TMOS[Strategy] vs RUB Inflation[Benchmark]

26 Aug, 2020 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	20.28%	28.42%
CAGR﹪	6.19%	8.48%
Sharpe	0.37	2.75
Prob. Sharpe Ratio	73.35%	100.0%
Smart Sharpe	0.36	2.64
Sortino	0.47	90.82
Smart Sortino	0.45	87.42
Sortino/√2	0.33	64.22
Smart Sortino/√2	0.32	61.82
Omega	1.08	1.08
Max Drawdown	-54.41%	-1.25%
Longest DD Days	701	209
Volatility (ann.)	25.97%	3.04%
R^2	0.03	0.03
Information Ratio	0.0	0.0
Calmar	0.11	6.76
Skew	-2.28	19.09
Kurtosis	19.03	367.87
Expected Daily	0.02%	0.03%
Expected Monthly	0.49%	0.66%
Expected Yearly	4.72%	6.45%
Kelly Criterion	9.48%	84.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.28%
Expected Shortfall (cVaR)	-2.65%	-0.28%
Max Consecutive Wins	10	398
Max Consecutive Losses	5	65
Gain/Pain Ratio	0.08	18.46
Gain/Pain (1M)	0.29	18.46
Payoff Ratio	0.93	3.31
Profit Factor	1.08	19.46
Common Sense Ratio	0.96	67.6
CPC Index	0.57	56.77
Tail Ratio	0.89	3.47
Outlier Win Ratio	2.16	49.24
Outlier Loss Ratio	2.09	157.96
MTD	-5.17%	0.19%
3M	8.81%	1.23%
6M	32.1%	2.32%
YTD	46.28%	3.9%
1Y	57.06%	5.3%
3Y (ann.)	8.86%	8.88%
5Y (ann.)	6.19%	8.48%
10Y (ann.)	6.19%	8.48%
All-time (ann.)	6.19%	8.48%
Best Day	7.62%	3.74%
Worst Day	-14.27%	-0.02%
Best Month	15.31%	7.61%
Worst Month	-31.78%	-0.52%
Best Year	46.28%	11.92%
Worst Year	-37.9%	1.88%
Avg. Drawdown	-4.05%	-0.68%
Avg. Drawdown Days	41	126
Recovery Factor	0.37	22.65
Ulcer Index	0.29	0.0
Serenity Index	0.02	19.98
Avg. Up Month	5.53%	0.88%
Avg. Down Month	-2.2%	-0.21%
Win Days	56.33%	88.13%
Win Month	60.53%	86.84%
Win Quarter	61.54%	84.62%
Win Year	75.0%	100.0%
Beta	1.41	-
Alpha	-0.02	-
Correlation	16.53%	-
Treynor Ratio	14.37%	-