TLCB[Strategy] vs RUB Inflation[Benchmark]

23 Nov, 2023 - 29 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-5.06%	21.39%
CAGR﹪	-2.04%	8.01%
Sharpe	-0.08	19.51
Prob. Sharpe Ratio	44.8%	100.0%
Smart Sharpe	-0.07	17.58
Sortino	-0.12	139.56
Smart Sortino	-0.11	125.78
Sortino/√2	-0.08	98.68
Smart Sortino/√2	-0.08	88.94
Omega	0.99	0.99
Max Drawdown	-16.39%	-0.4%
Longest DD Days	499	63
Volatility (ann.)	13.67%	0.39%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	-0.12	20.03
Skew	0.16	2.19
Kurtosis	2.08	10.86
Expected Daily	-0.01%	0.03%
Expected Monthly	-0.17%	0.63%
Expected Yearly	-1.29%	4.97%
Kelly Criterion	19.9%	94.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.42%	-0.01%
Expected Shortfall (cVaR)	-1.42%	-0.01%
Max Consecutive Wins	8	428
Max Consecutive Losses	7	21
Gain/Pain Ratio	-0.01	48.38
Gain/Pain (1M)	-0.07	48.38
Payoff Ratio	1.63	1.71
Profit Factor	0.99	49.38
Common Sense Ratio	1.02	525.19
CPC Index	0.81	81.68
Tail Ratio	1.03	10.64
Outlier Win Ratio	2.18	38.41
Outlier Loss Ratio	1.75	62.02
MTD	-3.82%	0.13%
3M	-4.68%	0.87%
6M	-2.84%	3.58%
YTD	-6.18%	3.25%
1Y	-1.95%	5.32%
3Y (ann.)	-2.04%	8.01%
5Y (ann.)	-2.04%	8.01%
10Y (ann.)	-2.04%	8.01%
All-time (ann.)	-2.04%	8.01%
Best Day	3.82%	0.18%
Worst Day	-3.41%	-0.02%
Best Month	8.07%	1.62%
Worst Month	-6.81%	-0.4%
Best Year	5.29%	9.51%
Worst Year	-8.52%	1.66%
Avg. Drawdown	-3.97%	-0.4%
Avg. Drawdown Days	73	63
Recovery Factor	-0.31	53.48
Ulcer Index	0.1	0.0
Serenity Index	-0.03	73.26
Avg. Up Month	2.64%	0.63%
Avg. Down Month	-	-
Win Days	50.34%	96.69%
Win Month	51.61%	96.77%
Win Quarter	54.55%	100.0%
Win Year	50.0%	100.0%
Beta	0.74	-
Alpha	-0.07	-
Correlation	2.13%	-
Treynor Ratio	-6.84%	-