TGLD[Strategy] vs RUB Inflation[Benchmark]

25 Aug, 2021 - 19 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	148.4%	31.89%
CAGR﹪	23.44%	6.62%
Sharpe	1.06	20.69
Prob. Sharpe Ratio	96.43%	100.0%
Smart Sharpe	1.01	19.63
Sortino	1.41	76.12
Smart Sortino	1.34	72.22
Sortino/√2	1.0	53.82
Smart Sortino/√2	0.95	51.07
Omega	1.24	1.24
Max Drawdown	-36.95%	-1.25%
Longest DD Days	398	209
Volatility (ann.)	23.97%	0.33%
R^2	0.01	0.01
Information Ratio	0.05	0.05
Calmar	0.63	5.27
Skew	-4.62	-0.37
Kurtosis	88.75	0.56
Expected Daily	0.09%	0.03%
Expected Monthly	1.8%	0.54%
Expected Yearly	19.96%	5.69%
Kelly Criterion	-9.12%	86.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.38%	-0.01%
Expected Shortfall (cVaR)	-2.38%	-0.01%
Max Consecutive Wins	9	727
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.24	16.64
Gain/Pain (1M)	1.37	16.64
Payoff Ratio	0.69	1.6
Profit Factor	1.24	17.64
Common Sense Ratio	1.35	57.98
CPC Index	0.47	25.86
Tail Ratio	1.09	3.29
Outlier Win Ratio	2.11	61.15
Outlier Loss Ratio	1.75	87.02
MTD	4.54%	0.31%
3M	12.79%	1.36%
6M	28.11%	1.84%
YTD	25.28%	5.6%
1Y	24.36%	6.16%
3Y (ann.)	37.22%	7.54%
5Y (ann.)	23.44%	6.62%
10Y (ann.)	23.44%	6.62%
All-time (ann.)	23.44%	6.62%
Best Day	9.11%	0.12%
Worst Day	-25.97%	-0.02%
Best Month	19.21%	1.43%
Worst Month	-25.97%	-0.52%
Best Year	43.2%	9.51%
Worst Year	-4.77%	2.41%
Avg. Drawdown	-3.77%	-0.83%
Avg. Drawdown Days	37	136
Recovery Factor	4.02	25.41
Ulcer Index	0.13	0.0
Serenity Index	0.73	3.23
Avg. Up Month	5.05%	0.61%
Avg. Down Month	-8.15%	-0.43%
Win Days	55.59%	91.59%
Win Month	66.67%	92.16%
Win Quarter	72.22%	88.89%
Win Year	80.0%	100.0%
Beta	-5.23	-
Alpha	0.61	-
Correlation	-7.19%	-
Treynor Ratio	-28.4%	-