TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-3.13%	14.25%
CAGR﹪	-4.31%	20.31%
Sharpe	-0.08	31.0
Prob. Sharpe Ratio	47.26%	100.0%
Smart Sharpe	-0.07	28.76
Sortino	-0.11	-
Smart Sortino	-0.1	-
Sortino/√2	-0.08	-
Smart Sortino/√2	-0.07	-
Omega	0.99	0.99
Max Drawdown	-14.76%	-
Longest DD Days	-	-
Volatility (ann.)	22.04%	0.56%
R^2	0.01	0.01
Information Ratio	-0.05	-0.05
Calmar	-0.29	-
Skew	0.08	5.51
Kurtosis	1.26	30.86
Expected Daily	-0.02%	0.07%
Expected Monthly	-0.32%	1.34%
Expected Yearly	-3.13%	14.25%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-0.01%
Expected Shortfall (cVaR)	-2.29%	-0.01%
Max Consecutive Wins	6	192
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.01	-
Gain/Pain (1M)	-0.07	-
Payoff Ratio	-	-
Profit Factor	0.99	-
Common Sense Ratio	0.88	-
CPC Index	-	-
Tail Ratio	0.89	1.37
Outlier Win Ratio	1.7	24.58
Outlier Loss Ratio	1.42	-
MTD	2.45%	0.65%
3M	-2.74%	4.05%
6M	8.84%	8.41%
YTD	-3.13%	14.25%
1Y	-3.13%	14.25%
3Y (ann.)	-4.31%	20.31%
5Y (ann.)	-4.31%	20.31%
10Y (ann.)	-4.31%	20.31%
All-time (ann.)	-4.31%	20.31%
Best Day	5.47%	0.28%
Worst Day	-4.47%	0.0%
Best Month	6.12%	1.65%
Worst Month	-5.1%	0.65%
Best Year	-3.13%	14.25%
Worst Year	-3.13%	14.25%
Avg. Drawdown	-7.66%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.21	-
Ulcer Index	0.09	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.67%	1.23%
Avg. Down Month	-	-
Win Days	48.9%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	-3.3	-
Alpha	0.56	-
Correlation	-8.4%	-
Treynor Ratio	0.95%	-