TMOS RUB[Strategy] vs [Benchmark] MCFTR RUB

7 Sep, 2020 - 4 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	28.79%	36.84%
CAGR﹪	5.38%	6.72%
Sharpe	0.06	0.15
Prob. Sharpe Ratio	4.82%	6.5%
Smart Sharpe	0.06	0.14
Sortino	0.08	0.19
Smart Sortino	0.08	0.18
Sortino/√2	0.06	0.13
Smart Sortino/√2	0.05	0.13
Omega	1.01	1.01
Max Drawdown	-54.41%	-53.53%
Longest DD Days	1352	1215
Volatility (ann.)	24.35%	28.75%
R^2	0.55	0.55
Information Ratio	-0.01	-0.01
Calmar	0.1	0.13
Skew	-1.58	-4.3
Kurtosis	16.39	108.52
Expected Daily	0.02%	0.03%
Expected Monthly	0.43%	0.53%
Expected Yearly	4.31%	5.37%
Kelly Criterion	2.59%	1.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.49%	-2.94%
Expected Shortfall (cVaR)	-2.49%	-2.94%
Max Consecutive Wins	10	9
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.07	0.09
Gain/Pain (1M)	0.29	0.4
Payoff Ratio	0.85	0.82
Profit Factor	1.07	1.09
Common Sense Ratio	0.98	1.06
CPC Index	0.5	0.5
Tail Ratio	0.92	0.98
Outlier Win Ratio	4.15	3.88
Outlier Loss Ratio	3.37	3.42
MTD	-1.41%	-1.61%
3M	-2.03%	0.24%
6M	2.28%	1.82%
YTD	0.16%	-0.11%
1Y	-4.56%	-4.32%
3Y (ann.)	18.3%	20.25%
5Y (ann.)	5.38%	6.72%
10Y (ann.)	5.38%	6.72%
All-time (ann.)	5.38%	6.72%
Best Day	8.3%	20.04%
Worst Day	-14.27%	-33.28%
Best Month	15.31%	15.56%
Worst Month	-31.78%	-30.02%
Best Year	51.35%	53.84%
Worst Year	-37.9%	-37.26%
Avg. Drawdown	-3.91%	-3.62%
Avg. Drawdown Days	64	46
Recovery Factor	0.53	0.69
Ulcer Index	0.25	0.24
Serenity Index	0.03	0.05
Avg. Up Month	5.45%	5.6%
Avg. Down Month	-5.85%	-5.97%
Win Days	55.18%	55.39%
Win Month	57.63%	59.32%
Win Quarter	57.14%	57.14%
Win Year	83.33%	66.67%
Beta	0.63	-
Alpha	0.01	-
Correlation	74.07%	-
Treynor Ratio	34.74%	-