TFNX[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-44.74%	10.24%
CAGR﹪	-26.06%	5.09%
Sharpe	-0.51	8.73
Prob. Sharpe Ratio	24.53%	100.0%
Smart Sharpe	-0.5	8.58
Sortino	-0.59	49.93
Smart Sortino	-0.58	49.02
Sortino/√2	-0.42	35.3
Smart Sortino/√2	-0.41	34.66
Omega	0.89	0.89
Max Drawdown	-62.39%	-1.25%
Longest DD Days	716	209
Volatility (ann.)	48.76%	0.73%
R^2	0.04	0.04
Information Ratio	-0.04	-0.04
Calmar	-0.42	4.06
Skew	-5.85	7.88
Kurtosis	72.94	89.4
Expected Daily	-0.15%	0.03%
Expected Monthly	-2.78%	0.47%
Expected Yearly	-17.94%	3.3%
Kelly Criterion	-26.27%	72.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.15%	-0.05%
Expected Shortfall (cVaR)	-5.15%	-0.05%
Max Consecutive Wins	11	248
Max Consecutive Losses	9	65
Gain/Pain Ratio	-0.11	7.73
Gain/Pain (1M)	-0.28	7.73
Payoff Ratio	0.65	1.64
Profit Factor	0.89	8.73
Common Sense Ratio	0.88	24.89
CPC Index	0.29	11.87
Tail Ratio	0.98	2.85
Outlier Win Ratio	1.74	81.36
Outlier Loss Ratio	1.61	156.94
MTD	-13.79%	1.11%
3M	-30.68%	3.11%
6M	0.2%	4.48%
YTD	12.23%	5.84%
1Y	21.14%	7.04%
3Y (ann.)	-26.06%	5.09%
5Y (ann.)	-26.06%	5.09%
10Y (ann.)	-26.06%	5.09%
All-time (ann.)	-26.06%	5.09%
Best Day	9.64%	0.55%
Worst Day	-39.7%	-0.02%
Best Month	29.6%	1.17%
Worst Month	-39.7%	-0.52%
Best Year	12.23%	5.84%
Worst Year	-46.24%	1.71%
Avg. Drawdown	-62.39%	-1.25%
Avg. Drawdown Days	716	209
Recovery Factor	-0.72	8.16
Ulcer Index	0.41	0.01
Serenity Index	-0.05	0.87
Avg. Up Month	8.86%	0.48%
Avg. Down Month	-14.21%	-0.44%
Win Days	50.13%	83.12%
Win Month	42.86%	85.71%
Win Quarter	55.56%	77.78%
Win Year	33.33%	100.0%
Beta	-13.85	-
Alpha	0.63	-
Correlation	-20.72%	-
Treynor Ratio	3.23%	-