TGRN[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-32.5%	12.61%
CAGR﹪	-15.65%	5.28%
Sharpe	-0.3	9.74
Prob. Sharpe Ratio	33.81%	100.0%
Smart Sharpe	-0.27	8.96
Sortino	-0.37	52.27
Smart Sortino	-0.34	48.09
Sortino/√2	-0.26	36.96
Smart Sortino/√2	-0.24	34.01
Omega	0.94	0.94
Max Drawdown	-52.76%	-1.25%
Longest DD Days	602	200
Volatility (ann.)	40.93%	0.66%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	-0.3	4.2
Skew	-3.6	8.76
Kurtosis	42.47	111.58
Expected Daily	-0.08%	0.03%
Expected Monthly	-1.62%	0.5%
Expected Yearly	-12.28%	4.04%
Kelly Criterion	-50.61%	79.04%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.29%	-0.04%
Expected Shortfall (cVaR)	-4.29%	-0.04%
Max Consecutive Wins	10	248
Max Consecutive Losses	7	58
Gain/Pain Ratio	-0.06	9.41
Gain/Pain (1M)	-0.17	9.41
Payoff Ratio	0.55	1.46
Profit Factor	0.94	10.41
Common Sense Ratio	1.06	24.15
CPC Index	0.24	13.32
Tail Ratio	1.12	2.32
Outlier Win Ratio	1.72	91.53
Outlier Loss Ratio	1.77	130.92
MTD	-13.64%	1.11%
3M	-39.34%	3.11%
6M	-11.66%	4.48%
YTD	-0.72%	5.84%
1Y	8.82%	7.04%
3Y (ann.)	-15.65%	5.28%
5Y (ann.)	-15.65%	5.28%
10Y (ann.)	-15.65%	5.28%
All-time (ann.)	-15.65%	5.28%
Best Day	9.92%	0.55%
Worst Day	-30.34%	-0.03%
Best Month	36.85%	1.17%
Worst Month	-40.51%	-0.52%
Best Year	-0.72%	5.84%
Worst Year	-26.5%	2.29%
Avg. Drawdown	-13.61%	-1.25%
Avg. Drawdown Days	92	200
Recovery Factor	-0.62	10.05
Ulcer Index	0.28	0.0
Serenity Index	-0.06	1.17
Avg. Up Month	6.75%	0.61%
Avg. Down Month	-21.3%	-0.43%
Win Days	46.3%	87.55%
Win Month	54.17%	87.5%
Win Quarter	50.0%	80.0%
Win Year	0.0%	100.0%
Beta	-7.49	-
Alpha	0.36	-
Correlation	-12.05%	-
Treynor Ratio	4.34%	-