TRND RUB[Strategy] vs EQMX RUB[Benchmark]

24 Mar, 2025 - 18 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	95.0%
Cumulative Return	-7.87%	-9.48%
CAGR﹪	-69.79%	-76.66%
Sharpe	-3.24	-3.76
Prob. Sharpe Ratio	13.01%	10.22%
Smart Sharpe	-2.79	-3.24
Sortino	-4.07	-4.61
Smart Sortino	-3.5	-3.97
Sortino/√2	-2.88	-3.26
Smart Sortino/√2	-2.48	-2.81
Omega	0.61	0.61
Max Drawdown	-14.5%	-15.92%
Longest DD Days	23	23
Volatility (ann.)	32.32%	33.63%
R^2	0.97	0.97
Information Ratio	0.22	0.22
Calmar	-4.81	-4.81
Skew	0.17	0.14
Kurtosis	-0.05	0.32
Expected Daily	-0.41%	-0.5%
Expected Monthly	-4.02%	-4.86%
Expected Yearly	-7.87%	-9.48%
Kelly Criterion	-20.41%	-34.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.74%	-3.96%
Expected Shortfall (cVaR)	-3.74%	-3.96%
Max Consecutive Wins	3	3
Max Consecutive Losses	4	5
Gain/Pain Ratio	-0.37	-0.44
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	0.93	0.89
Profit Factor	0.63	0.56
Common Sense Ratio	0.58	0.43
CPC Index	0.24	0.18
Tail Ratio	0.93	0.76
Outlier Win Ratio	2.6	2.44
Outlier Loss Ratio	2.33	2.43
MTD	-4.1%	-4.96%
3M	-7.87%	-9.48%
6M	-7.87%	-9.48%
YTD	-7.87%	-9.48%
1Y	-7.87%	-9.48%
3Y (ann.)	-69.79%	-76.66%
5Y (ann.)	-69.79%	-76.66%
10Y (ann.)	-69.79%	-76.66%
All-time (ann.)	-69.79%	-76.66%
Best Day	3.86%	4.15%
Worst Day	-4.47%	-4.94%
Best Month	-3.94%	-4.76%
Worst Month	-4.1%	-4.96%
Best Year	-7.87%	-9.48%
Worst Year	-7.87%	-9.48%
Avg. Drawdown	-14.5%	-15.92%
Avg. Drawdown Days	23	23
Recovery Factor	-0.54	-0.6
Ulcer Index	0.09	0.1
Serenity Index	-0.22	-0.22
Avg. Up Month	-	-
Avg. Down Month	-4.02%	-4.86%
Win Days	42.11%	36.84%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	0.94	-
Alpha	0.15	-
Correlation	98.28%	-
Treynor Ratio	-15.74%	-