YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 29 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	20.4%	24.89%
CAGR﹪	12.86%	15.59%
Sharpe	0.53	60.09
Prob. Sharpe Ratio	75.23%	-
Smart Sharpe	0.36	40.49
Sortino	0.82	-
Smart Sortino	0.55	-
Sortino/√2	0.58	-
Smart Sortino/√2	0.39	-
Omega	1.17	1.17
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	31.73%	0.24%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.6	-
Skew	2.62	-0.33
Kurtosis	111.04	-0.32
Expected Daily	0.05%	0.06%
Expected Monthly	0.98%	1.18%
Expected Yearly	9.73%	11.76%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.22%	-0.03%
Expected Shortfall (cVaR)	-3.22%	-0.03%
Max Consecutive Wins	7	393
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	1.49	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.13	-
CPC Index	-	-
Tail Ratio	0.97	2.69
Outlier Win Ratio	2.12	32.0
Outlier Loss Ratio	1.86	-
MTD	6.68%	1.79%
3M	15.59%	5.25%
6M	9.01%	9.81%
YTD	6.59%	16.59%
1Y	8.19%	18.14%
3Y (ann.)	12.86%	15.59%
5Y (ann.)	12.86%	15.59%
10Y (ann.)	12.86%	15.59%
All-time (ann.)	12.86%	15.59%
Best Day	26.44%	0.08%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.79%
Worst Month	-5.89%	0.57%
Best Year	12.96%	16.59%
Worst Year	6.59%	7.12%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.95	-
Ulcer Index	0.12	0.0
Serenity Index	0.18	-
Avg. Up Month	3.16%	1.2%
Avg. Down Month	-	-
Win Days	53.21%	100.0%
Win Month	63.16%	100.0%
Win Quarter	71.43%	100.0%
Win Year	100.0%	100.0%
Beta	-3.23	-
Alpha	0.63	-
Correlation	-2.41%	-
Treynor Ratio	-6.31%	-