TMOS RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

2 Sep, 2020 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	41.93%	22.32%
CAGR﹪	10.09%	5.69%
Sharpe	0.53	0.38
Prob. Sharpe Ratio	83.1%	76.88%
Smart Sharpe	0.51	0.37
Sortino	0.67	0.58
Smart Sortino	0.65	0.56
Sortino/√2	0.47	0.41
Smart Sortino/√2	0.46	0.4
Omega	1.12	1.12
Max Drawdown	-54.41%	-39.65%
Longest DD Days	916	488
Volatility (ann.)	24.25%	19.66%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	0.19	0.14
Skew	-2.38	1.12
Kurtosis	21.42	15.99
Expected Daily	0.04%	0.02%
Expected Monthly	0.8%	0.46%
Expected Yearly	7.25%	4.11%
Kelly Criterion	10.87%	-6.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.46%	-2.01%
Expected Shortfall (cVaR)	-2.46%	-2.01%
Max Consecutive Wins	10	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.12	0.08
Gain/Pain (1M)	0.48	0.36
Payoff Ratio	0.9	0.86
Profit Factor	1.12	1.08
Common Sense Ratio	1.07	1.03
CPC Index	0.58	0.47
Tail Ratio	0.96	0.95
Outlier Win Ratio	4.39	4.64
Outlier Loss Ratio	3.5	5.09
MTD	2.8%	-0.25%
3M	8.55%	4.0%
6M	7.72%	-2.31%
YTD	11.5%	2.09%
1Y	38.38%	12.91%
3Y (ann.)	3.92%	8.04%
5Y (ann.)	10.09%	5.69%
10Y (ann.)	10.09%	5.69%
All-time (ann.)	10.09%	5.69%
Best Day	7.62%	10.7%
Worst Day	-14.27%	-6.67%
Best Month	15.31%	19.77%
Worst Month	-31.78%	-16.34%
Best Year	51.35%	29.27%
Worst Year	-37.9%	-6.4%
Avg. Drawdown	-3.94%	-6.83%
Avg. Drawdown Days	47	107
Recovery Factor	0.77	0.56
Ulcer Index	0.27	0.15
Serenity Index	0.05	0.07
Avg. Up Month	5.55%	3.81%
Avg. Down Month	-5.71%	-8.73%
Win Days	57.74%	50.61%
Win Month	63.64%	56.82%
Win Quarter	68.75%	62.5%
Win Year	80.0%	60.0%
Beta	-0.1	-
Alpha	0.14	-
Correlation	-8.5%	-
Treynor Ratio	-399.71%	-