TRUR RUB[Strategy] vs MCFTR RUB[Benchmark]

13 Dec, 2019 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	92.0%	100.0%
Cumulative Return	97.22%	44.71%
CAGR﹪	11.88%	6.3%
Sharpe	-18.64	-7.02
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-18.26	-6.88
Sortino	-12.33	-7.11
Smart Sortino	-12.08	-6.96
Sortino/√2	-8.72	-5.02
Smart Sortino/√2	-8.54	-4.92
Omega	0.04	0.04
Max Drawdown	-20.43%	-53.53%
Longest DD Days	521	1215
Volatility (ann.)	10.56%	28.26%
R^2	0.56	0.56
Information Ratio	0.0	0.0
Calmar	0.58	0.12
Skew	-2.64	-3.72
Kurtosis	48.41	94.07
Expected Daily	0.04%	0.02%
Expected Monthly	0.93%	0.51%
Expected Yearly	10.19%	5.42%
Kelly Criterion	9.95%	-0.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.05%	-2.89%
Expected Shortfall (cVaR)	-1.05%	-2.89%
Max Consecutive Wins	11	11
Max Consecutive Losses	6	14
Gain/Pain Ratio	0.25	0.08
Gain/Pain (1M)	1.52	0.38
Payoff Ratio	0.93	0.81
Profit Factor	1.25	1.08
Common Sense Ratio	1.42	1.02
CPC Index	0.66	0.48
Tail Ratio	1.13	0.94
Outlier Win Ratio	6.83	2.74
Outlier Loss Ratio	5.86	2.52
MTD	3.11%	3.53%
3M	5.3%	3.84%
6M	12.7%	2.89%
YTD	15.85%	2.94%
1Y	16.67%	6.5%
3Y (ann.)	19.3%	16.95%
5Y (ann.)	11.23%	4.35%
10Y (ann.)	11.88%	6.3%
All-time (ann.)	11.88%	6.3%
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	-1.52%	-4.1%
Avg. Drawdown Days	25	55
Recovery Factor	4.76	0.84
Ulcer Index	0.05	0.22
Serenity Index	-7.31	-1.29
Avg. Up Month	2.77%	5.38%
Avg. Down Month	-2.61%	-7.6%
Win Days	56.52%	55.1%
Win Month	70.83%	61.64%
Win Quarter	76.0%	64.0%
Win Year	85.71%	85.71%
Beta	0.28	-
Alpha	0.09	-
Correlation	75.01%	-
Treynor Ratio	-2150.08%	-