TPAY[Strategy] vs RUB Inflation[Benchmark]

12 Aug, 2024 - 16 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	0.29%	10.41%
CAGR﹪	0.2%	7.17%
Sharpe	0.06	21.06
Prob. Sharpe Ratio	53.03%	100.0%
Smart Sharpe	0.06	19.9
Sortino	0.07	93.47
Smart Sortino	0.07	88.3
Sortino/√2	0.05	66.09
Smart Sortino/√2	0.05	62.44
Omega	1.01	1.01
Max Drawdown	-8.5%	-0.4%
Longest DD Days	473	63
Volatility (ann.)	5.59%	0.32%
R^2	0.01	0.01
Information Ratio	-0.07	-0.07
Calmar	0.02	17.92
Skew	-2.8	0.27
Kurtosis	10.21	0.45
Expected Daily	0.0%	0.03%
Expected Monthly	0.02%	0.55%
Expected Yearly	0.1%	3.36%
Kelly Criterion	14.8%	90.37%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.58%	-0.01%
Expected Shortfall (cVaR)	-0.58%	-0.01%
Max Consecutive Wins	14	253
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.01	24.71
Gain/Pain (1M)	0.07	24.71
Payoff Ratio	0.69	1.44
Profit Factor	1.01	25.71
Common Sense Ratio	0.65	91.13
CPC Index	0.45	35.01
Tail Ratio	0.64	3.54
Outlier Win Ratio	2.07	10.56
Outlier Loss Ratio	2.63	41.06
MTD	0.61%	0.17%
3M	0.6%	1.32%
6M	1.43%	1.8%
YTD	0.61%	0.17%
1Y	3.68%	5.41%
3Y (ann.)	0.2%	7.17%
5Y (ann.)	0.2%	7.17%
10Y (ann.)	0.2%	7.17%
All-time (ann.)	0.2%	7.17%
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	4.63%	5.75%
Worst Year	-4.73%	0.17%
Avg. Drawdown	-1.77%	-0.4%
Avg. Drawdown Days	97	63
Recovery Factor	0.03	26.02
Ulcer Index	0.04	0.0
Serenity Index	0.0	16.5
Avg. Up Month	0.68%	0.54%
Avg. Down Month	-	-
Win Days	65.35%	94.31%
Win Month	61.11%	94.44%
Win Quarter	71.43%	100.0%
Win Year	66.67%	100.0%
Beta	-1.38	-
Alpha	0.1	-
Correlation	-7.92%	-
Treynor Ratio	-0.21%	-