TRND RUB[Strategy] vs TBEU RUB[Benchmark]

24 Mar, 2025 - 11 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	74.0%
Cumulative Return	-9.59%	1.09%
CAGR﹪	-87.04%	24.6%
Sharpe	-4.93	1.81
Prob. Sharpe Ratio	9.35%	67.2%
Smart Sharpe	-3.96	1.45
Sortino	-5.83	3.55
Smart Sortino	-4.68	2.85
Sortino/√2	-4.12	2.51
Smart Sortino/√2	-3.31	2.02
Omega	0.47	0.47
Max Drawdown	-14.5%	-0.54%
Longest DD Days	16	3
Volatility (ann.)	34.49%	6.45%
R^2	0.45	0.45
Information Ratio	-0.29	-0.29
Calmar	-6.0	45.46
Skew	0.38	0.76
Kurtosis	-0.02	-0.6
Expected Daily	-0.67%	0.07%
Expected Monthly	-4.91%	0.54%
Expected Yearly	-9.59%	1.09%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.22%	-0.6%
Expected Shortfall (cVaR)	-4.22%	-0.6%
Max Consecutive Wins	1	1
Max Consecutive Losses	4	2
Gain/Pain Ratio	-0.52	0.63
Gain/Pain (1M)	-1.0	10.21
Payoff Ratio	-	-
Profit Factor	0.48	1.63
Common Sense Ratio	0.36	3.27
CPC Index	-	-
Tail Ratio	0.75	2.01
Outlier Win Ratio	1.47	7.06
Outlier Loss Ratio	1.12	8.1
MTD	-5.88%	1.2%
3M	-9.59%	1.09%
6M	-9.59%	1.09%
YTD	-9.59%	1.09%
1Y	-9.59%	1.09%
3Y (ann.)	-87.04%	24.6%
5Y (ann.)	-87.04%	24.6%
10Y (ann.)	-87.04%	24.6%
All-time (ann.)	-87.04%	24.6%
Best Day	3.86%	0.87%
Worst Day	-4.47%	-0.43%
Best Month	-3.94%	1.2%
Worst Month	-5.88%	-0.11%
Best Year	-9.59%	1.09%
Worst Year	-9.59%	1.09%
Avg. Drawdown	-14.5%	-0.38%
Avg. Drawdown Days	16	2
Recovery Factor	-0.66	2.02
Ulcer Index	0.09	0.0
Serenity Index	-0.26	-21.25
Avg. Up Month	-	-
Avg. Down Month	-3.94%	-0.11%
Win Days	35.71%	45.45%
Win Month	0.0%	50.0%
Win Quarter	0.0%	50.0%
Win Year	0.0%	100.0%
Beta	-3.59	-
Alpha	-0.97	-
Correlation	-67.21%	-
Treynor Ratio	4.62%	-