TRND RUB[Strategy] vs SMCF RUB[Benchmark]

24 Mar, 2025 - 11 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	91.0%	91.0%
Cumulative Return	-9.49%	-0.89%
CAGR﹪	-86.75%	-16.58%
Sharpe	-6.16	-0.85
Prob. Sharpe Ratio	2.93%	36.82%
Smart Sharpe	-5.37	-0.74
Sortino	-6.31	-1.38
Smart Sortino	-5.5	-1.2
Sortino/√2	-4.46	-0.98
Smart Sortino/√2	-3.89	-0.85
Omega	0.31	0.31
Max Drawdown	-12.9%	-4.07%
Longest DD Days	16	15
Volatility (ann.)	36.97%	27.83%
R^2	0.01	0.01
Information Ratio	-0.27	-0.27
Calmar	-6.72	-4.07
Skew	-1.35	0.98
Kurtosis	2.83	0.74
Expected Daily	-0.9%	-0.08%
Expected Monthly	-4.86%	-0.45%
Expected Yearly	-9.49%	-0.89%
Kelly Criterion	-69.04%	-34.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.71%	-2.95%
Expected Shortfall (cVaR)	-4.71%	-2.95%
Max Consecutive Wins	2	2
Max Consecutive Losses	3	4
Gain/Pain Ratio	-0.68	-0.1
Gain/Pain (1M)	-1.0	-0.85
Payoff Ratio	0.55	0.81
Profit Factor	0.32	0.9
Common Sense Ratio	0.12	1.29
CPC Index	0.07	0.29
Tail Ratio	0.36	1.42
Outlier Win Ratio	3.01	1.98
Outlier Loss Ratio	1.71	3.14
MTD	-5.78%	-0.89%
3M	-9.49%	-0.89%
6M	-9.49%	-0.89%
YTD	-9.49%	-0.89%
1Y	-9.49%	-0.89%
3Y (ann.)	-86.75%	-16.58%
5Y (ann.)	-86.75%	-16.58%
10Y (ann.)	-86.75%	-16.58%
All-time (ann.)	-86.75%	-16.58%
Best Day	2.16%	3.74%
Worst Day	-6.51%	-2.09%
Best Month	-3.94%	0.0%
Worst Month	-5.78%	-0.89%
Best Year	-9.49%	-0.89%
Worst Year	-9.49%	-0.89%
Avg. Drawdown	-12.9%	-3.08%
Avg. Drawdown Days	16	8
Recovery Factor	-0.74	-0.22
Ulcer Index	0.08	0.02
Serenity Index	-0.32	-1.54
Avg. Up Month	-	-
Avg. Down Month	-5.78%	-0.89%
Win Days	40.0%	40.0%
Win Month	0.0%	50.0%
Win Quarter	0.0%	50.0%
Win Year	0.0%	0.0%
Beta	-0.12	-
Alpha	-2.23	-
Correlation	-9.0%	-
Treynor Ratio	137.96%	-