TOFZ[Strategy] vs RUB Inflation[Benchmark]

9 Dec, 2024 - 29 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	30.89%	6.21%
CAGR﹪	45.3%	8.72%
Sharpe	2.84	25.36
Prob. Sharpe Ratio	99.44%	-
Smart Sharpe	2.7	24.1
Sortino	4.93	-
Smart Sortino	4.68	-
Sortino/√2	3.49	-
Smart Sortino/√2	3.31	-
Omega	1.64	1.64
Max Drawdown	-7.57%	-
Longest DD Days	-	-
Volatility (ann.)	12.85%	0.32%
R^2	0.0	0.0
Information Ratio	0.14	0.14
Calmar	5.98	-
Skew	0.36	1.11
Kurtosis	2.28	0.15
Expected Daily	0.14%	0.03%
Expected Monthly	3.04%	0.67%
Expected Yearly	14.41%	3.06%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-0.0%
Expected Shortfall (cVaR)	-1.19%	-0.0%
Max Consecutive Wins	6	189
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.64	-
Gain/Pain (1M)	13.73	-
Payoff Ratio	-	-
Profit Factor	1.64	-
Common Sense Ratio	2.6	-
CPC Index	-	-
Tail Ratio	1.58	7.72
Outlier Win Ratio	2.16	43.13
Outlier Loss Ratio	1.81	-
MTD	1.69%	0.52%
3M	13.77%	1.33%
6M	17.41%	2.84%
YTD	20.62%	4.91%
1Y	30.89%	6.21%
3Y (ann.)	45.3%	8.72%
5Y (ann.)	45.3%	8.72%
10Y (ann.)	45.3%	8.72%
All-time (ann.)	45.3%	8.72%
Best Day	3.34%	0.08%
Worst Day	-2.54%	0.0%
Best Month	8.51%	1.24%
Worst Month	-1.55%	0.2%
Best Year	20.62%	4.91%
Worst Year	8.51%	1.24%
Avg. Drawdown	-1.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.08	-
Ulcer Index	0.03	0.0
Serenity Index	1.45	-
Avg. Up Month	4.25%	0.63%
Avg. Down Month	-	-
Win Days	55.37%	100.0%
Win Month	77.78%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.2	-
Alpha	0.19	-
Correlation	5.39%	-
Treynor Ratio	14.05%	-