SBDS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-66.27%	24.22%
CAGR﹪	-21.58%	4.97%
Sharpe	-0.81	19.66
Prob. Sharpe Ratio	2.64%	100.0%
Smart Sharpe	-0.59	14.33
Sortino	-0.85	151.77
Smart Sortino	-0.62	110.62
Sortino/√2	-0.6	107.32
Smart Sortino/√2	-0.44	78.22
Omega	0.74	0.74
Max Drawdown	-74.45%	-0.4%
Longest DD Days	1479	63
Volatility (ann.)	38.37%	0.41%
R^2	0.39	0.39
Information Ratio	-0.06	-0.06
Calmar	-0.29	12.42
Skew	-13.2	6.11
Kurtosis	214.75	77.53
Expected Daily	-0.16%	0.03%
Expected Monthly	-3.24%	0.66%
Expected Yearly	-19.54%	4.43%
Kelly Criterion	-6.39%	95.04%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.1%	-0.01%
Expected Shortfall (cVaR)	-4.1%	-0.01%
Max Consecutive Wins	7	587
Max Consecutive Losses	8	21
Gain/Pain Ratio	-0.26	54.12
Gain/Pain (1M)	-0.63	54.12
Payoff Ratio	0.85	1.7
Profit Factor	0.74	55.12
Common Sense Ratio	0.68	461.51
CPC Index	0.32	90.93
Tail Ratio	0.91	8.37
Outlier Win Ratio	1.87	36.0
Outlier Loss Ratio	1.14	61.95
MTD	3.03%	0.41%
3M	-3.0%	1.2%
6M	7.1%	1.72%
YTD	3.98%	5.26%
1Y	18.09%	6.86%
3Y (ann.)	-41.52%	8.1%
5Y (ann.)	-21.58%	4.97%
10Y (ann.)	-21.58%	4.97%
All-time (ann.)	-21.58%	4.97%
Best Day	6.74%	0.36%
Worst Day	-42.23%	-0.02%
Best Month	10.68%	1.43%
Worst Month	-63.37%	-0.4%
Best Year	7.45%	9.51%
Worst Year	-63.37%	0.73%
Avg. Drawdown	-6.73%	-0.4%
Avg. Drawdown Days	124	63
Recovery Factor	-0.89	60.54
Ulcer Index	0.6	0.0
Serenity Index	-0.03	92.25
Avg. Up Month	2.75%	0.69%
Avg. Down Month	-	-
Win Days	51.19%	96.88%
Win Month	51.52%	96.97%
Win Quarter	53.85%	100.0%
Win Year	40.0%	100.0%
Beta	-57.97	-
Alpha	4.4	-
Correlation	-62.4%	-
Treynor Ratio	1.14%	-