TPAY RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2024 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	1.33%	40.45%
CAGR﹪	0.67%	18.54%
Sharpe	0.15	58.49
Prob. Sharpe Ratio	58.49%	-
Smart Sharpe	0.14	56.31
Sortino	0.17	-
Smart Sortino	0.16	-
Sortino/√2	0.12	-
Smart Sortino/√2	0.11	-
Omega	1.03	1.03
Max Drawdown	-8.5%	-
Longest DD Days	-	-
Volatility (ann.)	5.01%	0.27%
R^2	0.0	0.0
Information Ratio	-0.19	-0.19
Calmar	0.08	-
Skew	-3.0	-0.18
Kurtosis	12.19	-0.62
Expected Daily	0.0%	0.06%
Expected Monthly	0.05%	1.37%
Expected Yearly	0.44%	11.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.52%	-0.03%
Expected Shortfall (cVaR)	-0.52%	-0.03%
Max Consecutive Wins	14	537
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.2	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.68	-
CPC Index	-	-
Tail Ratio	0.66	2.58
Outlier Win Ratio	2.39	4.95
Outlier Loss Ratio	2.89	-
MTD	0.46%	0.31%
3M	0.49%	3.25%
6M	1.51%	6.66%
YTD	1.66%	8.42%
1Y	1.34%	15.18%
3Y (ann.)	0.67%	18.54%
5Y (ann.)	0.67%	18.54%
10Y (ann.)	0.67%	18.54%
All-time (ann.)	0.67%	18.54%
Best Day	0.74%	0.1%
Worst Day	-1.92%	0.0%
Best Month	2.17%	1.83%
Worst Month	-3.01%	0.31%
Best Year	4.63%	19.38%
Worst Year	-4.73%	8.42%
Avg. Drawdown	-1.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.16	-
Ulcer Index	0.04	0.0
Serenity Index	0.02	-
Avg. Up Month	0.6%	1.31%
Avg. Down Month	-	-
Win Days	65.9%	100.0%
Win Month	64.0%	100.0%
Win Quarter	77.78%	100.0%
Win Year	66.67%	100.0%
Beta	-0.56	-
Alpha	0.1	-
Correlation	-3.05%	-
Treynor Ratio	-2.38%	-