TITR[Strategy] vs RUB Inflation[Benchmark]

20 May, 2024 - 13 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-51.14%	19.05%
CAGR﹪	-25.04%	7.27%
Sharpe	-1.1	19.65
Prob. Sharpe Ratio	4.25%	100.0%
Smart Sharpe	-1.01	17.98
Sortino	-1.5	123.48
Smart Sortino	-1.37	113.01
Sortino/√2	-1.06	87.31
Smart Sortino/√2	-0.97	79.91
Omega	0.83	0.83
Max Drawdown	-61.21%	-0.4%
Longest DD Days	904	63
Volatility (ann.)	23.45%	0.35%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	-0.41	18.17
Skew	0.27	0.8
Kurtosis	3.07	1.05
Expected Daily	-0.11%	0.03%
Expected Monthly	-2.28%	0.56%
Expected Yearly	-21.24%	5.98%
Kelly Criterion	-14.2%	91.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.53%	-0.01%
Expected Shortfall (cVaR)	-2.53%	-0.01%
Max Consecutive Wins	6	306
Max Consecutive Losses	8	21
Gain/Pain Ratio	-0.17	36.27
Gain/Pain (1M)	-0.55	36.27
Payoff Ratio	0.85	2.86
Profit Factor	0.83	37.27
Common Sense Ratio	0.79	661.46
CPC Index	0.33	99.38
Tail Ratio	0.95	17.75
Outlier Win Ratio	2.01	65.02
Outlier Loss Ratio	1.57	164.54
MTD	2.51%	0.13%
3M	5.59%	0.78%
6M	-5.21%	2.29%
YTD	-10.24%	5.54%
1Y	-10.73%	6.15%
3Y (ann.)	-25.04%	7.27%
5Y (ann.)	-25.04%	7.27%
10Y (ann.)	-25.04%	7.27%
All-time (ann.)	-25.04%	7.27%
Best Day	8.94%	0.09%
Worst Day	-6.83%	-0.02%
Best Month	11.95%	1.62%
Worst Month	-12.69%	-0.4%
Best Year	-10.24%	6.81%
Worst Year	-29.15%	5.54%
Avg. Drawdown	-30.65%	-0.24%
Avg. Drawdown Days	452	50
Recovery Factor	-0.84	47.62
Ulcer Index	0.4	0.0
Serenity Index	-0.03	56.56
Avg. Up Month	3.92%	0.64%
Avg. Down Month	-2.7%	-0.08%
Win Days	47.49%	93.34%
Win Month	45.16%	93.55%
Win Quarter	9.09%	100.0%
Win Year	0.0%	100.0%
Beta	1.32	-
Alpha	-0.35	-
Correlation	1.99%	-
Treynor Ratio	-38.87%	-