YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 4 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	8.77%	40.9%
CAGR﹪	4.03%	17.48%
Sharpe	0.28	59.11
Prob. Sharpe Ratio	66.07%	-
Smart Sharpe	0.2	41.71
Sortino	0.42	-
Smart Sortino	0.3	-
Sortino/√2	0.3	-
Smart Sortino/√2	0.21	-
Omega	1.08	1.08
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	28.58%	0.27%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.19	-
Skew	2.62	-0.48
Kurtosis	122.57	-0.54
Expected Daily	0.02%	0.06%
Expected Monthly	0.31%	1.28%
Expected Yearly	2.84%	12.11%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.93%	-0.04%
Expected Shortfall (cVaR)	-2.93%	-0.04%
Max Consecutive Wins	7	542
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.08	-
Gain/Pain (1M)	0.56	-
Payoff Ratio	-	-
Profit Factor	1.08	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	0.95	2.7
Outlier Win Ratio	1.98	26.06
Outlier Loss Ratio	1.81	-
MTD	0.73%	0.3%
3M	-2.39%	4.95%
6M	-12.07%	10.68%
YTD	-11.85%	10.77%
1Y	1.85%	21.8%
3Y (ann.)	4.03%	17.48%
5Y (ann.)	4.03%	17.48%
10Y (ann.)	4.03%	17.48%
All-time (ann.)	4.03%	17.48%
Best Day	26.44%	0.09%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.83%
Worst Month	-5.89%	0.3%
Best Year	12.96%	18.74%
Worst Year	-11.85%	7.12%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.41	-
Ulcer Index	0.12	0.0
Serenity Index	0.07	-
Avg. Up Month	2.76%	1.2%
Avg. Down Month	-	-
Win Days	52.6%	100.0%
Win Month	55.56%	100.0%
Win Quarter	60.0%	100.0%
Win Year	66.67%	100.0%
Beta	-4.07	-
Alpha	0.73	-
Correlation	-3.84%	-
Treynor Ratio	-2.15%	-