TPAY RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2024 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	98.0%
Cumulative Return	0.65%	3.32%
CAGR﹪	4.29%	23.7%
Sharpe	0.97	75.24
Prob. Sharpe Ratio	62.9%	99.98%
Smart Sharpe	0.89	68.77
Sortino	1.04	-
Smart Sortino	0.95	-
Sortino/√2	0.73	-
Smart Sortino/√2	0.67	-
Omega	1.34	1.34
Max Drawdown	-1.56%	-
Longest DD Days	-	-
Volatility (ann.)	4.18%	0.27%
R^2	0.0	0.0
Information Ratio	-0.24	-0.24
Calmar	2.75	-
Skew	-5.62	-2.46
Kurtosis	34.27	11.85
Expected Daily	0.02%	0.08%
Expected Monthly	0.22%	1.09%
Expected Yearly	0.65%	3.32%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.42%	-0.05%
Expected Shortfall (cVaR)	-0.42%	-0.05%
Max Consecutive Wins	11	40
Max Consecutive Losses	1	0
Gain/Pain Ratio	0.34	-
Gain/Pain (1M)	6.26	-
Payoff Ratio	-	-
Profit Factor	1.34	-
Common Sense Ratio	2.35	-
CPC Index	-	-
Tail Ratio	1.75	1.31
Outlier Win Ratio	2.29	2.06
Outlier Loss Ratio	1.27	-
MTD	0.3%	0.37%
3M	0.65%	3.32%
6M	0.65%	3.32%
YTD	0.65%	3.32%
1Y	0.65%	3.32%
3Y (ann.)	4.29%	23.7%
5Y (ann.)	4.29%	23.7%
10Y (ann.)	4.29%	23.7%
All-time (ann.)	4.29%	23.7%
Best Day	0.27%	0.1%
Worst Day	-1.56%	0.0%
Best Month	0.47%	1.56%
Worst Month	-0.12%	0.37%
Best Year	0.65%	3.32%
Worst Year	0.65%	3.32%
Avg. Drawdown	-0.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.41	-
Ulcer Index	0.01	0.0
Serenity Index	0.3	-
Avg. Up Month	0.38%	0.86%
Avg. Down Month	-	-
Win Days	86.84%	100.0%
Win Month	66.67%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	-0.07	-
Correlation	3.66%	-
Treynor Ratio	1.13%	-