YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	15.96%	12.52%
CAGR﹪	17.45%	13.67%
Sharpe	0.6	53.31
Prob. Sharpe Ratio	72.5%	-
Smart Sharpe	0.39	34.34
Sortino	0.94	-
Smart Sortino	0.6	-
Sortino/√2	0.66	-
Smart Sortino/√2	0.43	-
Omega	1.22	1.22
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	38.46%	0.24%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.81	-
Skew	2.44	0.2
Kurtosis	85.92	-0.29
Expected Daily	0.06%	0.05%
Expected Monthly	1.24%	0.99%
Expected Yearly	7.68%	6.07%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.89%	-0.03%
Expected Shortfall (cVaR)	-3.89%	-0.03%
Max Consecutive Wins	7	235
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.98	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.21	-
CPC Index	-	-
Tail Ratio	0.99	2.65
Outlier Win Ratio	1.55	28.53
Outlier Loss Ratio	1.74	-
MTD	1.22%	1.24%
3M	5.87%	4.3%
6M	-1.65%	7.97%
YTD	2.66%	5.04%
1Y	15.96%	12.52%
3Y (ann.)	17.45%	13.67%
5Y (ann.)	17.45%	13.67%
10Y (ann.)	17.45%	13.67%
All-time (ann.)	17.45%	13.67%
Best Day	26.44%	0.08%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.24%
Worst Month	-4.88%	0.57%
Best Year	12.96%	7.12%
Worst Year	2.66%	5.04%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.74	-
Ulcer Index	0.11	0.0
Serenity Index	0.2	-
Avg. Up Month	2.86%	0.99%
Avg. Down Month	-	-
Win Days	53.85%	100.0%
Win Month	66.67%	100.0%
Win Quarter	80.0%	100.0%
Win Year	100.0%	100.0%
Beta	-6.45	-
Alpha	1.04	-
Correlation	-3.96%	-
Treynor Ratio	-2.47%	-