TUSD[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 24 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-6.57%	6.2%
CAGR﹪	-5.12%	4.76%
Sharpe	0.04	17.41
Prob. Sharpe Ratio	51.34%	100.0%
Smart Sharpe	0.03	16.01
Sortino	0.04	48.48
Smart Sortino	0.04	44.58
Sortino/√2	0.03	34.28
Smart Sortino/√2	0.03	31.52
Omega	1.01	1.01
Max Drawdown	-40.33%	-0.52%
Longest DD Days	197	105
Volatility (ann.)	40.15%	0.41%
R^2	0.04	0.04
Information Ratio	-0.01	-0.01
Calmar	-0.13	9.15
Skew	-8.34	-0.76
Kurtosis	100.9	0.32
Expected Daily	-0.03%	0.03%
Expected Monthly	-0.62%	0.55%
Expected Yearly	-2.24%	2.02%
Kelly Criterion	-99.92%	85.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.15%	-0.01%
Expected Shortfall (cVaR)	-4.15%	-0.01%
Max Consecutive Wins	4	123
Max Consecutive Losses	6	15
Gain/Pain Ratio	0.01	11.53
Gain/Pain (1M)	0.03	11.53
Payoff Ratio	0.32	0.96
Profit Factor	1.01	12.53
Common Sense Ratio	1.28	23.32
CPC Index	0.17	11.19
Tail Ratio	1.27	1.86
Outlier Win Ratio	1.75	61.45
Outlier Loss Ratio	1.66	61.12
MTD	5.01%	0.46%
3M	22.37%	2.18%
6M	24.29%	2.49%
YTD	7.2%	1.3%
1Y	-13.73%	2.31%
3Y (ann.)	-5.12%	4.76%
5Y (ann.)	-5.12%	4.76%
10Y (ann.)	-5.12%	4.76%
All-time (ann.)	-5.12%	4.76%
Best Day	4.75%	0.06%
Worst Day	-30.6%	-0.03%
Best Month	14.62%	1.17%
Worst Month	-34.2%	-0.52%
Best Year	7.2%	3.05%
Worst Year	-17.47%	1.3%
Avg. Drawdown	-7.07%	-0.52%
Avg. Drawdown Days	36	105
Recovery Factor	-0.16	11.91
Ulcer Index	0.25	0.0
Serenity Index	-0.02	1.7
Avg. Up Month	4.92%	0.72%
Avg. Down Month	-34.2%	-0.52%
Win Days	51.67%	92.96%
Win Month	81.82%	90.91%
Win Quarter	80.0%	80.0%
Win Year	66.67%	100.0%
Beta	20.14	-
Alpha	-1.41	-
Correlation	20.4%	-
Treynor Ratio	-0.33%	-