TMON[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2023 - 13 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	65.63%	27.1%
CAGR﹪	16.75%	7.64%
Sharpe	10.67	23.16
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.92	15.03
Sortino	26.44	148.31
Smart Sortino	17.16	96.24
Sortino/√2	18.7	104.87
Smart Sortino/√2	12.13	68.05
Omega	6.51	6.51
Max Drawdown	-0.28%	-0.4%
Longest DD Days	7	63
Volatility (ann.)	1.44%	0.31%
R^2	0.0	0.0
Information Ratio	0.35	0.35
Calmar	59.81	19.1
Skew	0.17	0.58
Kurtosis	1.44	1.49
Expected Daily	0.06%	0.03%
Expected Monthly	1.27%	0.6%
Expected Yearly	13.45%	6.18%
Kelly Criterion	61.55%	92.53%
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	5.51	49.89
Gain/Pain (1M)	-	49.89
Payoff Ratio	0.82	2.11
Profit Factor	6.51	50.89
Common Sense Ratio	16.86	1360.91
CPC Index	4.43	102.17
Tail Ratio	2.59	26.74
Outlier Win Ratio	2.34	6.51
Outlier Loss Ratio	1.5	8.63
MTD	0.42%	0.14%
3M	3.29%	0.77%
6M	6.69%	2.1%
YTD	10.79%	5.19%
1Y	14.51%	6.31%
3Y (ann.)	17.43%	7.47%
5Y (ann.)	16.75%	7.64%
10Y (ann.)	16.75%	7.64%
All-time (ann.)	16.75%	7.64%
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%	-0.24%
Avg. Drawdown Days	2	50
Recovery Factor	234.3	67.76
Ulcer Index	0.0	0.0
Serenity Index	1892.18	94.92
Avg. Up Month	1.28%	0.65%
Avg. Down Month	-	-
Win Days	82.62%	94.93%
Win Month	100.0%	95.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.11	-
Alpha	0.15	-
Correlation	2.44%	-
Treynor Ratio	588.87%	-