TEUR[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 14 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	100.0%
Cumulative Return	-31.39%	14.82%
CAGR﹪	-8.95%	3.5%
Sharpe	-0.18	15.84
Prob. Sharpe Ratio	39.01%	100.0%
Smart Sharpe	-0.18	15.73
Sortino	-0.2	54.01
Smart Sortino	-0.2	53.63
Sortino/√2	-0.14	38.19
Smart Sortino/√2	-0.14	37.92
Omega	0.93	0.93
Max Drawdown	-47.86%	-0.91%
Longest DD Days	1358	152
Volatility (ann.)	41.44%	0.43%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	-0.19	3.86
Skew	-11.05	0.03
Kurtosis	161.18	0.15
Expected Daily	-0.07%	0.03%
Expected Monthly	-1.44%	0.53%
Expected Yearly	-7.26%	2.8%
Kelly Criterion	-77.94%	80.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.32%	-0.02%
Expected Shortfall (cVaR)	-4.32%	-0.02%
Max Consecutive Wins	5	326
Max Consecutive Losses	7	35
Gain/Pain Ratio	-0.07	10.53
Gain/Pain (1M)	-0.2	10.53
Payoff Ratio	0.29	1.35
Profit Factor	0.93	11.53
Common Sense Ratio	0.93	34.41
CPC Index	0.16	13.84
Tail Ratio	0.99	2.98
Outlier Win Ratio	3.45	63.57
Outlier Loss Ratio	1.3	75.97
MTD	0.66%	0.15%
3M	3.73%	0.62%
6M	8.7%	1.49%
YTD	15.04%	4.83%
1Y	19.3%	7.08%
3Y (ann.)	-2.93%	3.47%
5Y (ann.)	-8.95%	3.5%
10Y (ann.)	-8.95%	3.5%
All-time (ann.)	-8.95%	3.5%
Best Day	9.32%	0.11%
Worst Day	-40.61%	-0.03%
Best Month	15.63%	1.43%
Worst Month	-35.03%	-0.52%
Best Year	15.04%	4.83%
Worst Year	-30.14%	1.3%
Avg. Drawdown	-9.06%	-0.65%
Avg. Drawdown Days	207	109
Recovery Factor	-0.66	16.32
Ulcer Index	0.37	0.0
Serenity Index	-0.04	2.19
Avg. Up Month	2.88%	0.69%
Avg. Down Month	-20.35%	-0.46%
Win Days	60.29%	89.06%
Win Month	84.62%	88.46%
Win Quarter	80.0%	90.0%
Win Year	60.0%	100.0%
Beta	-0.16	-
Alpha	-0.07	-
Correlation	-0.16%	-
Treynor Ratio	197.46%	-