YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 25 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	10.15%	36.18%
CAGR﹪	5.12%	17.29%
Sharpe	0.31	56.04
Prob. Sharpe Ratio	67.21%	-
Smart Sharpe	0.22	39.56
Sortino	0.47	-
Smart Sortino	0.33	-
Sortino/√2	0.33	-
Smart Sortino/√2	0.24	-
Omega	1.09	1.09
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	29.71%	0.28%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.24	-
Skew	2.54	-0.29
Kurtosis	114.84	-0.7
Expected Daily	0.02%	0.06%
Expected Monthly	0.4%	1.3%
Expected Yearly	3.27%	10.84%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.04%	-0.03%
Expected Shortfall (cVaR)	-3.04%	-0.03%
Max Consecutive Wins	7	495
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.64	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	0.97	2.72
Outlier Win Ratio	1.93	26.84
Outlier Loss Ratio	1.78	-
MTD	-1.78%	1.67%
3M	-10.18%	5.65%
6M	-2.93%	11.4%
YTD	-10.73%	7.07%
1Y	-3.34%	21.35%
3Y (ann.)	5.12%	17.29%
5Y (ann.)	5.12%	17.29%
10Y (ann.)	5.12%	17.29%
All-time (ann.)	5.12%	17.29%
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%	18.74%
Worst Year	-10.73%	7.07%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.47	-
Ulcer Index	0.12	0.0
Serenity Index	0.09	-
Avg. Up Month	3.11%	1.25%
Avg. Down Month	-	-
Win Days	52.34%	100.0%
Win Month	54.17%	100.0%
Win Quarter	55.56%	100.0%
Win Year	66.67%	100.0%
Beta	-4.03	-
Alpha	0.72	-
Correlation	-3.8%	-
Treynor Ratio	-2.52%	-