RSHU[Strategy] vs RUB Inflation[Benchmark]

19 Oct, 2023 - 9 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	23.61%	25.11%
CAGR﹪	7.6%	8.05%
Sharpe	0.47	23.42
Prob. Sharpe Ratio	78.97%	100.0%
Smart Sharpe	0.44	22.06
Sortino	0.71	150.15
Smart Sortino	0.67	141.39
Sortino/√2	0.5	106.18
Smart Sortino/√2	0.47	99.98
Omega	1.09	1.09
Max Drawdown	-16.3%	-0.4%
Longest DD Days	596	63
Volatility (ann.)	19.59%	0.33%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.47	20.13
Skew	0.46	0.78
Kurtosis	2.67	1.73
Expected Daily	0.03%	0.03%
Expected Monthly	0.59%	0.62%
Expected Yearly	5.44%	5.76%
Kelly Criterion	17.09%	95.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.99%	-0.0%
Expected Shortfall (cVaR)	-1.99%	-0.0%
Max Consecutive Wins	8	453
Max Consecutive Losses	8	21
Gain/Pain Ratio	0.09	55.92
Gain/Pain (1M)	0.64	55.92
Payoff Ratio	1.54	1.7
Profit Factor	1.09	56.92
Common Sense Ratio	1.17	605.39
CPC Index	0.83	93.8
Tail Ratio	1.07	10.64
Outlier Win Ratio	2.27	62.44
Outlier Loss Ratio	1.98	85.78
MTD	-1.87%	0.16%
3M	10.55%	1.83%
6M	6.23%	2.87%
YTD	7.13%	5.45%
1Y	0.72%	7.02%
3Y (ann.)	7.6%	8.05%
5Y (ann.)	7.6%	8.05%
10Y (ann.)	7.6%	8.05%
All-time (ann.)	7.6%	8.05%
Best Day	5.69%	0.09%
Worst Day	-3.97%	-0.02%
Best Month	18.88%	1.62%
Worst Month	-6.28%	-0.4%
Best Year	25.52%	9.51%
Worst Year	-8.48%	2.6%
Avg. Drawdown	-3.52%	-0.4%
Avg. Drawdown Days	62	63
Recovery Factor	1.45	62.79
Ulcer Index	0.08	0.0
Serenity Index	0.28	83.27
Avg. Up Month	4.09%	0.75%
Avg. Down Month	-	-
Win Days	49.79%	97.14%
Win Month	47.22%	97.22%
Win Quarter	58.33%	100.0%
Win Year	75.0%	100.0%
Beta	1.73	-
Alpha	-0.04	-
Correlation	2.9%	-
Treynor Ratio	13.67%	-