TMOS[Strategy] vs RUB Inflation[Benchmark]

26 Aug, 2020 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	25.65%	51.96%
CAGR﹪	4.54%	8.47%
Sharpe	0.31	3.5
Prob. Sharpe Ratio	75.32%	100.0%
Smart Sharpe	0.3	3.43
Sortino	0.41	101.86
Smart Sortino	0.4	99.82
Sortino/√2	0.29	72.03
Smart Sortino/√2	0.28	70.59
Omega	1.06	1.06
Max Drawdown	-54.41%	-1.25%
Longest DD Days	1457	209
Volatility (ann.)	24.25%	2.34%
R^2	0.02	0.02
Information Ratio	-0.0	-0.0
Calmar	0.08	6.75
Skew	-1.44	24.67
Kurtosis	15.76	619.48
Expected Daily	0.02%	0.03%
Expected Monthly	0.36%	0.67%
Expected Yearly	3.88%	7.22%
Kelly Criterion	8.31%	88.36%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-0.21%
Expected Shortfall (cVaR)	-2.48%	-0.21%
Max Consecutive Wins	10	748
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.06	23.81
Gain/Pain (1M)	0.26	23.81
Payoff Ratio	0.98	2.82
Profit Factor	1.06	24.81
Common Sense Ratio	0.99	86.88
CPC Index	0.57	63.88
Tail Ratio	0.93	3.5
Outlier Win Ratio	2.16	52.55
Outlier Loss Ratio	1.7	118.19
MTD	1.61%	0.2%
3M	0.48%	0.41%
6M	1.61%	1.53%
YTD	0.8%	4.51%
1Y	5.51%	7.79%
3Y (ann.)	15.83%	7.69%
5Y (ann.)	4.05%	8.73%
10Y (ann.)	4.54%	8.47%
All-time (ann.)	4.54%	8.47%
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	71	106
Recovery Factor	0.47	41.41
Ulcer Index	0.24	0.0
Serenity Index	0.04	47.39
Avg. Up Month	5.1%	0.83%
Avg. Down Month	-2.2%	-0.21%
Win Days	54.6%	91.41%
Win Month	57.14%	90.48%
Win Quarter	59.09%	90.91%
Win Year	83.33%	100.0%
Beta	1.42	-
Alpha	-0.04	-
Correlation	13.65%	-
Treynor Ratio	18.11%	-