TOFZ[Strategy] vs RUB Inflation[Benchmark]

9 Dec, 2024 - 9 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	37.82%	11.24%
CAGR﹪	29.35%	8.92%
Sharpe	2.25	16.99
Prob. Sharpe Ratio	99.53%	-
Smart Sharpe	1.99	15.07
Sortino	3.81	108.31
Smart Sortino	3.38	96.06
Sortino/√2	2.69	76.59
Smart Sortino/√2	2.39	67.93
Omega	1.48	1.48
Max Drawdown	-7.57%	-0.4%
Longest DD Days	92	63
Volatility (ann.)	11.57%	0.5%
R^2	0.0	0.0
Information Ratio	0.1	0.1
Calmar	3.88	22.31
Skew	0.42	0.78
Kurtosis	2.47	-0.21
Expected Daily	0.1%	0.03%
Expected Monthly	2.03%	0.67%
Expected Yearly	11.29%	3.62%
Kelly Criterion	11.6%	89.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.1%	-0.02%
Expected Shortfall (cVaR)	-1.1%	-0.02%
Max Consecutive Wins	6	168
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.48	26.59
Gain/Pain (1M)	6.05	26.59
Payoff Ratio	1.19	1.92
Profit Factor	1.48	27.59
Common Sense Ratio	2.33	136.74
CPC Index	0.91	49.51
Tail Ratio	1.57	4.96
Outlier Win Ratio	1.66	25.95
Outlier Loss Ratio	1.64	40.89
MTD	0.51%	0.57%
3M	3.34%	4.29%
6M	3.42%	5.61%
YTD	2.58%	4.05%
1Y	18.47%	7.5%
3Y (ann.)	29.35%	8.92%
5Y (ann.)	29.35%	8.92%
10Y (ann.)	29.35%	8.92%
All-time (ann.)	29.35%	8.92%
Best Day	3.34%	0.09%
Worst Day	-2.54%	-0.02%
Best Month	8.51%	1.81%
Worst Month	-2.95%	-0.4%
Best Year	23.81%	5.6%
Worst Year	2.58%	1.24%
Avg. Drawdown	-1.23%	-0.4%
Avg. Drawdown Days	16	63
Recovery Factor	4.99	28.11
Ulcer Index	0.03	0.0
Serenity Index	1.92	23.62
Avg. Up Month	3.35%	0.68%
Avg. Down Month	-	-
Win Days	52.0%	93.4%
Win Month	75.0%	93.75%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.56	-
Alpha	0.21	-
Correlation	2.4%	-
Treynor Ratio	67.36%	-