YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	29.78%	28.36%
CAGR﹪	8.17%	7.81%
Sharpe	0.44	24.98
Prob. Sharpe Ratio	79.39%	100.0%
Smart Sharpe	0.33	18.6
Sortino	0.66	156.01
Smart Sortino	0.49	116.18
Sortino/√2	0.47	110.31
Smart Sortino/√2	0.35	82.15
Omega	1.11	1.11
Max Drawdown	-21.55%	-0.4%
Longest DD Days	1162	63
Volatility (ann.)	24.58%	0.3%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.38	19.54
Skew	2.61	0.7
Kurtosis	144.01	2.11
Expected Daily	0.03%	0.03%
Expected Monthly	0.64%	0.61%
Expected Yearly	6.73%	6.44%
Kelly Criterion	35.25%	95.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.5%	-0.0%
Expected Shortfall (cVaR)	-2.5%	-0.0%
Max Consecutive Wins	7	561
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.11	62.3
Gain/Pain (1M)	0.78	62.3
Payoff Ratio	2.7	1.59
Profit Factor	1.11	63.3
Common Sense Ratio	1.15	608.63
CPC Index	1.59	98.19
Tail Ratio	1.03	9.61
Outlier Win Ratio	1.77	45.08
Outlier Loss Ratio	1.94	81.92
MTD	-1.33%	0.21%
3M	15.54%	1.79%
6M	10.82%	2.87%
YTD	11.92%	5.5%
1Y	8.79%	7.04%
3Y (ann.)	2.26%	7.93%
5Y (ann.)	8.17%	7.81%
10Y (ann.)	8.17%	7.81%
All-time (ann.)	8.17%	7.81%
Best Day	26.44%	0.09%
Worst Day	-21.55%	-0.02%
Best Month	9.98%	1.62%
Worst Month	-5.89%	-0.4%
Best Year	12.96%	9.51%
Worst Year	-6.02%	5.21%
Avg. Drawdown	-4.88%	-0.4%
Avg. Drawdown Days	199	63
Recovery Factor	1.38	70.89
Ulcer Index	0.11	0.0
Serenity Index	0.23	98.76
Avg. Up Month	3.33%	0.6%
Avg. Down Month	-	-
Win Days	52.76%	97.51%
Win Month	56.1%	97.56%
Win Quarter	71.43%	100.0%
Win Year	75.0%	100.0%
Beta	-1.13	-
Alpha	0.19	-
Correlation	-1.37%	-
Treynor Ratio	-26.38%	-