TPAY[Strategy] vs RUB Inflation[Benchmark]

12 Aug, 2024 - 18 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	97.0%
Cumulative Return	1.33%	0.36%
CAGR﹪	13.96%	3.61%
Sharpe	9.09	81.0
Prob. Sharpe Ratio	99.74%	96.84%
Smart Sharpe	7.79	69.42
Sortino	19.44	-
Smart Sortino	16.66	-
Sortino/√2	13.74	-
Smart Sortino/√2	11.78	-
Omega	4.72	4.72
Max Drawdown	-0.17%	-
Longest DD Days	-	-
Volatility (ann.)	1.31%	0.04%
R^2	0.01	0.01
Information Ratio	0.42	0.42
Calmar	83.09	-
Skew	-0.1	-5.29
Kurtosis	1.88	28.0
Expected Daily	0.05%	0.01%
Expected Monthly	0.66%	0.18%
Expected Yearly	1.33%	0.36%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.09%	-0.01%
Expected Shortfall (cVaR)	-0.09%	-0.01%
Max Consecutive Wins	9	27
Max Consecutive Losses	1	0
Gain/Pain Ratio	3.72	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	4.72	-
Common Sense Ratio	7.73	-
CPC Index	-	-
Tail Ratio	1.64	1.0
Outlier Win Ratio	1.75	9.56
Outlier Loss Ratio	0.8	-
MTD	0.86%	0.17%
3M	1.33%	0.36%
6M	1.33%	0.36%
YTD	1.33%	0.36%
1Y	1.33%	0.36%
3Y (ann.)	13.96%	3.61%
5Y (ann.)	13.96%	3.61%
10Y (ann.)	13.96%	3.61%
All-time (ann.)	13.96%	3.61%
Best Day	0.27%	0.01%
Worst Day	-0.17%	0.0%
Best Month	0.86%	0.19%
Worst Month	0.47%	0.17%
Best Year	1.33%	0.36%
Worst Year	1.33%	0.36%
Avg. Drawdown	-0.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	7.94	-
Ulcer Index	0.0	0.0
Serenity Index	35.13	-
Avg. Up Month	0.66%	0.18%
Avg. Down Month	-	-
Win Days	84.0%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	3.69	-
Alpha	-0.0	-
Correlation	11.22%	-
Treynor Ratio	0.36%	-