TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-4.04%	21.98%
CAGR﹪	-3.38%	18.01%
Sharpe	-0.08	35.2
Prob. Sharpe Ratio	46.35%	100.0%
Smart Sharpe	-0.08	32.91
Sortino	-0.12	-
Smart Sortino	-0.11	-
Sortino/√2	-0.08	-
Smart Sortino/√2	-0.08	-
Omega	0.99	0.99
Max Drawdown	-14.76%	-
Longest DD Days	-	-
Volatility (ann.)	18.95%	0.46%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.23	-
Skew	0.1	6.64
Kurtosis	2.02	47.39
Expected Daily	-0.01%	0.06%
Expected Monthly	-0.26%	1.25%
Expected Yearly	-2.04%	10.44%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.97%	-0.02%
Expected Shortfall (cVaR)	-1.97%	-0.02%
Max Consecutive Wins	6	308
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.01	-
Gain/Pain (1M)	-0.06	-
Payoff Ratio	-	-
Profit Factor	0.99	-
Common Sense Ratio	0.92	-
CPC Index	-	-
Tail Ratio	0.93	1.54
Outlier Win Ratio	1.82	24.28
Outlier Loss Ratio	1.66	-
MTD	0.32%	0.27%
3M	-8.03%	3.46%
6M	1.49%	7.21%
YTD	-4.71%	6.1%
1Y	4.62%	16.19%
3Y (ann.)	-3.38%	18.01%
5Y (ann.)	-3.38%	18.01%
10Y (ann.)	-3.38%	18.01%
All-time (ann.)	-3.38%	18.01%
Best Day	5.47%	0.28%
Worst Day	-4.47%	0.0%
Best Month	6.51%	1.65%
Worst Month	-5.51%	0.27%
Best Year	0.71%	14.96%
Worst Year	-4.71%	6.1%
Avg. Drawdown	-4.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.27	-
Ulcer Index	0.08	0.0
Serenity Index	-0.05	-
Avg. Up Month	3.51%	1.18%
Avg. Down Month	-	-
Win Days	47.93%	100.0%
Win Month	50.0%	100.0%
Win Quarter	33.33%	100.0%
Win Year	50.0%	100.0%
Beta	-2.59	-
Alpha	0.4	-
Correlation	-6.28%	-
Treynor Ratio	1.56%	-