TOFZ[Strategy] vs RUB Inflation[Benchmark]

9 Dec, 2024 - 22 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	33.96%	7.1%
CAGR﹪	29.81%	6.31%
Sharpe	2.2	17.75
Prob. Sharpe Ratio	99.21%	100.0%
Smart Sharpe	1.98	15.93
Sortino	3.7	73.24
Smart Sortino	3.32	65.76
Sortino/√2	2.62	51.79
Smart Sortino/√2	2.35	46.5
Omega	1.47	1.47
Max Drawdown	-7.57%	-0.4%
Longest DD Days	92	63
Volatility (ann.)	11.9%	0.34%
R^2	0.0	0.0
Information Ratio	0.11	0.11
Calmar	3.94	15.78
Skew	0.4	0.66
Kurtosis	2.32	1.21
Expected Daily	0.1%	0.02%
Expected Monthly	2.11%	0.49%
Expected Yearly	10.24%	2.31%
Kelly Criterion	13.81%	87.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.13%	-0.01%
Expected Shortfall (cVaR)	-1.13%	-0.01%
Max Consecutive Wins	6	168
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.47	17.12
Gain/Pain (1M)	5.75	17.12
Payoff Ratio	1.21	1.43
Profit Factor	1.47	18.12
Common Sense Ratio	2.25	73.26
CPC Index	0.94	24.05
Tail Ratio	1.54	4.04
Outlier Win Ratio	1.71	37.12
Outlier Loss Ratio	1.6	42.21
MTD	-0.29%	0.17%
3M	3.28%	1.09%
6M	4.08%	1.56%
YTD	-0.29%	0.17%
1Y	25.16%	5.01%
3Y (ann.)	29.81%	6.31%
5Y (ann.)	29.81%	6.31%
10Y (ann.)	29.81%	6.31%
All-time (ann.)	29.81%	6.31%
Best Day	3.34%	0.08%
Worst Day	-2.54%	-0.02%
Best Month	8.51%	1.24%
Worst Month	-2.95%	-0.4%
Best Year	23.81%	5.6%
Worst Year	-0.29%	0.17%
Avg. Drawdown	-1.26%	-0.4%
Avg. Drawdown Days	15	63
Recovery Factor	4.48	17.75
Ulcer Index	0.03	0.0
Serenity Index	1.62	9.16
Avg. Up Month	3.75%	0.57%
Avg. Down Month	-	-
Win Days	52.77%	92.71%
Win Month	71.43%	92.86%
Win Quarter	83.33%	100.0%
Win Year	66.67%	100.0%
Beta	2.4	-
Alpha	0.12	-
Correlation	6.8%	-
Treynor Ratio	14.14%	-