TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-9.79%	24.67%
CAGR﹪	-7.17%	17.27%
Sharpe	-0.23	35.66
Prob. Sharpe Ratio	39.14%	100.0%
Smart Sharpe	-0.23	34.87
Sortino	-0.33	-
Smart Sortino	-0.32	-
Sortino/√2	-0.23	-
Smart Sortino/√2	-0.23	-
Omega	0.96	0.96
Max Drawdown	-30.42%	-
Longest DD Days	-	-
Volatility (ann.)	21.5%	0.44%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.24	-
Skew	0.24	6.87
Kurtosis	3.54	52.14
Expected Daily	-0.03%	0.06%
Expected Monthly	-0.57%	1.23%
Expected Yearly	-5.02%	11.65%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.25%	-0.02%
Expected Shortfall (cVaR)	-2.25%	-0.02%
Max Consecutive Wins	6	354
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.04	-
Gain/Pain (1M)	-0.18	-
Payoff Ratio	-	-
Profit Factor	0.96	-
Common Sense Ratio	0.84	-
CPC Index	-	-
Tail Ratio	0.87	1.64
Outlier Win Ratio	1.7	25.92
Outlier Loss Ratio	1.55	-
MTD	4.44%	0.32%
3M	-7.45%	3.31%
6M	-12.18%	6.68%
YTD	-10.42%	8.44%
1Y	-11.66%	15.2%
3Y (ann.)	-7.17%	17.27%
5Y (ann.)	-7.17%	17.27%
10Y (ann.)	-7.17%	17.27%
All-time (ann.)	-7.17%	17.27%
Best Day	7.38%	0.28%
Worst Day	-4.85%	0.0%
Best Month	6.51%	1.65%
Worst Month	-6.86%	0.32%
Best Year	0.71%	14.96%
Worst Year	-10.42%	8.44%
Avg. Drawdown	-5.96%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.32	-
Ulcer Index	0.1	0.0
Serenity Index	-0.08	-
Avg. Up Month	4.03%	1.19%
Avg. Down Month	-	-
Win Days	47.76%	100.0%
Win Month	44.44%	100.0%
Win Quarter	42.86%	100.0%
Win Year	50.0%	100.0%
Beta	-2.3	-
Alpha	0.31	-
Correlation	-4.69%	-
Treynor Ratio	4.26%	-