SBCN[Strategy] vs RUB Inflation[Benchmark]

16 Jan, 2023 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	19.91%	23.26%
CAGR﹪	7.2%	8.33%
Sharpe	0.53	31.78
Prob. Sharpe Ratio	80.45%	-
Smart Sharpe	0.51	30.58
Sortino	0.77	-
Smart Sortino	0.74	-
Sortino/√2	0.54	-
Smart Sortino/√2	0.52	-
Omega	1.1	1.1
Max Drawdown	-27.14%	-
Longest DD Days	-	-
Volatility (ann.)	15.27%	0.25%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.27	-
Skew	0.24	0.75
Kurtosis	3.99	-0.15
Expected Daily	0.03%	0.03%
Expected Monthly	0.57%	0.66%
Expected Yearly	6.24%	7.22%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.55%	-0.01%
Expected Shortfall (cVaR)	-1.55%	-0.01%
Max Consecutive Wins	8	665
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.47	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.11	-
CPC Index	-	-
Tail Ratio	1.01	6.12
Outlier Win Ratio	2.07	43.51
Outlier Loss Ratio	1.85	-
MTD	1.38%	0.47%
3M	1.11%	1.33%
6M	-6.33%	2.83%
YTD	-18.55%	4.86%
1Y	0.23%	9.13%
3Y (ann.)	7.2%	8.33%
5Y (ann.)	7.2%	8.33%
10Y (ann.)	7.2%	8.33%
All-time (ann.)	7.2%	8.33%
Best Day	5.06%	0.07%
Worst Day	-4.13%	0.0%
Best Month	13.51%	1.43%
Worst Month	-9.03%	0.2%
Best Year	26.22%	9.51%
Worst Year	-18.55%	4.86%
Avg. Drawdown	-3.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.73	-
Ulcer Index	0.12	0.0
Serenity Index	0.07	-
Avg. Up Month	3.53%	0.6%
Avg. Down Month	-	-
Win Days	52.66%	100.0%
Win Month	59.38%	100.0%
Win Quarter	63.64%	100.0%
Win Year	66.67%	100.0%
Beta	-1.76	-
Alpha	0.22	-
Correlation	-2.87%	-
Treynor Ratio	-11.33%	-