TPAY[Strategy] vs RUB Inflation[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%	0.53%
CAGR﹪	4.29%	3.53%
Sharpe	0.97	99.17
Prob. Sharpe Ratio	62.9%	97.15%
Smart Sharpe	0.89	90.64
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%	0.03%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	2.75	-
Skew	-5.62	-6.4
Kurtosis	34.27	41.0
Expected Daily	0.02%	0.01%
Expected Monthly	0.22%	0.18%
Expected Yearly	0.65%	0.53%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.42%	-0.01%
Expected Shortfall (cVaR)	-0.42%	-0.01%
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	1.0
Outlier Win Ratio	1.71	9.4
Outlier Loss Ratio	1.3	-
MTD	0.3%	0.07%
3M	0.65%	0.53%
6M	0.65%	0.53%
YTD	0.65%	0.53%
1Y	0.65%	0.53%
3Y (ann.)	4.29%	3.53%
5Y (ann.)	4.29%	3.53%
10Y (ann.)	4.29%	3.53%
All-time (ann.)	4.29%	3.53%
Best Day	0.27%	0.01%
Worst Day	-1.56%	0.0%
Best Month	0.47%	0.28%
Worst Month	-0.12%	0.07%
Best Year	0.65%	0.53%
Worst Year	0.65%	0.53%
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%	0.13%
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	1.24	-
Alpha	0.0	-
Correlation	0.98%	-
Treynor Ratio	0.52%	-