TPAY RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2024 - 15 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	0.99%	39.32%
CAGR﹪	0.52%	18.82%
Sharpe	0.12	63.67
Prob. Sharpe Ratio	56.82%	-
Smart Sharpe	0.12	60.77
Sortino	0.14	-
Smart Sortino	0.13	-
Sortino/√2	0.1	-
Smart Sortino/√2	0.09	-
Omega	1.03	1.03
Max Drawdown	-8.5%	-
Longest DD Days	-	-
Volatility (ann.)	5.03%	0.26%
R^2	0.0	0.0
Information Ratio	-0.2	-0.2
Calmar	0.06	-
Skew	-2.99	-0.18
Kurtosis	12.19	-0.41
Expected Daily	0.0%	0.06%
Expected Monthly	0.04%	1.39%
Expected Yearly	0.33%	11.69%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.52%	-0.04%
Expected Shortfall (cVaR)	-0.52%	-0.04%
Max Consecutive Wins	14	512
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.15	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.68	-
CPC Index	-	-
Tail Ratio	0.66	2.35
Outlier Win Ratio	2.39	4.83
Outlier Loss Ratio	2.87	-
MTD	0.25%	0.57%
3M	0.26%	3.34%
6M	0.78%	7.1%
YTD	1.32%	7.55%
1Y	2.42%	15.57%
3Y (ann.)	0.52%	18.82%
5Y (ann.)	0.52%	18.82%
10Y (ann.)	0.52%	18.82%
All-time (ann.)	0.52%	18.82%
Best Day	0.74%	0.1%
Worst Day	-1.92%	0.0%
Best Month	2.17%	1.83%
Worst Month	-3.01%	0.57%
Best Year	4.63%	19.38%
Worst Year	-4.73%	7.55%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.12	-
Ulcer Index	0.04	0.0
Serenity Index	0.01	-
Avg. Up Month	0.62%	1.34%
Avg. Down Month	-	-
Win Days	65.86%	100.0%
Win Month	62.5%	100.0%
Win Quarter	77.78%	100.0%
Win Year	66.67%	100.0%
Beta	-0.6	-
Alpha	0.1	-
Correlation	-3.04%	-
Treynor Ratio	-1.66%	-