SBRS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	31.5%	21.95%
CAGR﹪	6.5%	4.67%
Sharpe	0.84	17.18
Prob. Sharpe Ratio	90.72%	100.0%
Smart Sharpe	0.67	13.71
Sortino	1.33	90.5
Smart Sortino	1.06	72.24
Sortino/√2	0.94	64.0
Smart Sortino/√2	0.75	51.08
Omega	1.3	1.3
Max Drawdown	-13.87%	-0.99%
Longest DD Days	735	73
Volatility (ann.)	13.98%	0.45%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.47	4.73
Skew	1.19	4.67
Kurtosis	125.25	55.87
Expected Daily	0.04%	0.03%
Expected Monthly	0.86%	0.62%
Expected Yearly	5.63%	4.05%
Kelly Criterion	26.62%	87.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.4%	-0.02%
Expected Shortfall (cVaR)	-1.4%	-0.02%
Max Consecutive Wins	8	587
Max Consecutive Losses	7	52
Gain/Pain Ratio	0.3	20.0
Gain/Pain (1M)	2.0	20.0
Payoff Ratio	1.89	1.9
Profit Factor	1.3	21.0
Common Sense Ratio	1.4	71.14
CPC Index	1.28	36.69
Tail Ratio	1.08	3.39
Outlier Win Ratio	2.87	30.12
Outlier Loss Ratio	1.39	24.86
MTD	0.46%	-0.17%
3M	3.61%	-0.64%
6M	10.22%	0.44%
YTD	14.77%	3.34%
1Y	23.23%	6.68%
3Y (ann.)	16.79%	7.57%
5Y (ann.)	6.5%	4.67%
10Y (ann.)	6.5%	4.67%
All-time (ann.)	6.5%	4.67%
Best Day	12.35%	0.36%
Worst Day	-12.19%	-0.02%
Best Month	7.85%	1.43%
Worst Month	-4.32%	-0.42%
Best Year	14.77%	9.51%
Worst Year	-2.54%	0.73%
Avg. Drawdown	-0.85%	-0.99%
Avg. Drawdown Days	24	73
Recovery Factor	2.27	22.23
Ulcer Index	0.03	0.0
Serenity Index	1.52	12.52
Avg. Up Month	2.17%	0.67%
Avg. Down Month	-	-
Win Days	51.97%	91.86%
Win Month	71.88%	90.62%
Win Quarter	76.92%	84.62%
Win Year	80.0%	100.0%
Beta	2.11	-
Alpha	-0.05	-
Correlation	6.85%	-
Treynor Ratio	14.95%	-