SBCS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	55.7%	68.23%
CAGR﹪	11.16%	13.23%
Sharpe	0.93	23.79
Prob. Sharpe Ratio	97.38%	100.0%
Smart Sharpe	0.86	22.07
Sortino	1.5	-
Smart Sortino	1.39	-
Sortino/√2	1.06	-
Smart Sortino/√2	0.98	-
Omega	1.79	1.79
Max Drawdown	-14.95%	-
Longest DD Days	-	-
Volatility (ann.)	12.31%	0.53%
R^2	0.11	0.11
Information Ratio	-0.01	-0.01
Calmar	0.75	-
Skew	6.5	7.95
Kurtosis	385.35	106.79
Expected Daily	0.04%	0.05%
Expected Monthly	0.87%	1.03%
Expected Yearly	9.26%	10.96%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.0%
Expected Shortfall (cVaR)	-1.23%	-0.0%
Max Consecutive Wins	10	1043
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.79	-
Gain/Pain (1M)	3.33	-
Payoff Ratio	-	-
Profit Factor	1.79	-
Common Sense Ratio	2.75	-
CPC Index	-	-
Tail Ratio	1.54	3.62
Outlier Win Ratio	2.19	6.54
Outlier Loss Ratio	1.19	-
MTD	0.87%	1.33%
3M	5.07%	5.3%
6M	10.02%	10.5%
YTD	12.88%	13.45%
1Y	20.35%	22.41%
3Y (ann.)	12.35%	15.27%
5Y (ann.)	11.16%	13.23%
10Y (ann.)	11.16%	13.23%
All-time (ann.)	11.16%	13.23%
Best Day	18.08%	0.51%
Worst Day	-13.96%	0.0%
Best Month	17.8%	1.83%
Worst Month	-13.68%	0.41%
Best Year	15.93%	18.74%
Worst Year	2.88%	3.77%
Avg. Drawdown	-0.29%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.73	-
Ulcer Index	0.02	0.0
Serenity Index	9.88	-
Avg. Up Month	1.28%	1.04%
Avg. Down Month	-	-
Win Days	66.28%	100.0%
Win Month	94.12%	100.0%
Win Quarter	94.44%	100.0%
Win Year	100.0%	100.0%
Beta	7.65	-
Alpha	-0.85	-
Correlation	32.79%	-
Treynor Ratio	7.28%	-