TGRN[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 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	-7.1%	9.71%
CAGR﹪	-3.3%	4.31%
Sharpe	0.11	14.63
Prob. Sharpe Ratio	55.68%	100.0%
Smart Sharpe	0.1	13.42
Sortino	0.14	42.19
Smart Sortino	0.13	38.69
Sortino/√2	0.1	29.83
Smart Sortino/√2	0.09	27.36
Omega	1.02	1.02
Max Drawdown	-52.76%	-1.25%
Longest DD Days	602	200
Volatility (ann.)	40.0%	0.37%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	-0.06	3.43
Skew	-3.75	-0.33
Kurtosis	48.16	-0.4
Expected Daily	-0.02%	0.02%
Expected Monthly	-0.33%	0.42%
Expected Yearly	-2.43%	3.14%
Kelly Criterion	-48.5%	76.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.13%	-0.02%
Expected Shortfall (cVaR)	-4.13%	-0.02%
Max Consecutive Wins	10	218
Max Consecutive Losses	7	58
Gain/Pain Ratio	0.02	7.34
Gain/Pain (1M)	0.07	7.34
Payoff Ratio	0.56	1.28
Profit Factor	1.02	8.34
Common Sense Ratio	1.19	19.36
CPC Index	0.27	9.23
Tail Ratio	1.16	2.32
Outlier Win Ratio	1.75	108.08
Outlier Loss Ratio	1.79	126.81
MTD	-8.18%	0.19%
3M	3.44%	1.23%
6M	21.58%	1.8%
YTD	36.64%	3.12%
1Y	34.58%	4.52%
3Y (ann.)	-3.3%	4.31%
5Y (ann.)	-3.3%	4.31%
10Y (ann.)	-3.3%	4.31%
All-time (ann.)	-3.3%	4.31%
Best Day	9.92%	0.06%
Worst Day	-30.34%	-0.03%
Best Month	36.85%	1.17%
Worst Month	-40.51%	-0.52%
Best Year	36.64%	4.01%
Worst Year	-26.5%	2.29%
Avg. Drawdown	-11.07%	-1.25%
Avg. Drawdown Days	87	200
Recovery Factor	-0.13	7.74
Ulcer Index	0.28	0.0
Serenity Index	-0.01	0.47
Avg. Up Month	6.75%	0.61%
Avg. Down Month	-21.3%	-0.43%
Win Days	46.98%	86.7%
Win Month	59.09%	86.36%
Win Quarter	55.56%	77.78%
Win Year	33.33%	100.0%
Beta	7.0	-
Alpha	-0.33	-
Correlation	6.4%	-
Treynor Ratio	-1.01%	-