TGLD RUB[Strategy] vs MCFTR RUB[Benchmark]

31 Aug, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	59.24%	5.81%
CAGR﹪	19.2%	2.16%
Sharpe	-6.86	-5.84
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-6.36	-5.42
Sortino	-6.9	-6.07
Smart Sortino	-6.4	-5.63
Sortino/√2	-4.88	-4.29
Smart Sortino/√2	-4.53	-3.98
Omega	0.23	0.23
Max Drawdown	-36.95%	-53.53%
Longest DD Days	398	916
Volatility (ann.)	27.0%	34.23%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.52	0.04
Skew	-5.52	-5.33
Kurtosis	94.6	109.49
Expected Daily	0.08%	0.01%
Expected Monthly	1.51%	0.18%
Expected Yearly	12.33%	1.42%
Kelly Criterion	4.94%	7.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-3.51%
Expected Shortfall (cVaR)	-2.7%	-3.51%
Max Consecutive Wins	9	9
Max Consecutive Losses	9	5
Gain/Pain Ratio	0.22	0.07
Gain/Pain (1M)	1.03	0.28
Payoff Ratio	0.9	0.87
Profit Factor	1.22	1.07
Common Sense Ratio	1.36	1.06
CPC Index	0.6	0.53
Tail Ratio	1.12	0.99
Outlier Win Ratio	4.06	4.16
Outlier Loss Ratio	4.74	4.13
MTD	1.63%	2.9%
3M	18.8%	8.14%
6M	15.8%	7.52%
YTD	15.19%	11.49%
1Y	30.66%	39.41%
3Y (ann.)	19.2%	2.16%
5Y (ann.)	19.2%	2.16%
10Y (ann.)	19.2%	2.16%
All-time (ann.)	19.2%	2.16%
Best Day	9.11%	20.04%
Worst Day	-25.97%	-33.28%
Best Month	19.21%	15.56%
Worst Month	-25.97%	-30.02%
Best Year	42.51%	53.84%
Worst Year	-4.77%	-37.26%
Avg. Drawdown	-4.09%	-8.53%
Avg. Drawdown Days	38	135
Recovery Factor	1.6	0.11
Ulcer Index	0.16	0.3
Serenity Index	-2.27	-0.98
Avg. Up Month	6.97%	5.3%
Avg. Down Month	-8.14%	-6.6%
Win Days	55.09%	57.07%
Win Month	63.33%	63.33%
Win Quarter	83.33%	66.67%
Win Year	75.0%	50.0%
Beta	0.0	-
Alpha	0.24	-
Correlation	0.27%	-
Treynor Ratio	-303474.41%	-