YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	11.59%	21.27%
CAGR﹪	4.43%	7.93%
Sharpe	0.29	27.34
Prob. Sharpe Ratio	68.29%	100.0%
Smart Sharpe	0.21	19.64
Sortino	0.44	137.66
Smart Sortino	0.32	98.93
Sortino/√2	0.31	97.34
Smart Sortino/√2	0.22	69.95
Omega	1.08	1.08
Max Drawdown	-21.55%	-0.4%
Longest DD Days	905	63
Volatility (ann.)	26.79%	0.27%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.21	19.81
Skew	2.66	-0.12
Kurtosis	133.21	0.82
Expected Daily	0.02%	0.03%
Expected Monthly	0.35%	0.62%
Expected Yearly	3.72%	6.64%
Kelly Criterion	35.62%	94.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.74%	-0.0%
Expected Shortfall (cVaR)	-2.74%	-0.0%
Max Consecutive Wins	7	561
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.08	48.14
Gain/Pain (1M)	0.59	48.14
Payoff Ratio	2.75	1.62
Profit Factor	1.08	49.14
Common Sense Ratio	1.09	330.79
CPC Index	1.56	77.13
Tail Ratio	1.01	6.73
Outlier Win Ratio	1.95	49.33
Outlier Loss Ratio	1.89	83.3
MTD	-2.06%	0.41%
3M	-1.51%	1.2%
6M	2.27%	1.72%
YTD	-9.56%	5.26%
1Y	-7.9%	6.86%
3Y (ann.)	4.43%	7.93%
5Y (ann.)	4.43%	7.93%
10Y (ann.)	4.43%	7.93%
All-time (ann.)	4.43%	7.93%
Best Day	26.44%	0.07%
Worst Day	-21.55%	-0.02%
Best Month	8.66%	1.43%
Worst Month	-5.89%	-0.4%
Best Year	12.96%	9.51%
Worst Year	-9.56%	5.21%
Avg. Drawdown	-11.38%	-0.4%
Avg. Drawdown Days	458	63
Recovery Factor	0.54	53.18
Ulcer Index	0.12	0.0
Serenity Index	0.09	51.76
Avg. Up Month	2.8%	0.61%
Avg. Down Month	-	-
Win Days	52.81%	96.75%
Win Month	54.84%	96.77%
Win Quarter	54.55%	100.0%
Win Year	66.67%	100.0%
Beta	-1.77	-
Alpha	0.21	-
Correlation	-1.82%	-
Treynor Ratio	-6.53%	-