YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 23 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	12.76%	51.89%
CAGR﹪	4.73%	17.44%
Sharpe	0.3	64.22
Prob. Sharpe Ratio	69.17%	-
Smart Sharpe	0.22	46.29
Sortino	0.46	-
Smart Sortino	0.33	-
Sortino/√2	0.32	-
Smart Sortino/√2	0.23	-
Omega	1.08	1.08
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	26.53%	0.25%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.22	-
Skew	2.66	-0.45
Kurtosis	134.67	-0.18
Expected Daily	0.02%	0.06%
Expected Monthly	0.38%	1.31%
Expected Yearly	4.08%	14.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.72%	-0.04%
Expected Shortfall (cVaR)	-2.72%	-0.04%
Max Consecutive Wins	7	664
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.08	-
Gain/Pain (1M)	0.64	-
Payoff Ratio	-	-
Profit Factor	1.08	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	0.98	2.7
Outlier Win Ratio	1.93	24.49
Outlier Loss Ratio	1.86	-
MTD	0.38%	1.3%
3M	-3.82%	4.3%
6M	4.35%	8.62%
YTD	-8.61%	19.42%
1Y	-2.95%	20.1%
3Y (ann.)	4.73%	17.44%
5Y (ann.)	4.73%	17.44%
10Y (ann.)	4.73%	17.44%
All-time (ann.)	4.73%	17.44%
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%	19.42%
Worst Year	-8.61%	7.12%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.59	-
Ulcer Index	0.12	0.0
Serenity Index	0.1	-
Avg. Up Month	2.67%	1.28%
Avg. Down Month	-	-
Win Days	52.74%	100.0%
Win Month	56.25%	100.0%
Win Quarter	54.55%	100.0%
Win Year	66.67%	100.0%
Beta	-3.98	-
Alpha	0.71	-
Correlation	-3.7%	-
Treynor Ratio	-3.2%	-