TPAY RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2024 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	0.56%	23.1%
CAGR﹪	0.55%	22.89%
Sharpe	0.12	88.61
Prob. Sharpe Ratio	54.76%	100.0%
Smart Sharpe	0.11	81.73
Sortino	0.13	-
Smart Sortino	0.12	-
Sortino/√2	0.09	-
Smart Sortino/√2	0.09	-
Omega	1.03	1.03
Max Drawdown	-8.5%	-
Longest DD Days	-	-
Volatility (ann.)	6.01%	0.22%
R^2	0.0	0.0
Information Ratio	-0.2	-0.2
Calmar	0.07	-
Skew	-2.74	0.21
Kurtosis	9.36	4.73
Expected Daily	0.0%	0.08%
Expected Monthly	0.04%	1.61%
Expected Yearly	0.28%	10.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.62%	-0.06%
Expected Shortfall (cVaR)	-0.62%	-0.06%
Max Consecutive Wins	14	264
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.12	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.68	-
CPC Index	-	-
Tail Ratio	0.66	1.63
Outlier Win Ratio	2.24	4.52
Outlier Loss Ratio	2.19	-
MTD	1.17%	1.33%
3M	4.29%	5.26%
6M	5.23%	10.5%
YTD	5.54%	13.45%
1Y	0.51%	22.86%
3Y (ann.)	0.55%	22.89%
5Y (ann.)	0.55%	22.89%
10Y (ann.)	0.55%	22.89%
All-time (ann.)	0.55%	22.89%
Best Day	0.74%	0.12%
Worst Day	-1.92%	0.0%
Best Month	2.17%	1.83%
Worst Month	-3.01%	1.33%
Best Year	5.54%	13.45%
Worst Year	-4.73%	8.5%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.07	-
Ulcer Index	0.05	0.0
Serenity Index	0.01	-
Avg. Up Month	0.87%	1.56%
Avg. Down Month	-	-
Win Days	67.59%	100.0%
Win Month	61.54%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.17	-
Alpha	0.04	-
Correlation	-0.61%	-
Treynor Ratio	-3.36%	-