TMON[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2023 - 15 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	39.23%	19.3%
CAGR﹪	17.89%	9.17%
Sharpe	10.46	35.87
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	7.0	24.0
Sortino	26.67	-
Smart Sortino	17.85	-
Sortino/√2	18.86	-
Smart Sortino/√2	12.62	-
Omega	5.98	5.98
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	1.56%	0.24%
R^2	0.0	0.0
Information Ratio	0.3	0.3
Calmar	63.86	-
Skew	0.13	0.39
Kurtosis	0.68	-0.5
Expected Daily	0.06%	0.03%
Expected Monthly	1.33%	0.71%
Expected Yearly	11.66%	6.06%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.1%	-0.01%
Expected Shortfall (cVaR)	-0.1%	-0.01%
Max Consecutive Wins	25	512
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.98	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.98	-
Common Sense Ratio	15.55	-
CPC Index	-	-
Tail Ratio	2.6	5.03
Outlier Win Ratio	1.95	5.52
Outlier Loss Ratio	1.32	-
MTD	0.8%	0.24%
3M	5.38%	1.32%
6M	10.79%	3.81%
YTD	11.18%	4.26%
1Y	21.22%	9.38%
3Y (ann.)	17.89%	9.17%
5Y (ann.)	17.89%	9.17%
10Y (ann.)	17.89%	9.17%
All-time (ann.)	17.89%	9.17%
Best Day	0.38%	0.07%
Worst Day	-0.28%	0.0%
Best Month	1.85%	1.43%
Worst Month	0.29%	0.2%
Best Year	18.23%	9.51%
Worst Year	5.92%	4.26%
Avg. Drawdown	-0.07%	-
Avg. Drawdown Days	-	-
Recovery Factor	140.03	-
Ulcer Index	0.0	0.0
Serenity Index	1086.5	-
Avg. Up Month	1.33%	0.71%
Avg. Down Month	-	-
Win Days	78.95%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.07	-
Alpha	0.16	-
Correlation	1.06%	-
Treynor Ratio	573.11%	-