TRND RUB[Strategy] vs Deposit RUB[Benchmark]

24 Mar, 2025 - 17 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-1.21%	14.99%
CAGR﹪	-1.65%	20.96%
Sharpe	0.04	31.54
Prob. Sharpe Ratio	51.32%	100.0%
Smart Sharpe	0.03	29.28
Sortino	0.05	-
Smart Sortino	0.05	-
Sortino/√2	0.04	-
Smart Sortino/√2	0.03	-
Omega	1.01	1.01
Max Drawdown	-14.76%	-
Longest DD Days	-	-
Volatility (ann.)	21.91%	0.57%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.11	-
Skew	0.06	5.04
Kurtosis	1.29	27.17
Expected Daily	-0.01%	0.07%
Expected Monthly	-0.12%	1.41%
Expected Yearly	-1.21%	14.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.27%	-0.01%
Expected Shortfall (cVaR)	-2.27%	-0.01%
Max Consecutive Wins	6	195
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.01	-
Gain/Pain (1M)	0.03	-
Payoff Ratio	-	-
Profit Factor	1.01	-
Common Sense Ratio	0.89	-
CPC Index	-	-
Tail Ratio	0.89	1.8
Outlier Win Ratio	1.7	23.64
Outlier Loss Ratio	1.42	-
MTD	4.48%	1.3%
3M	1.87%	4.54%
6M	10.87%	8.95%
YTD	-1.21%	14.99%
1Y	-1.21%	14.99%
3Y (ann.)	-1.65%	20.96%
5Y (ann.)	-1.65%	20.96%
10Y (ann.)	-1.65%	20.96%
All-time (ann.)	-1.65%	20.96%
Best Day	5.47%	0.28%
Worst Day	-4.47%	0.0%
Best Month	6.12%	1.65%
Worst Month	-5.1%	1.28%
Best Year	-1.21%	14.99%
Worst Year	-1.21%	14.99%
Avg. Drawdown	-7.66%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.08	-
Ulcer Index	0.09	0.0
Serenity Index	-0.01	-
Avg. Up Month	4.08%	1.36%
Avg. Down Month	-	-
Win Days	49.73%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	-2.58	-
Alpha	0.47	-
Correlation	-6.7%	-
Treynor Ratio	0.47%	-