TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 23 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-6.26%	28.34%
CAGR﹪	-4.0%	17.07%
Sharpe	-0.08	37.37
Prob. Sharpe Ratio	46.15%	100.0%
Smart Sharpe	-0.07	36.28
Sortino	-0.11	-
Smart Sortino	-0.1	-
Sortino/√2	-0.08	-
Smart Sortino/√2	-0.07	-
Omega	0.99	0.99
Max Drawdown	-30.42%	-
Longest DD Days	-	-
Volatility (ann.)	21.67%	0.41%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.13	-
Skew	0.17	7.29
Kurtosis	2.92	59.38
Expected Daily	-0.02%	0.06%
Expected Monthly	-0.32%	1.26%
Expected Yearly	-3.18%	13.29%
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	407
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.01	-
Gain/Pain (1M)	-0.07	-
Payoff Ratio	-	-
Profit Factor	0.99	-
Common Sense Ratio	0.86	-
CPC Index	-	-
Tail Ratio	0.87	1.64
Outlier Win Ratio	1.71	26.98
Outlier Loss Ratio	1.52	-
MTD	8.65%	1.09%
3M	14.27%	3.62%
6M	-8.2%	6.96%
YTD	-6.91%	11.64%
1Y	3.45%	14.98%
3Y (ann.)	-4.0%	17.07%
5Y (ann.)	-4.0%	17.07%
10Y (ann.)	-4.0%	17.07%
All-time (ann.)	-4.0%	17.07%
Best Day	7.38%	0.28%
Worst Day	-4.85%	0.0%
Best Month	8.65%	1.65%
Worst Month	-6.86%	1.06%
Best Year	0.71%	14.96%
Worst Year	-6.91%	11.64%
Avg. Drawdown	-5.96%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.21	-
Ulcer Index	0.11	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.21%	1.26%
Avg. Down Month	-	-
Win Days	48.96%	100.0%
Win Month	45.0%	100.0%
Win Quarter	37.5%	100.0%
Win Year	50.0%	100.0%
Beta	-1.99	-
Alpha	0.29	-
Correlation	-3.79%	-
Treynor Ratio	3.14%	-