TGLD[Strategy] vs RUB Inflation[Benchmark]

25 Aug, 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	37.37%	10.31%
CAGR﹪	16.52%	4.84%
Sharpe	0.76	14.95
Prob. Sharpe Ratio	81.2%	100.0%
Smart Sharpe	0.7	13.78
Sortino	0.96	46.53
Smart Sortino	0.89	42.89
Sortino/√2	0.68	32.9
Smart Sortino/√2	0.63	30.33
Omega	1.19	1.19
Max Drawdown	-36.95%	-1.25%
Longest DD Days	398	209
Volatility (ann.)	29.85%	0.37%
R^2	0.01	0.01
Information Ratio	0.04	0.04
Calmar	0.45	3.86
Skew	-5.39	-0.16
Kurtosis	83.48	0.06
Expected Daily	0.07%	0.02%
Expected Monthly	1.33%	0.41%
Expected Yearly	11.16%	3.33%
Kelly Criterion	-15.38%	75.98%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.0%	-0.02%
Expected Shortfall (cVaR)	-3.0%	-0.02%
Max Consecutive Wins	9	255
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.19	7.78
Gain/Pain (1M)	0.79	7.78
Payoff Ratio	0.64	1.52
Profit Factor	1.19	8.78
Common Sense Ratio	1.38	22.15
CPC Index	0.42	11.39
Tail Ratio	1.16	2.52
Outlier Win Ratio	2.37	82.69
Outlier Loss Ratio	1.62	87.84
MTD	-2.47%	0.19%
3M	12.09%	1.23%
6M	21.05%	2.52%
YTD	41.38%	3.9%
1Y	80.79%	5.3%
3Y (ann.)	16.52%	4.84%
5Y (ann.)	16.52%	4.84%
10Y (ann.)	16.52%	4.84%
All-time (ann.)	16.52%	4.84%
Best Day	9.11%	0.12%
Worst Day	-25.97%	-0.02%
Best Month	19.21%	1.17%
Worst Month	-25.97%	-0.52%
Best Year	41.38%	3.9%
Worst Year	-4.77%	2.41%
Avg. Drawdown	-4.24%	-1.25%
Avg. Drawdown Days	36	209
Recovery Factor	1.01	8.22
Ulcer Index	0.18	0.0
Serenity Index	0.11	0.52
Avg. Up Month	5.2%	0.58%
Avg. Down Month	-8.15%	-0.43%
Win Days	54.85%	85.52%
Win Month	66.67%	87.5%
Win Quarter	77.78%	77.78%
Win Year	66.67%	100.0%
Beta	-6.34	-
Alpha	0.57	-
Correlation	-7.81%	-
Treynor Ratio	-5.9%	-