TMOS[Strategy] vs RUB Inflation[Benchmark]

26 Aug, 2020 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	39.76%	35.74%
CAGR﹪	9.61%	8.73%
Sharpe	0.51	3.07
Prob. Sharpe Ratio	82.31%	100.0%
Smart Sharpe	0.49	2.97
Sortino	0.65	101.52
Smart Sortino	0.63	98.39
Sortino/√2	0.46	71.78
Smart Sortino/√2	0.44	69.57
Omega	1.11	1.11
Max Drawdown	-54.41%	-1.25%
Longest DD Days	911	209
Volatility (ann.)	24.23%	2.79%
R^2	0.03	0.03
Information Ratio	0.01	0.01
Calmar	0.18	6.96
Skew	-2.38	20.81
Kurtosis	21.45	438.1
Expected Daily	0.04%	0.03%
Expected Monthly	0.75%	0.68%
Expected Yearly	6.92%	6.3%
Kelly Criterion	8.22%	86.89%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.46%	-0.25%
Expected Shortfall (cVaR)	-2.46%	-0.25%
Max Consecutive Wins	10	416
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.11	22.53
Gain/Pain (1M)	0.46	22.53
Payoff Ratio	0.86	3.15
Profit Factor	1.11	23.53
Common Sense Ratio	1.07	74.1
CPC Index	0.55	66.79
Tail Ratio	0.96	3.15
Outlier Win Ratio	2.27	47.66
Outlier Loss Ratio	2.0	142.61
MTD	3.53%	0.29%
3M	9.16%	1.74%
6M	8.82%	4.48%
YTD	12.3%	2.24%
1Y	40.21%	7.76%
3Y (ann.)	3.89%	9.16%
5Y (ann.)	9.61%	8.73%
10Y (ann.)	9.61%	8.73%
All-time (ann.)	9.61%	8.73%
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	51.35%	11.92%
Worst Year	-37.9%	1.88%
Avg. Drawdown	-4.05%	-0.68%
Avg. Drawdown Days	49	126
Recovery Factor	0.73	28.48
Ulcer Index	0.27	0.0
Serenity Index	0.05	27.59
Avg. Up Month	5.01%	0.83%
Avg. Down Month	-2.2%	-0.21%
Win Days	57.54%	90.04%
Win Month	62.22%	88.89%
Win Quarter	68.75%	87.5%
Win Year	80.0%	100.0%
Beta	1.4	-
Alpha	0.0	-
Correlation	16.13%	-
Treynor Ratio	28.34%	-