YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 22 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	11.45%	60.7%
CAGR﹪	3.67%	17.06%
Sharpe	0.27	66.6
Prob. Sharpe Ratio	68.13%	-
Smart Sharpe	0.19	48.71
Sortino	0.4	-
Smart Sortino	0.29	-
Sortino/√2	0.28	-
Smart Sortino/√2	0.21	-
Omega	1.07	1.07
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	25.41%	0.23%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.17	-
Skew	2.62	-0.33
Kurtosis	139.16	-0.08
Expected Daily	0.01%	0.06%
Expected Monthly	0.29%	1.29%
Expected Yearly	2.75%	12.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.61%	-0.04%
Expected Shortfall (cVaR)	-2.61%	-0.04%
Max Consecutive Wins	7	764
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.46	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.02	2.69
Outlier Win Ratio	1.73	22.17
Outlier Loss Ratio	1.9	-
MTD	-3.14%	1.09%
3M	-2.19%	3.6%
6M	-0.81%	7.52%
YTD	-3.89%	5.83%
1Y	2.76%	16.8%
3Y (ann.)	2.98%	17.25%
5Y (ann.)	3.67%	17.06%
10Y (ann.)	3.67%	17.06%
All-time (ann.)	3.67%	17.06%
Best Day	26.44%	0.09%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.83%
Worst Month	-5.89%	0.57%
Best Year	12.96%	19.38%
Worst Year	-6.02%	5.83%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.53	-
Ulcer Index	0.12	0.0
Serenity Index	0.09	-
Avg. Up Month	2.93%	1.27%
Avg. Down Month	-	-
Win Days	52.05%	100.0%
Win Month	54.05%	100.0%
Win Quarter	61.54%	100.0%
Win Year	50.0%	100.0%
Beta	-4.22	-
Alpha	0.73	-
Correlation	-3.89%	-
Treynor Ratio	-2.72%	-