TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 7 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-12.82%	25.92%
CAGR﹪	-8.98%	17.13%
Sharpe	-0.31	36.22
Prob. Sharpe Ratio	35.15%	100.0%
Smart Sharpe	-0.31	35.5
Sortino	-0.44	-
Smart Sortino	-0.43	-
Sortino/√2	-0.31	-
Smart Sortino/√2	-0.3	-
Omega	0.95	0.95
Max Drawdown	-30.42%	-
Longest DD Days	-	-
Volatility (ann.)	21.85%	0.43%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.3	-
Skew	0.17	7.05
Kurtosis	3.09	54.95
Expected Daily	-0.04%	0.06%
Expected Monthly	-0.72%	1.22%
Expected Yearly	-6.63%	12.21%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-0.02%
Expected Shortfall (cVaR)	-2.29%	-0.02%
Max Consecutive Wins	6	373
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.05	-
Gain/Pain (1M)	-0.25	-
Payoff Ratio	-	-
Profit Factor	0.95	-
Common Sense Ratio	0.78	-
CPC Index	-	-
Tail Ratio	0.82	1.64
Outlier Win Ratio	1.66	25.81
Outlier Loss Ratio	1.53	-
MTD	2.49%	0.25%
3M	-9.15%	3.24%
6M	-16.2%	6.69%
YTD	-13.43%	9.53%
1Y	-12.02%	14.95%
3Y (ann.)	-8.98%	17.13%
5Y (ann.)	-8.98%	17.13%
10Y (ann.)	-8.98%	17.13%
All-time (ann.)	-8.98%	17.13%
Best Day	7.38%	0.28%
Worst Day	-4.85%	0.0%
Best Month	6.51%	1.65%
Worst Month	-6.86%	0.25%
Best Year	0.71%	14.96%
Worst Year	-13.43%	9.53%
Avg. Drawdown	-5.96%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.42	-
Ulcer Index	0.11	0.0
Serenity Index	-0.09	-
Avg. Up Month	3.78%	1.18%
Avg. Down Month	-	-
Win Days	48.16%	100.0%
Win Month	42.11%	100.0%
Win Quarter	28.57%	100.0%
Win Year	50.0%	100.0%
Beta	-2.1	-
Alpha	0.26	-
Correlation	-4.12%	-
Treynor Ratio	6.11%	-