TSST[Strategy] vs RUB Inflation[Benchmark]

29 Oct, 2021 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	23.31%	7.5%
CAGR﹪	11.67%	3.88%
Sharpe	0.59	12.93
Prob. Sharpe Ratio	73.64%	100.0%
Smart Sharpe	0.56	12.31
Sortino	0.72	38.0
Smart Sortino	0.68	36.19
Sortino/√2	0.51	26.87
Smart Sortino/√2	0.48	25.59
Omega	1.14	1.14
Max Drawdown	-50.23%	-1.25%
Longest DD Days	524	209
Volatility (ann.)	39.16%	0.39%
R^2	0.01	0.01
Information Ratio	0.03	0.03
Calmar	0.23	3.09
Skew	-6.29	-0.04
Kurtosis	86.84	-0.08
Expected Daily	0.06%	0.02%
Expected Monthly	1.05%	0.36%
Expected Yearly	7.23%	2.44%
Kelly Criterion	-2.81%	70.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.97%	-0.02%
Expected Shortfall (cVaR)	-3.97%	-0.02%
Max Consecutive Wins	8	218
Max Consecutive Losses	7	65
Gain/Pain Ratio	0.14	5.73
Gain/Pain (1M)	0.4	5.73
Payoff Ratio	0.79	1.46
Profit Factor	1.14	6.73
Common Sense Ratio	1.5	18.05
CPC Index	0.49	8.1
Tail Ratio	1.31	2.68
Outlier Win Ratio	1.86	85.24
Outlier Loss Ratio	1.76	130.38
MTD	-4.99%	0.19%
3M	12.6%	1.23%
6M	35.19%	1.8%
YTD	50.41%	3.12%
1Y	88.63%	4.52%
3Y (ann.)	11.67%	3.88%
5Y (ann.)	11.67%	3.88%
10Y (ann.)	11.67%	3.88%
All-time (ann.)	11.67%	3.88%
Best Day	9.98%	0.12%
Worst Day	-32.81%	-0.02%
Best Month	28.06%	1.17%
Worst Month	-32.81%	-0.52%
Best Year	50.41%	3.12%
Worst Year	-24.1%	1.79%
Avg. Drawdown	-5.4%	-1.25%
Avg. Drawdown Days	46	209
Recovery Factor	0.46	5.98
Ulcer Index	0.27	0.01
Serenity Index	0.04	0.32
Avg. Up Month	7.73%	0.6%
Avg. Down Month	-12.75%	-0.43%
Win Days	54.78%	82.19%
Win Month	68.42%	84.21%
Win Quarter	75.0%	75.0%
Win Year	66.67%	100.0%
Beta	-12.35	-
Alpha	0.85	-
Correlation	-12.15%	-
Treynor Ratio	-1.89%	-