Ratio	1.15	0.07
CPC Index	-	-
Tail Ratio	1.51	0.32
Outlier Win Ratio	2.48	1.89
Outlier Loss Ratio	3.36	1.05
MTD	-0.13%	-7.98%
3M	-0.98%	-11.6%
6M	-0.98%	-11.6%
YTD	-0.98%	-11.6%
1Y	-0.98%	-11.6%
3Y (ann.)	-27.89%	-98.33%
5Y (ann.)	-27.89%	-98.33%
10Y (ann.)	-27.89%	-98.33%
All-time (ann.)	-27.89%	-98.33%
Best Day	1.56%	1.52%
Worst Day	-1.01%	-4.47%
Best Month	-0.13%	-3.94%
Worst Month	-0.86%	-7.98%
Best Year	-0.98%	-11.6%
Worst Year	-0.98%	-11.6%
Avg. Drawdown	-1.27%	-12.4%
Avg. Drawdown Days	4	9
Recovery Factor	-0.51	-0.94
Ulcer Index	0.01	0.07
Serenity Index	-2.99	-0.48
Avg. Up Month	-	-
Avg. Down Month	-0.49%	-5.96%
Win Days	44.44%	33.33%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	-0.12	-
Alpha	-0.61	-
Correlation	-26.65%	-
Treynor Ratio	65.69%	-