SBDS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-64.14%	29.63%
CAGR﹪	-18.78%	5.41%
Sharpe	-0.68	20.11
Prob. Sharpe Ratio	4.54%	100.0%
Smart Sharpe	-0.5	14.77
Sortino	-0.72	167.53
Smart Sortino	-0.53	123.04
Sortino/√2	-0.51	118.46
Smart Sortino/√2	-0.37	87.0
Omega	0.78	0.78
Max Drawdown	-74.45%	-0.4%
Longest DD Days	1646	63
Volatility (ann.)	35.68%	0.41%
R^2	0.33	0.33
Information Ratio	-0.06	-0.06
Calmar	-0.25	13.52
Skew	-13.99	5.48
Kurtosis	245.08	66.83
Expected Daily	-0.13%	0.03%
Expected Monthly	-2.6%	0.67%
Expected Yearly	-15.71%	4.42%
Kelly Criterion	-7.23%	95.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.79%	-0.01%
Expected Shortfall (cVaR)	-3.79%	-0.01%
Max Consecutive Wins	7	587
Max Consecutive Losses	8	21
Gain/Pain Ratio	-0.22	64.77
Gain/Pain (1M)	-0.56	64.77
Payoff Ratio	0.83	1.76
Profit Factor	0.78	65.77
Common Sense Ratio	0.72	563.39
CPC Index	0.33	112.63
Tail Ratio	0.92	8.57
Outlier Win Ratio	1.94	35.74
Outlier Loss Ratio	1.21	61.72
MTD	1.69%	0.3%
3M	0.56%	2.01%
6M	8.57%	4.61%
YTD	1.12%	4.02%
1Y	8.25%	6.38%
3Y (ann.)	-33.46%	8.42%
5Y (ann.)	-18.81%	5.4%
10Y (ann.)	-18.78%	5.41%
All-time (ann.)	-18.78%	5.41%
Best Day	6.74%	0.36%
Worst Day	-42.23%	-0.02%
Best Month	10.68%	1.62%
Worst Month	-63.37%	-0.4%
Best Year	9.34%	9.51%
Worst Year	-63.37%	0.73%
Avg. Drawdown	-6.73%	-0.4%
Avg. Drawdown Days	136	63
Recovery Factor	-0.86	74.07
Ulcer Index	0.61	0.0
Serenity Index	-0.02	132.93
Avg. Up Month	2.76%	0.69%
Avg. Down Month	-	-
Win Days	51.29%	97.34%
Win Month	53.85%	97.44%
Win Quarter	53.33%	100.0%
Win Year	50.0%	100.0%
Beta	-49.52	-
Alpha	3.85	-
Correlation	-57.08%	-
Treynor Ratio	1.3%	-