YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 13 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	30.35%	27.98%
CAGR﹪	8.09%	7.51%
Sharpe	0.44	23.33
Prob. Sharpe Ratio	79.64%	100.0%
Smart Sharpe	0.33	17.38
Sortino	0.66	149.27
Smart Sortino	0.49	111.18
Sortino/√2	0.47	105.55
Smart Sortino/√2	0.35	78.61
Omega	1.11	1.11
Max Drawdown	-21.55%	-0.4%
Longest DD Days	1162	63
Volatility (ann.)	24.34%	0.31%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.38	18.78
Skew	2.62	0.65
Kurtosis	146.03	1.76
Expected Daily	0.03%	0.03%
Expected Monthly	0.63%	0.59%
Expected Yearly	6.85%	6.36%
Kelly Criterion	25.22%	93.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-0.0%
Expected Shortfall (cVaR)	-2.48%	-0.0%
Max Consecutive Wins	7	561
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.11	51.33
Gain/Pain (1M)	0.79	51.33
Payoff Ratio	1.72	2.37
Profit Factor	1.11	52.33
Common Sense Ratio	1.16	503.12
CPC Index	1.01	118.04
Tail Ratio	1.04	9.61
Outlier Win Ratio	1.74	44.51
Outlier Loss Ratio	1.95	135.95
MTD	0.53%	0.14%
3M	9.13%	0.77%
6M	12.0%	2.1%
YTD	12.41%	5.19%
1Y	13.62%	6.31%
3Y (ann.)	5.09%	7.47%
5Y (ann.)	8.09%	7.51%
10Y (ann.)	8.09%	7.51%
All-time (ann.)	8.09%	7.51%
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%	5.19%
Avg. Drawdown	-4.88%	-0.24%
Avg. Drawdown Days	204	50
Recovery Factor	1.41	69.96
Ulcer Index	0.11	0.0
Serenity Index	0.23	100.25
Avg. Up Month	3.02%	0.59%
Avg. Down Month	-	-
Win Days	52.69%	95.14%
Win Month	57.14%	95.24%
Win Quarter	73.33%	100.0%
Win Year	75.0%	100.0%
Beta	-1.5	-
Alpha	0.21	-
Correlation	-1.9%	-
Treynor Ratio	-20.18%	-