TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 3 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-8.68%	12.19%
CAGR﹪	-13.75%	20.61%
Sharpe	-0.5	28.96
Prob. Sharpe Ratio	34.3%	100.0%
Smart Sharpe	-0.46	26.77
Sortino	-0.7	-
Smart Sortino	-0.64	-
Sortino/√2	-0.49	-
Smart Sortino/√2	-0.45	-
Omega	0.92	0.92
Max Drawdown	-14.76%	-
Longest DD Days	-	-
Volatility (ann.)	22.57%	0.61%
R^2	0.01	0.01
Information Ratio	-0.08	-0.08
Calmar	-0.93	-
Skew	0.1	5.06
Kurtosis	1.39	25.81
Expected Daily	-0.06%	0.07%
Expected Monthly	-1.0%	1.29%
Expected Yearly	-8.68%	12.19%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.38%	-0.01%
Expected Shortfall (cVaR)	-2.38%	-0.01%
Max Consecutive Wins	6	164
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.08	-
Gain/Pain (1M)	-0.37	-
Payoff Ratio	-	-
Profit Factor	0.92	-
Common Sense Ratio	0.79	-
CPC Index	-	-
Tail Ratio	0.86	1.36
Outlier Win Ratio	1.85	25.97
Outlier Loss Ratio	1.38	-
MTD	2.49%	0.11%
3M	-3.62%	3.99%
6M	2.26%	8.77%
YTD	-8.68%	12.19%
1Y	-8.68%	12.19%
3Y (ann.)	-13.75%	20.61%
5Y (ann.)	-13.75%	20.61%
10Y (ann.)	-13.75%	20.61%
All-time (ann.)	-13.75%	20.61%
Best Day	5.47%	0.28%
Worst Day	-4.47%	0.0%
Best Month	4.26%	1.65%
Worst Month	-5.1%	0.11%
Best Year	-8.68%	12.19%
Worst Year	-8.68%	12.19%
Avg. Drawdown	-7.66%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.59	-
Ulcer Index	0.09	0.0
Serenity Index	-0.1	-
Avg. Up Month	3.07%	1.08%
Avg. Down Month	-	-
Win Days	48.05%	100.0%
Win Month	44.44%	100.0%
Win Quarter	25.0%	100.0%
Win Year	0.0%	100.0%
Beta	-3.26	-
Alpha	0.46	-
Correlation	-8.77%	-
Treynor Ratio	2.66%	-