SBCB[Strategy] vs RUB Inflation[Benchmark]

8 Feb, 2019 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	41.82%	45.62%
CAGR﹪	4.76%	5.13%
Sharpe	0.39	21.53
Prob. Sharpe Ratio	82.79%	100.0%
Smart Sharpe	0.37	20.71
Sortino	0.61	144.7
Smart Sortino	0.59	139.19
Sortino/√2	0.43	102.32
Smart Sortino/√2	0.41	98.43
Omega	1.09	1.09
Max Drawdown	-26.1%	-0.4%
Longest DD Days	1254	120
Volatility (ann.)	21.95%	0.31%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.18	12.83
Skew	2.49	0.53
Kurtosis	98.85	1.07
Expected Daily	0.02%	0.03%
Expected Monthly	0.5%	0.54%
Expected Yearly	4.46%	4.81%
Kelly Criterion	15.17%	90.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.24%	-0.01%
Expected Shortfall (cVaR)	-2.24%	-0.01%
Max Consecutive Wins	8	771
Max Consecutive Losses	10	43
Gain/Pain Ratio	0.09	41.25
Gain/Pain (1M)	0.57	41.25
Payoff Ratio	1.48	3.57
Profit Factor	1.09	42.25
Common Sense Ratio	1.11	811.66
CPC Index	0.8	139.65
Tail Ratio	1.01	19.21
Outlier Win Ratio	2.13	58.03
Outlier Loss Ratio	2.03	171.62
MTD	3.12%	0.29%
3M	7.81%	2.26%
6M	6.24%	3.52%
YTD	3.45%	5.49%
1Y	2.6%	6.86%
3Y (ann.)	11.89%	8.06%
5Y (ann.)	2.23%	5.44%
10Y (ann.)	4.76%	5.13%
All-time (ann.)	4.76%	5.13%
Best Day	24.17%	0.09%
Worst Day	-19.56%	-0.02%
Best Month	23.84%	1.62%
Worst Month	-17.25%	-0.4%
Best Year	25.78%	9.51%
Worst Year	-17.42%	0.73%
Avg. Drawdown	-4.73%	-0.3%
Avg. Drawdown Days	102	83
Recovery Factor	1.6	114.04
Ulcer Index	0.11	0.0
Serenity Index	0.28	81.01
Avg. Up Month	3.9%	0.55%
Avg. Down Month	-2.34%	-0.16%
Win Days	49.33%	92.57%
Win Month	50.0%	92.86%
Win Quarter	48.0%	96.0%
Win Year	62.5%	100.0%
Beta	0.87	-
Alpha	0.03	-
Correlation	1.2%	-
Treynor Ratio	48.35%	-