RSHU[Strategy] vs RUB Inflation[Benchmark]

19 Oct, 2023 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	17.03%	18.52%
CAGR﹪	7.59%	8.22%
Sharpe	0.46	25.06
Prob. Sharpe Ratio	75.22%	100.0%
Smart Sharpe	0.45	24.46
Sortino	0.71	131.56
Smart Sortino	0.69	128.42
Sortino/√2	0.5	93.03
Smart Sortino/√2	0.49	90.81
Omega	1.09	1.09
Max Drawdown	-14.69%	-0.4%
Longest DD Days	338	63
Volatility (ann.)	20.15%	0.31%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.52	20.55
Skew	0.6	0.23
Kurtosis	2.94	1.13
Expected Daily	0.03%	0.03%
Expected Monthly	0.58%	0.63%
Expected Yearly	5.38%	5.83%
Kelly Criterion	17.7%	94.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.05%	-0.0%
Expected Shortfall (cVaR)	-2.05%	-0.0%
Max Consecutive Wins	8	453
Max Consecutive Losses	8	21
Gain/Pain Ratio	0.09	42.41
Gain/Pain (1M)	0.65	42.41
Payoff Ratio	1.54	1.76
Profit Factor	1.09	43.41
Common Sense Ratio	1.19	323.29
CPC Index	0.84	73.41
Tail Ratio	1.09	7.45
Outlier Win Ratio	2.31	62.25
Outlier Loss Ratio	1.98	86.9
MTD	2.71%	0.21%
3M	-6.82%	1.34%
6M	4.35%	1.77%
YTD	-7.18%	5.48%
1Y	0.76%	6.37%
3Y (ann.)	7.59%	8.22%
5Y (ann.)	7.59%	8.22%
10Y (ann.)	7.59%	8.22%
All-time (ann.)	7.59%	8.22%
Best Day	5.69%	0.09%
Worst Day	-3.97%	-0.02%
Best Month	18.88%	1.43%
Worst Month	-6.28%	-0.4%
Best Year	25.52%	9.51%
Worst Year	-7.18%	2.6%
Avg. Drawdown	-3.48%	-0.4%
Avg. Drawdown Days	48	63
Recovery Factor	1.16	46.31
Ulcer Index	0.07	0.0
Serenity Index	0.25	43.04
Avg. Up Month	4.38%	0.78%
Avg. Down Month	-	-
Win Days	50.09%	96.17%
Win Month	44.44%	96.3%
Win Quarter	55.56%	100.0%
Win Year	66.67%	100.0%
Beta	2.59	-
Alpha	-0.11	-
Correlation	3.99%	-
Treynor Ratio	6.59%	-