SBCS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	59.83%	71.27%
CAGR﹪	11.39%	13.17%
Sharpe	0.96	24.68
Prob. Sharpe Ratio	97.87%	100.0%
Smart Sharpe	0.89	22.89
Sortino	1.55	-
Smart Sortino	1.44	-
Sortino/√2	1.1	-
Smart Sortino/√2	1.02	-
Omega	1.82	1.82
Max Drawdown	-14.95%	-
Longest DD Days	-	-
Volatility (ann.)	12.08%	0.51%
R^2	0.11	0.11
Information Ratio	-0.0	-0.0
Calmar	0.76	-
Skew	6.61	8.56
Kurtosis	399.77	121.45
Expected Daily	0.04%	0.05%
Expected Monthly	0.89%	1.02%
Expected Yearly	9.83%	11.36%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-0.0%
Expected Shortfall (cVaR)	-1.21%	-0.0%
Max Consecutive Wins	10	1084
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.82	-
Gain/Pain (1M)	3.51	-
Payoff Ratio	-	-
Profit Factor	1.82	-
Common Sense Ratio	2.84	-
CPC Index	-	-
Tail Ratio	1.56	3.6
Outlier Win Ratio	2.09	6.22
Outlier Loss Ratio	1.2	-
MTD	0.63%	0.53%
3M	4.56%	4.02%
6M	9.62%	8.95%
YTD	15.87%	15.5%
1Y	20.07%	20.96%
3Y (ann.)	12.95%	15.56%
5Y (ann.)	11.39%	13.17%
10Y (ann.)	11.39%	13.17%
All-time (ann.)	11.39%	13.17%
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	-0.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.0	-
Ulcer Index	0.01	0.0
Serenity Index	10.83	-
Avg. Up Month	1.28%	1.04%
Avg. Down Month	-	-
Win Days	66.33%	100.0%
Win Month	94.34%	100.0%
Win Quarter	94.74%	100.0%
Win Year	100.0%	100.0%
Beta	7.97	-
Alpha	-0.88	-
Correlation	33.45%	-
Treynor Ratio	7.5%	-