YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 27 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	20.49%	27.77%
CAGR﹪	6.01%	7.98%
Sharpe	0.36	25.02
Prob. Sharpe Ratio	74.23%	100.0%
Smart Sharpe	0.26	18.52
Sortino	0.54	156.33
Smart Sortino	0.4	115.71
Sortino/√2	0.38	110.54
Smart Sortino/√2	0.28	81.82
Omega	1.09	1.09
Max Drawdown	-21.55%	-0.4%
Longest DD Days	1147	63
Volatility (ann.)	24.96%	0.3%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.28	19.95
Skew	2.61	0.59
Kurtosis	141.17	1.81
Expected Daily	0.02%	0.03%
Expected Monthly	0.48%	0.63%
Expected Yearly	4.77%	6.32%
Kelly Criterion	34.83%	95.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.55%	-0.0%
Expected Shortfall (cVaR)	-2.55%	-0.0%
Max Consecutive Wins	7	561
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.09	61.16
Gain/Pain (1M)	0.62	61.16
Payoff Ratio	2.72	1.63
Profit Factor	1.09	62.16
Common Sense Ratio	1.14	597.66
CPC Index	1.55	98.79
Tail Ratio	1.04	9.61
Outlier Win Ratio	1.81	45.5
Outlier Loss Ratio	1.93	82.49
MTD	-1.43%	0.79%
3M	4.68%	1.86%
6M	7.05%	3.63%
YTD	3.9%	5.01%
1Y	8.62%	6.36%
3Y (ann.)	1.36%	8.21%
5Y (ann.)	6.01%	7.98%
10Y (ann.)	6.01%	7.98%
All-time (ann.)	6.01%	7.98%
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%	5.01%
Avg. Drawdown	-11.38%	-0.4%
Avg. Drawdown Days	578	63
Recovery Factor	0.95	69.42
Ulcer Index	0.12	0.0
Serenity Index	0.16	94.64
Avg. Up Month	3.28%	0.61%
Avg. Down Month	-	-
Win Days	52.37%	97.4%
Win Month	53.85%	97.44%
Win Quarter	64.29%	100.0%
Win Year	75.0%	100.0%
Beta	-1.12	-
Alpha	0.17	-
Correlation	-1.37%	-
Treynor Ratio	-18.3%	-