TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 19 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	4.34%	17.76%
CAGR﹪	4.78%	19.69%
Sharpe	0.32	33.98
Prob. Sharpe Ratio	62.23%	100.0%
Smart Sharpe	0.3	31.46
Sortino	0.46	-
Smart Sortino	0.43	-
Sortino/√2	0.33	-
Smart Sortino/√2	0.3	-
Omega	1.06	1.06
Max Drawdown	-14.76%	-
Longest DD Days	-	-
Volatility (ann.)	20.68%	0.52%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.32	-
Skew	0.02	5.76
Kurtosis	1.58	35.32
Expected Daily	0.02%	0.07%
Expected Monthly	0.35%	1.37%
Expected Yearly	2.15%	8.52%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.12%	-0.02%
Expected Shortfall (cVaR)	-2.12%	-0.02%
Max Consecutive Wins	6	234
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.31	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	0.99	-
CPC Index	-	-
Tail Ratio	0.93	1.55
Outlier Win Ratio	1.76	23.43
Outlier Loss Ratio	1.51	-
MTD	-0.48%	1.21%
3M	15.02%	4.28%
6M	2.27%	8.42%
YTD	3.61%	2.44%
1Y	4.34%	17.76%
3Y (ann.)	4.78%	19.69%
5Y (ann.)	4.78%	19.69%
10Y (ann.)	4.78%	19.69%
All-time (ann.)	4.78%	19.69%
Best Day	5.47%	0.28%
Worst Day	-4.47%	0.0%
Best Month	6.51%	1.65%
Worst Month	-5.1%	1.21%
Best Year	3.61%	14.96%
Worst Year	0.71%	2.44%
Avg. Drawdown	-3.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.29	-
Ulcer Index	0.08	0.0
Serenity Index	0.05	-
Avg. Up Month	4.42%	1.33%
Avg. Down Month	-	-
Win Days	50.68%	100.0%
Win Month	50.0%	100.0%
Win Quarter	60.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.39	-
Alpha	0.66	-
Correlation	-8.47%	-
Treynor Ratio	-1.28%	-