TPAY[Strategy] vs RUB Inflation[Benchmark]

12 Aug, 2024 - 15 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-3.2%	4.98%
CAGR﹪	-7.33%	12.04%
Sharpe	-1.11	30.93
Prob. Sharpe Ratio	21.26%	-
Smart Sharpe	-0.93	25.95
Sortino	-1.25	-
Smart Sortino	-1.05	-
Sortino/√2	-0.89	-
Smart Sortino/√2	-0.74	-
Omega	0.78	0.78
Max Drawdown	-8.5%	-
Longest DD Days	-	-
Volatility (ann.)	6.51%	0.36%
R^2	0.0	0.0
Information Ratio	-0.18	-0.18
Calmar	-0.86	-
Skew	-2.36	-0.07
Kurtosis	7.98	-1.74
Expected Daily	-0.03%	0.04%
Expected Monthly	-0.54%	0.81%
Expected Yearly	-1.61%	2.46%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.7%	-0.01%
Expected Shortfall (cVaR)	-0.7%	-0.01%
Max Consecutive Wins	11	109
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.22	-
Gain/Pain (1M)	-0.59	-
Payoff Ratio	-	-
Profit Factor	0.78	-
Common Sense Ratio	0.57	-
CPC Index	-	-
Tail Ratio	0.73	5.08
Outlier Win Ratio	2.24	7.76
Outlier Loss Ratio	2.09	-
MTD	1.6%	0.54%
3M	-4.02%	3.95%
6M	-3.2%	4.98%
YTD	1.6%	0.54%
1Y	-3.2%	4.98%
3Y (ann.)	-7.33%	12.04%
5Y (ann.)	-7.33%	12.04%
10Y (ann.)	-7.33%	12.04%
All-time (ann.)	-7.33%	12.04%
Best Day	0.74%	0.07%
Worst Day	-1.92%	0.0%
Best Month	1.6%	1.5%
Worst Month	-3.01%	0.19%
Best Year	1.6%	4.41%
Worst Year	-4.73%	0.54%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.38	-
Ulcer Index	0.04	0.0
Serenity Index	-0.04	-
Avg. Up Month	0.72%	0.74%
Avg. Down Month	-	-
Win Days	65.38%	100.0%
Win Month	50.0%	100.0%
Win Quarter	66.67%	100.0%
Win Year	50.0%	100.0%
Beta	-0.3	-
Alpha	-0.04	-
Correlation	-1.67%	-
Treynor Ratio	10.59%	-