TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 1 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	99.0%
Cumulative Return	-6.96%	6.43%
CAGR﹪	-23.36%	25.85%
Sharpe	-0.92	24.51
Prob. Sharpe Ratio	30.79%	100.0%
Smart Sharpe	-0.84	22.53
Sortino	-1.21	-
Smart Sortino	-1.11	-
Sortino/√2	-0.85	-
Smart Sortino/√2	-0.78	-
Omega	0.85	0.85
Max Drawdown	-14.5%	-
Longest DD Days	-	-
Volatility (ann.)	23.43%	0.86%
R^2	0.02	0.02
Information Ratio	-0.11	-0.11
Calmar	-1.61	-
Skew	-0.28	3.29
Kurtosis	0.74	9.94
Expected Daily	-0.1%	0.08%
Expected Monthly	-1.43%	1.25%
Expected Yearly	-6.96%	6.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.51%	-0.01%
Expected Shortfall (cVaR)	-2.51%	-0.01%
Max Consecutive Wins	6	74
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.15	-
Gain/Pain (1M)	-0.64	-
Payoff Ratio	-	-
Profit Factor	0.85	-
Common Sense Ratio	0.66	-
CPC Index	-	-
Tail Ratio	0.77	4.54
Outlier Win Ratio	1.9	20.38
Outlier Loss Ratio	1.3	-
MTD	0.33%	0.08%
3M	-3.15%	4.96%
6M	-6.96%	6.43%
YTD	-6.96%	6.43%
1Y	-6.96%	6.43%
3Y (ann.)	-23.36%	25.85%
5Y (ann.)	-23.36%	25.85%
10Y (ann.)	-23.36%	25.85%
All-time (ann.)	-23.36%	25.85%
Best Day	3.86%	0.28%
Worst Day	-4.47%	0.0%
Best Month	3.26%	1.65%
Worst Month	-4.1%	0.08%
Best Year	-6.96%	6.43%
Worst Year	-6.96%	6.43%
Avg. Drawdown	-14.5%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.48	-
Ulcer Index	0.1	0.0
Serenity Index	-0.07	-
Avg. Up Month	1.79%	0.8%
Avg. Down Month	-	-
Win Days	50.75%	100.0%
Win Month	40.0%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	-3.36	-
Alpha	0.49	-
Correlation	-12.27%	-
Treynor Ratio	2.07%	-