TRUR RUB[Strategy] vs MCFTR RUB[Benchmark]

13 Dec, 2019 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	92.0%	100.0%
Cumulative Return	99.01%	19.32%
CAGR﹪	10.8%	2.67%
Sharpe	-18.3	-7.29
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-18.16	-7.23
Sortino	-12.24	-7.31
Smart Sortino	-12.14	-7.25
Sortino/√2	-8.65	-5.17
Smart Sortino/√2	-8.59	-5.13
Omega	0.04	0.04
Max Drawdown	-20.43%	-53.53%
Longest DD Days	521	1215
Volatility (ann.)	10.81%	27.73%
R^2	0.52	0.52
Information Ratio	0.01	0.01
Calmar	0.53	0.05
Skew	-2.33	-3.55
Kurtosis	40.74	91.56
Expected Daily	0.04%	0.01%
Expected Monthly	0.85%	0.22%
Expected Yearly	8.98%	2.23%
Kelly Criterion	8.17%	-2.12%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-2.85%
Expected Shortfall (cVaR)	-1.08%	-2.85%
Max Consecutive Wins	11	11
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.22	0.05
Gain/Pain (1M)	1.29	0.24
Payoff Ratio	0.93	0.81
Profit Factor	1.22	1.05
Common Sense Ratio	1.37	0.98
CPC Index	0.63	0.46
Tail Ratio	1.13	0.93
Outlier Win Ratio	6.62	2.78
Outlier Loss Ratio	5.76	2.57
MTD	4.15%	-4.87%
3M	1.62%	-14.66%
6M	-4.66%	-19.85%
YTD	0.91%	-17.55%
1Y	7.62%	-20.94%
3Y (ann.)	12.14%	-3.96%
5Y (ann.)	10.26%	-4.83%
10Y (ann.)	10.8%	2.67%
All-time (ann.)	10.8%	2.67%
Best Day	4.59%	20.04%
Worst Day	-10.6%	-33.28%
Best Month	9.22%	15.56%
Worst Month	-9.74%	-30.02%
Best Year	27.37%	53.84%
Worst Year	-5.83%	-37.26%
Avg. Drawdown	-1.63%	-4.46%
Avg. Drawdown Days	25	61
Recovery Factor	4.85	0.36
Ulcer Index	0.06	0.22
Serenity Index	-7.07	-1.38
Avg. Up Month	2.85%	5.31%
Avg. Down Month	-2.55%	-6.85%
Win Days	55.79%	54.36%
Win Month	67.5%	58.02%
Win Quarter	75.0%	60.71%
Win Year	87.5%	75.0%
Beta	0.28	-
Alpha	0.09	-
Correlation	72.17%	-
Treynor Ratio	-2135.79%	-