TMON[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2023 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	47.81%	20.6%
CAGR﹪	17.66%	8.11%
Sharpe	9.87	27.21
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.33	17.46
Sortino	23.77	137.0
Smart Sortino	15.25	87.89
Sortino/√2	16.81	96.87
Smart Sortino/√2	10.78	62.15
Omega	5.31	5.31
Max Drawdown	-0.28%	-0.4%
Longest DD Days	7	63
Volatility (ann.)	1.62%	0.28%
R^2	0.0	0.0
Information Ratio	0.32	0.32
Calmar	63.05	20.27
Skew	0.07	-0.19
Kurtosis	0.66	0.67
Expected Daily	0.06%	0.03%
Expected Monthly	1.31%	0.63%
Expected Yearly	13.91%	6.44%
Kelly Criterion	46.93%	94.57%
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	25	524
Max Consecutive Losses	2	21
Gain/Pain Ratio	4.31	46.74
Gain/Pain (1M)	-	46.74
Payoff Ratio	0.69	1.69
Profit Factor	5.31	47.74
Common Sense Ratio	12.2	321.39
CPC Index	2.87	78.08
Tail Ratio	2.3	6.73
Outlier Win Ratio	1.92	5.92
Outlier Loss Ratio	1.47	5.43
MTD	0.38%	0.11%
3M	4.19%	1.33%
6M	8.86%	1.73%
YTD	18.03%	5.39%
1Y	20.1%	6.59%
3Y (ann.)	17.66%	8.11%
5Y (ann.)	17.66%	8.11%
10Y (ann.)	17.66%	8.11%
All-time (ann.)	17.66%	8.11%
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	18.23%	9.51%
Worst Year	5.92%	4.48%
Avg. Drawdown	-0.08%	-0.4%
Avg. Drawdown Days	2	63
Recovery Factor	170.68	51.49
Ulcer Index	0.0	0.0
Serenity Index	1143.28	48.79
Avg. Up Month	1.32%	0.66%
Avg. Down Month	-	-
Win Days	78.32%	96.59%
Win Month	100.0%	96.67%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.08	-
Alpha	0.15	-
Correlation	1.38%	-
Treynor Ratio	602.04%	-