SBRB[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2019 - 24 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	89.89%	54.65%
CAGR﹪	9.52%	6.38%
Sharpe	1.25	19.07
Prob. Sharpe Ratio	99.45%	100.0%
Smart Sharpe	0.87	13.24
Sortino	1.72	87.32
Smart Sortino	1.2	60.61
Sortino/√2	1.22	61.74
Smart Sortino/√2	0.85	42.86
Omega	1.4	1.4
Max Drawdown	-14.75%	-1.25%
Longest DD Days	193	209
Volatility (ann.)	7.35%	0.32%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.65	5.08
Skew	-4.11	0.24
Kurtosis	266.26	0.57
Expected Daily	0.04%	0.02%
Expected Monthly	0.77%	0.52%
Expected Yearly	8.35%	5.6%
Kelly Criterion	28.06%	85.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.73%	-0.01%
Expected Shortfall (cVaR)	-0.73%	-0.01%
Max Consecutive Wins	16	742
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.4	21.1
Gain/Pain (1M)	3.31	21.1
Payoff Ratio	1.47	2.83
Profit Factor	1.4	22.1
Common Sense Ratio	1.68	143.49
CPC Index	1.18	55.91
Tail Ratio	1.2	6.49
Outlier Win Ratio	2.17	16.83
Outlier Loss Ratio	1.85	38.05
MTD	0.06%	-0.06%
3M	1.32%	0.61%
6M	4.08%	1.76%
YTD	8.81%	4.61%
1Y	14.19%	5.99%
3Y (ann.)	14.6%	7.49%
5Y (ann.)	11.26%	6.76%
10Y (ann.)	9.52%	6.38%
All-time (ann.)	9.52%	6.38%
Best Day	8.83%	0.08%
Worst Day	-11.2%	-0.02%
Best Month	4.85%	1.62%
Worst Month	-6.05%	-0.52%
Best Year	26.32%	9.51%
Worst Year	1.48%	0.62%
Avg. Drawdown	-0.45%	-0.41%
Avg. Drawdown Days	10	89
Recovery Factor	6.09	43.55
Ulcer Index	0.01	0.0
Serenity Index	13.11	9.53
Avg. Up Month	1.41%	0.58%
Avg. Down Month	-	-
Win Days	57.19%	89.33%
Win Month	75.0%	89.29%
Win Quarter	86.21%	93.1%
Win Year	100.0%	100.0%
Beta	-0.25	-
Alpha	0.11	-
Correlation	-1.08%	-
Treynor Ratio	-359.24%	-