TEUR[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 9 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	77.0%	100.0%
Cumulative Return	-22.31%	20.93%
CAGR﹪	-5.0%	3.94%
Sharpe	-0.03	15.37
Prob. Sharpe Ratio	47.96%	100.0%
Smart Sharpe	-0.03	15.25
Sortino	-0.03	61.19
Smart Sortino	-0.03	60.7
Sortino/√2	-0.02	43.27
Smart Sortino/√2	-0.02	42.92
Omega	0.99	0.99
Max Drawdown	-47.86%	-0.91%
Longest DD Days	1687	152
Volatility (ann.)	34.56%	0.42%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.1	4.34
Skew	-13.23	0.42
Kurtosis	232.11	0.51
Expected Daily	-0.03%	0.03%
Expected Monthly	-0.68%	0.51%
Expected Yearly	-4.12%	3.22%
Kelly Criterion	-55.22%	77.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.59%	-0.02%
Expected Shortfall (cVaR)	-3.59%	-0.02%
Max Consecutive Wins	5	326
Max Consecutive Losses	7	50
Gain/Pain Ratio	-0.01	12.65
Gain/Pain (1M)	-0.04	12.65
Payoff Ratio	0.33	1.8
Profit Factor	0.99	13.65
Common Sense Ratio	1.07	48.36
CPC Index	0.2	20.98
Tail Ratio	1.09	3.54
Outlier Win Ratio	3.73	52.0
Outlier Loss Ratio	1.5	114.44
MTD	0.14%	-0.03%
3M	3.12%	0.21%
6M	6.29%	1.5%
YTD	11.24%	4.56%
1Y	14.74%	5.72%
3Y (ann.)	-4.69%	7.06%
5Y (ann.)	-5.0%	3.94%
10Y (ann.)	-5.0%	3.94%
All-time (ann.)	-5.0%	3.94%
Best Day	9.32%	0.11%
Worst Day	-40.61%	-0.03%
Best Month	15.63%	1.62%
Worst Month	-35.03%	-0.52%
Best Year	17.11%	5.6%
Worst Year	-30.14%	1.3%
Avg. Drawdown	-9.06%	-0.5%
Avg. Drawdown Days	254	94
Recovery Factor	-0.47	23.05
Ulcer Index	0.36	0.0
Serenity Index	-0.03	4.36
Avg. Up Month	2.44%	0.68%
Avg. Down Month	-20.35%	-0.46%
Win Days	61.44%	85.64%
Win Month	89.19%	83.78%
Win Quarter	85.71%	85.71%
Win Year	66.67%	100.0%
Beta	-0.11	-
Alpha	-0.0	-
Correlation	-0.14%	-
Treynor Ratio	198.64%	-