TMON[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2023 - 31 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	61.58%	27.1%
CAGR﹪	17.01%	8.17%
Sharpe	10.53	25.02
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.82	16.2
Sortino	25.98	156.2
Smart Sortino	16.82	101.14
Sortino/√2	18.37	110.45
Smart Sortino/√2	11.89	71.52
Omega	6.26	6.26
Max Drawdown	-0.28%	-0.4%
Longest DD Days	7	63
Volatility (ann.)	1.48%	0.31%
R^2	0.0	0.0
Information Ratio	0.33	0.33
Calmar	60.72	20.42
Skew	0.14	0.5
Kurtosis	1.23	1.56
Expected Daily	0.06%	0.03%
Expected Monthly	1.31%	0.65%
Expected Yearly	12.75%	6.18%
Kelly Criterion	52.64%	95.7%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.09%	-0.0%
Expected Shortfall (cVaR)	-0.09%	-0.0%
Max Consecutive Wins	35	524
Max Consecutive Losses	2	21
Gain/Pain Ratio	5.26	59.85
Gain/Pain (1M)	-	59.85
Payoff Ratio	0.62	1.7
Profit Factor	6.26	60.85
Common Sense Ratio	15.7	585.08
CPC Index	3.18	100.71
Tail Ratio	2.51	9.61
Outlier Win Ratio	2.27	6.29
Outlier Loss Ratio	1.47	5.19
MTD	1.2%	0.95%
3M	3.45%	2.01%
6M	7.0%	3.51%
YTD	8.08%	5.19%
1Y	15.57%	6.46%
3Y (ann.)	17.43%	8.25%
5Y (ann.)	17.01%	8.17%
10Y (ann.)	17.01%	8.17%
All-time (ann.)	17.01%	8.17%
Best Day	0.38%	0.09%
Worst Day	-0.28%	-0.02%
Best Month	1.85%	1.62%
Worst Month	0.29%	-0.4%
Best Year	19.38%	9.51%
Worst Year	5.92%	4.48%
Avg. Drawdown	-0.07%	-0.4%
Avg. Drawdown Days	2	63
Recovery Factor	219.83	67.75
Ulcer Index	0.0	0.0
Serenity Index	1707.24	90.23
Avg. Up Month	1.31%	0.68%
Avg. Down Month	-	-
Win Days	81.84%	97.29%
Win Month	100.0%	97.3%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.05	-
Alpha	0.15	-
Correlation	1.14%	-
Treynor Ratio	1131.95%	-