TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 7 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-0.4%	8.13%
CAGR﹪	-1.08%	23.35%
Sharpe	0.07	25.72
Prob. Sharpe Ratio	51.68%	100.0%
Smart Sharpe	0.06	24.51
Sortino	0.09	-
Smart Sortino	0.09	-
Sortino/√2	0.07	-
Smart Sortino/√2	0.06	-
Omega	1.01	1.01
Max Drawdown	-14.5%	-
Longest DD Days	-	-
Volatility (ann.)	22.42%	0.75%
R^2	0.02	0.02
Information Ratio	-0.05	-0.05
Calmar	-0.07	-
Skew	-0.21	3.92
Kurtosis	0.81	14.77
Expected Daily	-0.0%	0.08%
Expected Monthly	-0.07%	1.31%
Expected Yearly	-0.4%	8.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-0.0%
Expected Shortfall (cVaR)	-2.32%	-0.0%
Max Consecutive Wins	6	101
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.01	-
Gain/Pain (1M)	0.06	-
Payoff Ratio	-	-
Profit Factor	1.01	-
Common Sense Ratio	1.04	-
CPC Index	-	-
Tail Ratio	1.03	1.29
Outlier Win Ratio	1.71	21.7
Outlier Loss Ratio	1.37	-
MTD	5.0%	0.3%
3M	10.65%	4.64%
6M	-0.4%	8.13%
YTD	-0.4%	8.13%
1Y	-0.4%	8.13%
3Y (ann.)	-1.08%	23.35%
5Y (ann.)	-1.08%	23.35%
10Y (ann.)	-1.08%	23.35%
All-time (ann.)	-1.08%	23.35%
Best Day	3.86%	0.28%
Worst Day	-4.47%	0.0%
Best Month	5.0%	1.65%
Worst Month	-4.1%	0.3%
Best Year	-0.4%	8.13%
Worst Year	-0.4%	8.13%
Avg. Drawdown	-14.5%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.03	-
Ulcer Index	0.09	0.0
Serenity Index	-0.0	-
Avg. Up Month	3.51%	1.07%
Avg. Down Month	-	-
Win Days	50.0%	100.0%
Win Month	50.0%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	-3.95	-
Alpha	0.78	-
Correlation	-13.23%	-
Treynor Ratio	0.1%	-