TGRN RUB[Strategy] vs MCFTR RUB[Benchmark]

22 Jul, 2021 - 11 Aug, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-22.02%	-40.85%
CAGR%	-20.88%	-39.05%
Sharpe	-0.37	-0.98
Sortino	-0.45	-1.14
Max Drawdown	-52.59%	-51.09%
Longest DD Days	261	294
Volatility (ann.)	48.98%	52.68%
R^2	0.02	0.02
Calmar	-0.4	-0.77
Skew	-4.51	-4.17
Kurtosis	46.33	56.07
Expected Daily %	-0.13%	-0.27%
Expected Monthly %	-2.24%	-4.66%
Expected Yearly %	-11.7%	-23.09%
Kelly Criterion	-5.1%	0.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.15%	-5.66%
Expected Shortfall (cVaR)	-14.43%	-14.43%
Payoff Ratio	0.98	0.98
Profit Factor	0.08	0.24
Common Sense Ratio	0.08	0.16
CPC Index	0.04	0.12
Tail Ratio	1.04	0.67
Outlier Win Ratio	2.78	3.86
Outlier Loss Ratio	3.76	3.89
MTD	6.79%	-3.63%
3M	-12.93%	-12.33%
6M	-3.44%	-38.88%
YTD	-18.52%	-42.37%
1Y	-24.85%	-42.5%
3Y (ann.)	-21.01%	-39.22%
5Y (ann.)	-21.01%	-39.22%
10Y (ann.)	-21.01%	-39.22%
All-time (ann.)	-21.01%	-39.22%
Best Day	9.89%	19.97%
Worst Day	-30.21%	-33.14%
Best Month	36.71%	5.01%
Worst Month	-40.36%	-29.87%
Best Year	-4.3%	2.63%
Worst Year	-18.52%	-42.37%
Avg. Drawdown	-10.65%	-5.22%
Avg. Drawdown Days	53	30
Recovery Factor	-0.42	-0.8
Ulcer Index	inf	inf
Avg. Up Month	16.64%	2.34%
Avg. Down Month	-20.61%	-6.12%
Win Days %	47.96%	50.51%
Win Month %	54.55%	45.45%
Win Quarter %	40.0%	20.0%
Win Year %	0.0%	50.0%
Beta	0.12	-
Alpha	-0.12	-