INGO RUB[Strategy] vs Deposit RUB[Benchmark]

28 Jul, 2021 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	41.07%	64.71%
CAGR﹪	8.86%	13.11%
Sharpe	1.03	35.03
Prob. Sharpe Ratio	95.5%	-
Smart Sharpe	0.78	26.58
Sortino	1.38	-
Smart Sortino	1.05	-
Sortino/√2	0.98	-
Smart Sortino/√2	0.74	-
Omega	1.32	1.32
Max Drawdown	-13.61%	-
Longest DD Days	-	-
Volatility (ann.)	8.84%	0.36%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.65	-
Skew	-4.57	0.72
Kurtosis	151.55	0.14
Expected Daily	0.03%	0.05%
Expected Monthly	0.7%	1.02%
Expected Yearly	7.12%	10.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.88%	-0.01%
Expected Shortfall (cVaR)	-0.88%	-0.01%
Max Consecutive Wins	14	999
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.32	-
Gain/Pain (1M)	2.15	-
Payoff Ratio	-	-
Profit Factor	1.32	-
Common Sense Ratio	1.44	-
CPC Index	-	-
Tail Ratio	1.09	3.5
Outlier Win Ratio	3.32	16.78
Outlier Loss Ratio	1.88	-
MTD	1.05%	1.33%
3M	8.22%	5.3%
6M	14.05%	10.5%
YTD	17.54%	13.45%
1Y	21.3%	22.41%
3Y (ann.)	10.14%	15.27%
5Y (ann.)	8.86%	13.11%
10Y (ann.)	8.86%	13.11%
All-time (ann.)	8.86%	13.11%
Best Day	7.09%	0.15%
Worst Day	-10.42%	0.0%
Best Month	5.42%	1.83%
Worst Month	-5.9%	0.31%
Best Year	17.54%	18.74%
Worst Year	-0.64%	3.19%
Avg. Drawdown	-0.63%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.02	-
Ulcer Index	0.01	0.0
Serenity Index	6.24	-
Avg. Up Month	1.51%	1.08%
Avg. Down Month	-	-
Win Days	56.6%	100.0%
Win Month	71.43%	100.0%
Win Quarter	76.47%	100.0%
Win Year	80.0%	100.0%
Beta	0.75	-
Alpha	-0.0	-
Correlation	3.03%	-
Treynor Ratio	54.98%	-