SBCN[Strategy] vs RUB Inflation[Benchmark]

16 Jan, 2023 - 24 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	35.55%	30.53%
CAGR﹪	8.8%	7.67%
Sharpe	0.62	24.49
Prob. Sharpe Ratio	88.21%	100.0%
Smart Sharpe	0.6	23.82
Sortino	0.91	159.92
Smart Sortino	0.89	155.58
Sortino/√2	0.64	113.08
Smart Sortino/√2	0.63	110.01
Omega	1.12	1.12
Max Drawdown	-29.12%	-0.4%
Longest DD Days	633	63
Volatility (ann.)	15.4%	0.3%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.3	19.17
Skew	0.16	0.8
Kurtosis	3.17	1.97
Expected Daily	0.03%	0.03%
Expected Monthly	0.69%	0.61%
Expected Yearly	7.9%	6.89%
Kelly Criterion	27.56%	96.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.56%	-0.0%
Expected Shortfall (cVaR)	-1.56%	-0.0%
Max Consecutive Wins	10	646
Max Consecutive Losses	8	21
Gain/Pain Ratio	0.12	66.5
Gain/Pain (1M)	0.55	66.5
Payoff Ratio	1.96	1.54
Profit Factor	1.12	67.5
Common Sense Ratio	1.18	537.52
CPC Index	1.14	101.81
Tail Ratio	1.05	7.96
Outlier Win Ratio	2.01	46.0
Outlier Loss Ratio	1.84	66.3
MTD	6.63%	0.38%
3M	18.88%	1.84%
6M	14.95%	2.88%
YTD	13.53%	5.15%
1Y	13.41%	6.72%
3Y (ann.)	1.0%	8.0%
5Y (ann.)	8.8%	7.67%
10Y (ann.)	8.8%	7.67%
All-time (ann.)	8.8%	7.67%
Best Day	5.06%	0.09%
Worst Day	-4.23%	-0.02%
Best Month	13.51%	1.62%
Worst Month	-9.03%	-0.4%
Best Year	26.22%	9.51%
Worst Year	-18.9%	5.15%
Avg. Drawdown	-3.44%	-0.4%
Avg. Drawdown Days	51	63
Recovery Factor	1.22	76.33
Ulcer Index	0.16	0.0
Serenity Index	0.07	116.13
Avg. Up Month	3.89%	0.59%
Avg. Down Month	-	-
Win Days	52.04%	97.7%
Win Month	59.09%	97.73%
Win Quarter	60.0%	100.0%
Win Year	75.0%	100.0%
Beta	-0.6	-
Alpha	0.14	-
Correlation	-1.16%	-
Treynor Ratio	-59.47%	-