TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	53.0%	44.33%
CAGR﹪	10.14%	8.69%
Sharpe	0.89	2.32
Prob. Sharpe Ratio	93.38%	99.97%
Smart Sharpe	0.7	1.83
Sortino	1.17	97.81
Smart Sortino	0.92	77.22
Sortino/√2	0.83	69.17
Smart Sortino/√2	0.65	54.6
Omega	1.34	1.34
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	11.75%	3.64%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.45	6.93
Skew	-5.47	32.81
Kurtosis	276.95	1086.11
Expected Daily	0.04%	0.03%
Expected Monthly	0.79%	0.68%
Expected Yearly	8.88%	7.61%
Kelly Criterion	27.89%	87.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.18%	-0.34%
Expected Shortfall (cVaR)	-1.18%	-0.34%
Max Consecutive Wins	13	748
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.34	22.23
Gain/Pain (1M)	1.84	22.23
Payoff Ratio	1.36	1.52
Profit Factor	1.34	23.23
Common Sense Ratio	1.72	80.7
CPC Index	1.07	32.65
Tail Ratio	1.28	3.47
Outlier Win Ratio	2.81	18.55
Outlier Loss Ratio	1.55	28.25
MTD	0.66%	0.11%
3M	3.23%	1.33%
6M	13.46%	1.73%
YTD	27.83%	5.39%
1Y	35.51%	6.59%
3Y (ann.)	13.49%	7.62%
5Y (ann.)	10.14%	8.69%
10Y (ann.)	10.14%	8.69%
All-time (ann.)	10.14%	8.69%
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	27.83%	11.92%
Worst Year	-0.62%	4.01%
Avg. Drawdown	-0.87%	-0.83%
Avg. Drawdown Days	14	136
Recovery Factor	2.33	35.33
Ulcer Index	0.03	0.0
Serenity Index	2.51	53.58
Avg. Up Month	1.7%	0.61%
Avg. Down Month	-	-
Win Days	58.4%	92.21%
Win Month	72.22%	92.59%
Win Quarter	83.33%	94.44%
Win Year	80.0%	100.0%
Beta	-0.14	-
Alpha	0.12	-
Correlation	-4.28%	-
Treynor Ratio	-383.56%	-