TMON[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2023 - 29 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	50.99%	21.13%
CAGR﹪	17.51%	7.8%
Sharpe	10.07	26.5
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.47	17.02
Sortino	24.4	136.52
Smart Sortino	15.67	87.67
Sortino/√2	17.25	96.54
Smart Sortino/√2	11.08	62.0
Omega	5.54	5.54
Max Drawdown	-0.28%	-0.4%
Longest DD Days	7	63
Volatility (ann.)	1.59%	0.28%
R^2	0.0	0.0
Information Ratio	0.34	0.34
Calmar	62.51	19.49
Skew	0.08	-0.07
Kurtosis	0.79	0.53
Expected Daily	0.06%	0.03%
Expected Monthly	1.34%	0.62%
Expected Yearly	10.85%	4.91%
Kelly Criterion	48.63%	94.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.1%	-0.0%
Expected Shortfall (cVaR)	-0.1%	-0.0%
Max Consecutive Wins	27	524
Max Consecutive Losses	2	21
Gain/Pain Ratio	4.54	47.85
Gain/Pain (1M)	-	47.85
Payoff Ratio	0.67	1.63
Profit Factor	5.54	48.85
Common Sense Ratio	13.6	328.84
CPC Index	2.96	76.82
Tail Ratio	2.45	6.73
Outlier Win Ratio	1.97	6.11
Outlier Loss Ratio	1.46	5.33
MTD	1.0%	0.25%
3M	3.93%	1.06%
6M	7.88%	1.51%
YTD	1.0%	0.25%
1Y	19.18%	4.77%
3Y (ann.)	17.51%	7.8%
5Y (ann.)	17.51%	7.8%
10Y (ann.)	17.51%	7.8%
All-time (ann.)	17.51%	7.8%
Best Day	0.38%	0.07%
Worst Day	-0.28%	-0.02%
Best Month	1.85%	1.43%
Worst Month	0.29%	-0.4%
Best Year	19.38%	9.51%
Worst Year	1.0%	0.25%
Avg. Drawdown	-0.08%	-0.4%
Avg. Drawdown Days	2	63
Recovery Factor	182.01	52.83
Ulcer Index	0.0	0.0
Serenity Index	1261.99	52.74
Avg. Up Month	1.35%	0.66%
Avg. Down Month	-	-
Win Days	79.33%	96.76%
Win Month	100.0%	96.77%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.08	-
Alpha	0.15	-
Correlation	1.35%	-
Treynor Ratio	667.96%	-