TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	49.01%	43.12%
CAGR﹪	9.79%	8.76%
Sharpe	0.85	2.3
Prob. Sharpe Ratio	92.48%	99.98%
Smart Sharpe	0.67	1.82
Sortino	1.12	97.14
Smart Sortino	0.89	76.81
Sortino/√2	0.79	68.69
Smart Sortino/√2	0.63	54.31
Omega	1.33	1.33
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	11.89%	3.7%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.43	6.98
Skew	-5.44	32.29
Kurtosis	272.61	1051.69
Expected Daily	0.04%	0.03%
Expected Monthly	0.77%	0.69%
Expected Yearly	8.3%	7.43%
Kelly Criterion	27.67%	86.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-0.35%
Expected Shortfall (cVaR)	-1.19%	-0.35%
Max Consecutive Wins	13	748
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.33	21.72
Gain/Pain (1M)	1.73	21.72
Payoff Ratio	1.36	1.53
Profit Factor	1.33	22.72
Common Sense Ratio	1.7	78.95
CPC Index	1.05	32.05
Tail Ratio	1.28	3.47
Outlier Win Ratio	2.86	18.63
Outlier Loss Ratio	1.55	28.31
MTD	1.08%	0.2%
3M	5.21%	0.41%
6M	16.54%	1.53%
YTD	24.5%	4.51%
1Y	27.69%	7.79%
3Y (ann.)	13.24%	7.69%
5Y (ann.)	9.79%	8.76%
10Y (ann.)	9.79%	8.76%
All-time (ann.)	9.79%	8.76%
Best Day	12.33%	7.61%
Worst Day	-16.17%	-0.02%
Best Month	6.64%	7.61%
Worst Month	-10.09%	-0.52%
Best Year	24.5%	11.92%
Worst Year	-0.62%	4.01%
Avg. Drawdown	-0.91%	-0.83%
Avg. Drawdown Days	15	138
Recovery Factor	2.16	34.37
Ulcer Index	0.03	0.0
Serenity Index	2.27	51.22
Avg. Up Month	1.73%	0.62%
Avg. Down Month	-	-
Win Days	58.32%	91.96%
Win Month	71.15%	92.31%
Win Quarter	83.33%	94.44%
Win Year	80.0%	100.0%
Beta	-0.14	-
Alpha	0.11	-
Correlation	-4.29%	-
Treynor Ratio	-355.17%	-