TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 29 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-1.11%	9.24%
CAGR﹪	-2.55%	22.64%
Sharpe	-0.0	26.9
Prob. Sharpe Ratio	49.94%	100.0%
Smart Sharpe	-0.0	25.67
Sortino	-0.0	-
Smart Sortino	-0.0	-
Sortino/√2	-0.0	-
Smart Sortino/√2	-0.0	-
Omega	1.0	1.0
Max Drawdown	-14.5%	-
Longest DD Days	-	-
Volatility (ann.)	21.69%	0.7%
R^2	0.02	0.02
Information Ratio	-0.05	-0.05
Calmar	-0.18	-
Skew	-0.18	4.26
Kurtosis	0.94	17.73
Expected Daily	-0.01%	0.07%
Expected Monthly	-0.19%	1.48%
Expected Yearly	-1.11%	9.24%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.25%	-0.0%
Expected Shortfall (cVaR)	-2.25%	-0.0%
Max Consecutive Wins	6	117
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.0	-
Gain/Pain (1M)	-0.0	-
Payoff Ratio	-	-
Profit Factor	1.0	-
Common Sense Ratio	1.02	-
CPC Index	-	-
Tail Ratio	1.02	1.28
Outlier Win Ratio	1.7	22.0
Outlier Loss Ratio	1.48	-
MTD	4.26%	1.32%
3M	10.24%	4.42%
6M	-1.11%	9.24%
YTD	-1.11%	9.24%
1Y	-1.11%	9.24%
3Y (ann.)	-2.55%	22.64%
5Y (ann.)	-2.55%	22.64%
10Y (ann.)	-2.55%	22.64%
All-time (ann.)	-2.55%	22.64%
Best Day	3.86%	0.28%
Worst Day	-4.47%	0.0%
Best Month	4.26%	1.65%
Worst Month	-4.1%	1.32%
Best Year	-1.11%	9.24%
Worst Year	-1.11%	9.24%
Avg. Drawdown	-4.86%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.08	-
Ulcer Index	0.09	0.0
Serenity Index	-0.01	-
Avg. Up Month	3.27%	1.41%
Avg. Down Month	-	-
Win Days	48.18%	100.0%
Win Month	50.0%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	-3.8	-
Alpha	0.72	-
Correlation	-12.29%	-
Treynor Ratio	0.29%	-