TLCB[Strategy] vs RUB Inflation[Benchmark]

23 Nov, 2023 - 26 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-0.99%	17.69%
CAGR﹪	-0.48%	8.09%
Sharpe	0.03	20.71
Prob. Sharpe Ratio	51.96%	100.0%
Smart Sharpe	0.03	18.41
Sortino	0.05	127.83
Smart Sortino	0.04	113.62
Sortino/√2	0.03	90.39
Smart Sortino/√2	0.03	80.34
Omega	1.01	1.01
Max Drawdown	-15.24%	-0.4%
Longest DD Days	345	63
Volatility (ann.)	13.66%	0.37%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.03	20.23
Skew	0.1	2.57
Kurtosis	2.36	16.19
Expected Daily	-0.0%	0.03%
Expected Monthly	-0.04%	0.63%
Expected Yearly	-0.33%	5.58%
Kelly Criterion	20.71%	93.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.41%	-0.01%
Expected Shortfall (cVaR)	-1.41%	-0.01%
Max Consecutive Wins	7	428
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.01	40.64
Gain/Pain (1M)	0.03	40.64
Payoff Ratio	1.63	1.77
Profit Factor	1.01	41.64
Common Sense Ratio	1.05	280.35
CPC Index	0.83	70.68
Tail Ratio	1.04	6.73
Outlier Win Ratio	2.18	37.69
Outlier Loss Ratio	1.84	65.2
MTD	1.32%	0.42%
3M	-5.4%	1.39%
6M	3.21%	1.89%
YTD	-10.49%	5.71%
1Y	-6.55%	5.96%
3Y (ann.)	-0.48%	8.09%
5Y (ann.)	-0.48%	8.09%
10Y (ann.)	-0.48%	8.09%
All-time (ann.)	-0.48%	8.09%
Best Day	3.82%	0.18%
Worst Day	-3.41%	-0.02%
Best Month	8.07%	1.43%
Worst Month	-6.81%	-0.4%
Best Year	5.29%	9.51%
Worst Year	-10.49%	1.66%
Avg. Drawdown	-3.87%	-0.4%
Avg. Drawdown Days	60	63
Recovery Factor	-0.07	44.21
Ulcer Index	0.09	0.0
Serenity Index	-0.01	47.59
Avg. Up Month	2.49%	0.63%
Avg. Down Month	-	-
Win Days	50.91%	96.07%
Win Month	53.85%	96.15%
Win Quarter	55.56%	100.0%
Win Year	66.67%	100.0%
Beta	1.12	-
Alpha	-0.08	-
Correlation	3.04%	-
Treynor Ratio	-0.88%	-