TSOX[Strategy] vs RUB Inflation[Benchmark]

8 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-2.78%	10.69%
CAGR﹪	-1.41%	5.25%
Sharpe	0.21	8.95
Prob. Sharpe Ratio	60.37%	100.0%
Smart Sharpe	0.21	8.79
Sortino	0.26	50.5
Smart Sortino	0.26	49.6
Sortino/√2	0.19	35.71
Smart Sortino/√2	0.18	35.08
Omega	1.04	1.04
Max Drawdown	-55.76%	-1.25%
Longest DD Days	539	209
Volatility (ann.)	46.27%	0.7%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	-0.03	4.19
Skew	-3.07	8.39
Kurtosis	30.2	100.08
Expected Daily	-0.01%	0.02%
Expected Monthly	-0.13%	0.46%
Expected Yearly	-0.94%	3.44%
Kelly Criterion	-11.75%	74.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.76%	-0.05%
Expected Shortfall (cVaR)	-4.76%	-0.05%
Max Consecutive Wins	7	265
Max Consecutive Losses	12	65
Gain/Pain Ratio	0.04	8.05
Gain/Pain (1M)	0.13	8.05
Payoff Ratio	0.76	1.58
Profit Factor	1.04	9.05
Common Sense Ratio	1.06	23.94
CPC Index	0.41	12.03
Tail Ratio	1.02	2.65
Outlier Win Ratio	1.63	92.38
Outlier Loss Ratio	1.88	191.31
MTD	-10.15%	1.11%
3M	-23.48%	3.11%
6M	13.18%	4.48%
YTD	43.51%	6.25%
1Y	79.43%	7.45%
3Y (ann.)	-1.41%	5.25%
5Y (ann.)	-1.41%	5.25%
10Y (ann.)	-1.41%	5.25%
All-time (ann.)	-1.41%	5.25%
Best Day	7.04%	0.55%
Worst Day	-30.74%	-0.02%
Best Month	34.23%	1.17%
Worst Month	-32.45%	-0.52%
Best Year	43.51%	6.25%
Worst Year	-38.81%	1.73%
Avg. Drawdown	-11.1%	-1.25%
Avg. Drawdown Days	69	209
Recovery Factor	-0.05	8.52
Ulcer Index	0.31	0.01
Serenity Index	-0.0	0.92
Avg. Up Month	8.43%	0.58%
Avg. Down Month	-20.03%	-0.44%
Win Days	51.73%	84.07%
Win Month	63.64%	86.36%
Win Quarter	66.67%	77.78%
Win Year	66.67%	100.0%
Beta	-7.32	-
Alpha	0.56	-
Correlation	-11.07%	-
Treynor Ratio	0.38%	-