TRUR[Strategy] vs RUB Inflation[Benchmark]

9 Dec, 2019 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	70.41%	50.49%
CAGR﹪	11.1%	8.41%
Sharpe	1.04	3.47
Prob. Sharpe Ratio	98.14%	100.0%
Smart Sharpe	1.03	3.43
Sortino	1.4	115.42
Smart Sortino	1.38	114.09
Sortino/√2	0.99	81.62
Smart Sortino/√2	0.98	80.68
Omega	1.24	1.24
Max Drawdown	-20.43%	-1.25%
Longest DD Days	521	209
Volatility (ann.)	10.79%	2.36%
R^2	0.02	0.02
Information Ratio	0.02	0.02
Calmar	0.54	6.7
Skew	-2.99	24.42
Kurtosis	53.14	606.01
Expected Daily	0.04%	0.03%
Expected Monthly	0.88%	0.67%
Expected Yearly	9.29%	7.05%
Kelly Criterion	3.97%	89.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.07%	-0.21%
Expected Shortfall (cVaR)	-1.07%	-0.21%
Max Consecutive Wins	11	596
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.24	29.88
Gain/Pain (1M)	1.27	29.88
Payoff Ratio	0.82	3.76
Profit Factor	1.24	30.88
Common Sense Ratio	1.35	125.12
CPC Index	0.58	106.29
Tail Ratio	1.09	4.05
Outlier Win Ratio	2.14	22.37
Outlier Loss Ratio	1.62	60.88
MTD	5.8%	1.5%
3M	7.79%	3.75%
6M	13.94%	5.62%
YTD	15.95%	9.71%
1Y	15.95%	9.71%
3Y (ann.)	13.05%	9.61%
5Y (ann.)	10.76%	8.51%
10Y (ann.)	11.1%	8.41%
All-time (ann.)	11.1%	8.41%
Best Day	4.59%	3.74%
Worst Day	-10.6%	-0.02%
Best Month	9.22%	7.61%
Worst Month	-9.74%	-0.52%
Best Year	27.37%	11.92%
Worst Year	-5.83%	0.34%
Avg. Drawdown	-1.51%	-0.68%
Avg. Drawdown Days	27	138
Recovery Factor	3.45	40.24
Ulcer Index	0.06	0.0
Serenity Index	0.75	46.66
Avg. Up Month	2.49%	0.77%
Avg. Down Month	-1.3%	-0.2%
Win Days	56.71%	91.43%
Win Month	70.0%	91.8%
Win Quarter	71.43%	95.24%
Win Year	83.33%	100.0%
Beta	0.62	-
Alpha	0.06	-
Correlation	13.67%	-
Treynor Ratio	112.87%	-