TEUR[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 6 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	81.0%	100.0%
Cumulative Return	-28.92%	16.03%
CAGR﹪	-7.73%	3.56%
Sharpe	-0.13	16.13
Prob. Sharpe Ratio	41.61%	100.0%
Smart Sharpe	-0.13	16.01
Sortino	-0.14	55.26
Smart Sortino	-0.14	54.86
Sortino/√2	-0.1	39.08
Smart Sortino/√2	-0.1	38.79
Omega	0.95	0.95
Max Drawdown	-47.86%	-0.91%
Longest DD Days	1442	152
Volatility (ann.)	39.43%	0.41%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	-0.16	3.92
Skew	-11.61	0.11
Kurtosis	178.14	0.43
Expected Daily	-0.06%	0.03%
Expected Monthly	-1.17%	0.51%
Expected Yearly	-5.53%	2.51%
Kelly Criterion	-86.65%	82.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.11%	-0.02%
Expected Shortfall (cVaR)	-4.11%	-0.02%
Max Consecutive Wins	5	326
Max Consecutive Losses	7	35
Gain/Pain Ratio	-0.05	11.33
Gain/Pain (1M)	-0.15	11.33
Payoff Ratio	0.27	1.3
Profit Factor	0.95	12.33
Common Sense Ratio	0.95	35.16
CPC Index	0.15	14.43
Tail Ratio	1.0	2.85
Outlier Win Ratio	3.61	64.42
Outlier Loss Ratio	1.4	75.97
MTD	0.48%	0.07%
3M	3.93%	1.0%
6M	8.19%	1.56%
YTD	1.77%	0.32%
1Y	17.41%	4.52%
3Y (ann.)	-13.24%	7.43%
5Y (ann.)	-7.73%	3.56%
10Y (ann.)	-7.73%	3.56%
All-time (ann.)	-7.73%	3.56%
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	17.11%	5.6%
Worst Year	-30.14%	0.32%
Avg. Drawdown	-9.06%	-0.65%
Avg. Drawdown Days	219	108
Recovery Factor	-0.6	17.65
Ulcer Index	0.37	0.0
Serenity Index	-0.03	2.51
Avg. Up Month	2.67%	0.64%
Avg. Down Month	-20.35%	-0.46%
Win Days	60.31%	90.11%
Win Month	86.21%	89.66%
Win Quarter	81.82%	90.91%
Win Year	66.67%	100.0%
Beta	-0.25	-
Alpha	-0.04	-
Correlation	-0.26%	-
Treynor Ratio	113.81%	-