TMOS[Strategy] vs RUB Inflation[Benchmark]

26 Aug, 2020 - 13 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	34.99%	60.36%
CAGR﹪	5.56%	8.89%
Sharpe	0.35	3.8
Prob. Sharpe Ratio	79.01%	100.0%
Smart Sharpe	0.34	3.73
Sortino	0.47	110.81
Smart Sortino	0.46	108.81
Sortino/√2	0.33	78.36
Smart Sortino/√2	0.32	76.94
Omega	1.07	1.07
Max Drawdown	-54.41%	-1.25%
Longest DD Days	1604	209
Volatility (ann.)	23.82%	2.26%
R^2	0.02	0.02
Information Ratio	-0.0	-0.0
Calmar	0.1	7.08
Skew	-1.41	25.31
Kurtosis	15.81	656.7
Expected Daily	0.02%	0.03%
Expected Monthly	0.44%	0.7%
Expected Yearly	4.38%	6.98%
Kelly Criterion	7.89%	89.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.44%	-0.2%
Expected Shortfall (cVaR)	-2.44%	-0.2%
Max Consecutive Wins	10	748
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.07	26.86
Gain/Pain (1M)	0.3	26.86
Payoff Ratio	0.98	2.87
Profit Factor	1.07	27.86
Common Sense Ratio	1.01	112.89
CPC Index	0.57	73.69
Tail Ratio	0.95	4.05
Outlier Win Ratio	2.16	50.13
Outlier Loss Ratio	1.72	117.91
MTD	2.41%	0.95%
3M	7.27%	4.63%
6M	3.51%	5.94%
YTD	5.27%	4.44%
1Y	-2.44%	7.81%
3Y (ann.)	12.06%	8.66%
5Y (ann.)	2.85%	9.15%
10Y (ann.)	5.56%	8.89%
All-time (ann.)	5.56%	8.89%
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%	-0.58%
Avg. Drawdown Days	77	105
Recovery Factor	0.64	48.11
Ulcer Index	0.24	0.0
Serenity Index	0.05	57.46
Avg. Up Month	4.91%	0.87%
Avg. Down Month	-2.2%	-0.21%
Win Days	54.38%	92.01%
Win Month	58.82%	91.18%
Win Quarter	60.87%	91.3%
Win Year	85.71%	100.0%
Beta	1.41	-
Alpha	-0.04	-
Correlation	13.42%	-
Treynor Ratio	24.74%	-