TBUY[Strategy] vs RUB Inflation[Benchmark]

8 Nov, 2021 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	21.69%	7.85%
CAGR﹪	11.06%	4.12%
Sharpe	0.56	13.25
Prob. Sharpe Ratio	73.6%	100.0%
Smart Sharpe	0.54	12.8
Sortino	0.7	39.22
Smart Sortino	0.68	37.89
Sortino/√2	0.5	27.73
Smart Sortino/√2	0.48	26.79
Omega	1.12	1.12
Max Drawdown	-47.24%	-1.25%
Longest DD Days	394	209
Volatility (ann.)	36.45%	0.38%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.23	3.28
Skew	-4.16	-0.16
Kurtosis	49.11	-0.69
Expected Daily	0.05%	0.02%
Expected Monthly	0.99%	0.38%
Expected Yearly	6.76%	2.55%
Kelly Criterion	-11.25%	70.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.7%	-0.02%
Expected Shortfall (cVaR)	-3.7%	-0.02%
Max Consecutive Wins	8	231
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.12	5.98
Gain/Pain (1M)	0.36	5.98
Payoff Ratio	0.72	1.44
Profit Factor	1.12	6.98
Common Sense Ratio	1.27	18.48
CPC Index	0.43	8.31
Tail Ratio	1.14	2.65
Outlier Win Ratio	1.8	88.66
Outlier Loss Ratio	1.73	131.97
MTD	-4.15%	0.19%
3M	17.47%	1.23%
6M	25.68%	2.18%
YTD	40.92%	3.52%
1Y	78.44%	4.92%
3Y (ann.)	11.06%	4.12%
5Y (ann.)	11.06%	4.12%
10Y (ann.)	11.06%	4.12%
All-time (ann.)	11.06%	4.12%
Best Day	8.05%	0.06%
Worst Day	-26.66%	-0.02%
Best Month	31.77%	1.17%
Worst Month	-28.84%	-0.52%
Best Year	40.92%	3.52%
Worst Year	-16.44%	1.73%
Avg. Drawdown	-5.85%	-1.25%
Avg. Drawdown Days	40	209
Recovery Factor	0.46	6.25
Ulcer Index	0.22	0.01
Serenity Index	0.06	0.35
Avg. Up Month	8.72%	0.59%
Avg. Down Month	-15.2%	-0.44%
Win Days	53.26%	82.62%
Win Month	55.0%	85.0%
Win Quarter	87.5%	75.0%
Win Year	66.67%	100.0%
Beta	-2.19	-
Alpha	0.31	-
Correlation	-2.31%	-
Treynor Ratio	-9.88%	-