TMOS[Strategy] vs RUB Inflation[Benchmark]

26 Aug, 2020 - 25 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	30.82%	50.22%
CAGR﹪	5.93%	9.11%
Sharpe	0.36	3.59
Prob. Sharpe Ratio	77.73%	100.0%
Smart Sharpe	0.35	3.49
Sortino	0.48	119.02
Smart Sortino	0.46	115.74
Sortino/√2	0.34	84.16
Smart Sortino/√2	0.33	81.84
Omega	1.07	1.07
Max Drawdown	-54.41%	-1.25%
Longest DD Days	1282	209
Volatility (ann.)	24.51%	2.46%
R^2	0.02	0.02
Information Ratio	0.0	0.0
Calmar	0.11	7.26
Skew	-1.61	23.49
Kurtosis	16.6	560.4
Expected Daily	0.02%	0.03%
Expected Monthly	0.47%	0.72%
Expected Yearly	4.58%	7.02%
Kelly Criterion	7.96%	89.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.5%	-0.22%
Expected Shortfall (cVaR)	-2.5%	-0.22%
Max Consecutive Wins	10	676
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.07	29.97
Gain/Pain (1M)	0.3	29.97
Payoff Ratio	0.94	3.12
Profit Factor	1.07	30.97
Common Sense Ratio	1.0	119.91
CPC Index	0.56	89.01
Tail Ratio	0.93	3.87
Outlier Win Ratio	2.17	49.68
Outlier Loss Ratio	1.7	124.84
MTD	-0.3%	0.59%
3M	2.17%	2.37%
6M	12.86%	6.35%
YTD	4.94%	3.32%
1Y	-5.73%	10.56%
3Y (ann.)	17.98%	6.96%
5Y (ann.)	5.93%	9.11%
10Y (ann.)	5.93%	9.11%
All-time (ann.)	5.93%	9.11%
Best Day	8.3%	3.74%
Worst Day	-14.27%	-0.02%
Best Month	15.31%	7.61%
Worst Month	-31.78%	-0.52%
Best Year	51.35%	11.92%
Worst Year	-37.9%	1.88%
Avg. Drawdown	-4.05%	-0.68%
Avg. Drawdown Days	64	126
Recovery Factor	0.57	40.02
Ulcer Index	0.25	0.0
Serenity Index	0.04	44.46
Avg. Up Month	5.3%	0.87%
Avg. Down Month	-2.2%	-0.21%
Win Days	55.31%	92.27%
Win Month	57.89%	91.23%
Win Quarter	60.0%	90.0%
Win Year	83.33%	100.0%
Beta	1.42	-
Alpha	-0.04	-
Correlation	14.27%	-
Treynor Ratio	21.65%	-