TPAY[Strategy] vs RUB Inflation[Benchmark]

12 Aug, 2024 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-0.07%	9.8%
CAGR﹪	-0.05%	7.4%
Sharpe	0.02	20.74
Prob. Sharpe Ratio	50.92%	100.0%
Smart Sharpe	0.02	19.4
Sortino	0.02	91.69
Smart Sortino	0.02	85.77
Sortino/√2	0.02	64.84
Smart Sortino/√2	0.01	60.65
Omega	1.0	1.0
Max Drawdown	-8.5%	-0.4%
Longest DD Days	429	63
Volatility (ann.)	5.72%	0.33%
R^2	0.01	0.01
Information Ratio	-0.07	-0.07
Calmar	-0.01	18.51
Skew	-2.79	0.19
Kurtosis	9.92	0.23
Expected Daily	-0.0%	0.03%
Expected Monthly	-0.0%	0.55%
Expected Yearly	-0.03%	4.79%
Kelly Criterion	16.05%	89.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.59%	-0.01%
Expected Shortfall (cVaR)	-0.59%	-0.01%
Max Consecutive Wins	14	253
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.0	23.34
Gain/Pain (1M)	0.02	23.34
Payoff Ratio	0.69	1.47
Profit Factor	1.0	24.34
Common Sense Ratio	0.62	86.28
CPC Index	0.46	33.67
Tail Ratio	0.62	3.54
Outlier Win Ratio	2.09	10.48
Outlier Loss Ratio	2.56	41.2
MTD	0.03%	0.07%
3M	-0.05%	1.31%
6M	4.37%	1.71%
YTD	4.89%	5.35%
1Y	5.23%	6.67%
3Y (ann.)	-0.05%	7.4%
5Y (ann.)	-0.05%	7.4%
10Y (ann.)	-0.05%	7.4%
All-time (ann.)	-0.05%	7.4%
Best Day	0.74%	0.07%
Worst Day	-1.92%	-0.02%
Best Month	2.17%	1.43%
Worst Month	-3.01%	-0.4%
Best Year	4.89%	5.35%
Worst Year	-4.73%	4.23%
Avg. Drawdown	-1.77%	-0.4%
Avg. Drawdown Days	88	63
Recovery Factor	-0.01	24.51
Ulcer Index	0.04	0.0
Serenity Index	-0.0	14.86
Avg. Up Month	0.63%	0.53%
Avg. Down Month	-	-
Win Days	65.65%	93.86%
Win Month	64.71%	94.12%
Win Quarter	66.67%	100.0%
Win Year	50.0%	100.0%
Beta	-1.38	-
Alpha	0.1	-
Correlation	-7.98%	-
Treynor Ratio	0.05%	-