TPAY RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2024 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	0.88%	36.34%
CAGR﹪	0.5%	19.37%
Sharpe	0.12	82.3
Prob. Sharpe Ratio	56.24%	-
Smart Sharpe	0.11	78.16
Sortino	0.13	-
Smart Sortino	0.13	-
Sortino/√2	0.09	-
Smart Sortino/√2	0.09	-
Omega	1.03	1.03
Max Drawdown	-8.5%	-
Longest DD Days	-	-
Volatility (ann.)	5.26%	0.21%
R^2	0.0	0.0
Information Ratio	-0.2	-0.2
Calmar	0.06	-
Skew	-2.92	-0.01
Kurtosis	11.27	0.45
Expected Daily	0.0%	0.07%
Expected Monthly	0.04%	1.42%
Expected Yearly	0.29%	10.89%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.54%	-0.05%
Expected Shortfall (cVaR)	-0.54%	-0.05%
Max Consecutive Wins	14	452
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.14	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.66	-
CPC Index	-	-
Tail Ratio	0.64	1.8
Outlier Win Ratio	2.29	4.62
Outlier Loss Ratio	2.68	-
MTD	0.6%	0.54%
3M	0.97%	3.42%
6M	0.62%	7.43%
YTD	1.2%	5.26%
1Y	5.14%	16.74%
3Y (ann.)	0.5%	19.37%
5Y (ann.)	0.5%	19.37%
10Y (ann.)	0.5%	19.37%
All-time (ann.)	0.5%	19.37%
Best Day	0.74%	0.1%
Worst Day	-1.92%	0.0%
Best Month	2.17%	1.83%
Worst Month	-3.01%	0.54%
Best Year	4.63%	19.38%
Worst Year	-4.73%	5.26%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.1	-
Ulcer Index	0.04	0.0
Serenity Index	0.01	-
Avg. Up Month	0.65%	1.36%
Avg. Down Month	-	-
Win Days	65.98%	100.0%
Win Month	63.64%	100.0%
Win Quarter	75.0%	100.0%
Win Year	66.67%	100.0%
Beta	-0.94	-
Alpha	0.17	-
Correlation	-3.73%	-
Treynor Ratio	-0.93%	-