SUGB RUB[Strategy] vs TMOS RUB[Benchmark]

25 Sep, 2020 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	96.0%
Cumulative Return	23.95%	29.98%
CAGR﹪	4.75%	5.83%
Sharpe	-0.15	0.11
Prob. Sharpe Ratio	14.39%	6.7%
Smart Sharpe	-0.11	0.08
Sortino	-0.22	0.14
Smart Sortino	-0.15	0.1
Sortino/√2	-0.15	0.1
Smart Sortino/√2	-0.11	0.07
Omega	0.97	0.97
Max Drawdown	-9.84%	-54.41%
Longest DD Days	528	1297
Volatility (ann.)	9.03%	26.68%
R^2	0.1	0.1
Information Ratio	-0.01	-0.01
Calmar	0.48	0.11
Skew	-0.53	-2.89
Kurtosis	10.53	38.93
Expected Daily	0.02%	0.02%
Expected Monthly	0.38%	0.46%
Expected Yearly	3.64%	4.47%
Kelly Criterion	-0.63%	-1.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.91%	-2.73%
Expected Shortfall (cVaR)	-0.91%	-2.73%
Max Consecutive Wins	7	10
Max Consecutive Losses	5	8
Gain/Pain Ratio	0.12	0.08
Gain/Pain (1M)	0.95	0.31
Payoff Ratio	0.9	0.8
Profit Factor	1.12	1.08
Common Sense Ratio	1.21	0.99
CPC Index	0.52	0.47
Tail Ratio	1.09	0.92
Outlier Win Ratio	7.14	2.83
Outlier Loss Ratio	6.16	2.21
MTD	0.53%	-2.18%
3M	5.08%	-3.39%
6M	14.26%	5.73%
YTD	6.56%	0.0%
1Y	12.14%	-10.94%
3Y (ann.)	7.03%	15.96%
5Y (ann.)	4.75%	5.83%
10Y (ann.)	4.75%	5.83%
All-time (ann.)	4.75%	5.83%
Best Day	3.13%	10.76%
Worst Day	-5.57%	-21.55%
Best Month	7.42%	15.31%
Worst Month	-7.25%	-31.78%
Best Year	8.15%	51.35%
Worst Year	-0.8%	-37.9%
Avg. Drawdown	-0.98%	-3.94%
Avg. Drawdown Days	23	63
Recovery Factor	2.43	0.55
Ulcer Index	0.02	0.24
Serenity Index	1.66	0.04
Avg. Up Month	1.5%	5.27%
Avg. Down Month	-1.73%	-9.21%
Win Days	52.45%	55.26%
Win Month	56.14%	61.4%
Win Quarter	60.0%	65.0%
Win Year	83.33%	83.33%
Beta	0.1	-
Alpha	0.04	-
Correlation	31.0%	-
Treynor Ratio	161.49%	-