TSST[Strategy] vs RUB Inflation[Benchmark]

29 Oct, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-10.19%	10.33%
CAGR﹪	-5.2%	5.01%
Sharpe	0.08	8.83
Prob. Sharpe Ratio	53.74%	100.0%
Smart Sharpe	0.07	8.46
Sortino	0.09	49.76
Smart Sortino	0.09	47.67
Sortino/√2	0.06	35.18
Smart Sortino/√2	0.06	33.71
Omega	1.02	1.02
Max Drawdown	-50.23%	-1.25%
Longest DD Days	524	209
Volatility (ann.)	42.06%	0.71%
R^2	0.1	0.1
Information Ratio	-0.0	-0.0
Calmar	-0.1	3.99
Skew	-6.08	8.3
Kurtosis	71.01	97.32
Expected Daily	-0.03%	0.02%
Expected Monthly	-0.49%	0.45%
Expected Yearly	-3.52%	3.33%
Kelly Criterion	-6.23%	73.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.35%	-0.05%
Expected Shortfall (cVaR)	-4.35%	-0.05%
Max Consecutive Wins	8	247
Max Consecutive Losses	7	65
Gain/Pain Ratio	0.02	7.79
Gain/Pain (1M)	0.05	7.79
Payoff Ratio	0.79	1.68
Profit Factor	1.02	8.79
Common Sense Ratio	1.32	25.07
CPC Index	0.43	12.36
Tail Ratio	1.3	2.85
Outlier Win Ratio	1.77	68.18
Outlier Loss Ratio	1.69	131.88
MTD	-21.81%	1.11%
3M	-29.66%	3.11%
6M	-1.54%	4.48%
YTD	9.55%	5.84%
1Y	35.69%	7.04%
3Y (ann.)	-5.2%	5.01%
5Y (ann.)	-5.2%	5.01%
10Y (ann.)	-5.2%	5.01%
All-time (ann.)	-5.2%	5.01%
Best Day	9.98%	0.55%
Worst Day	-32.81%	-0.02%
Best Month	28.06%	1.17%
Worst Month	-32.81%	-0.52%
Best Year	9.55%	5.84%
Worst Year	-24.1%	1.79%
Avg. Drawdown	-7.09%	-1.25%
Avg. Drawdown Days	49	209
Recovery Factor	-0.2	8.23
Ulcer Index	0.26	0.01
Serenity Index	-0.02	0.88
Avg. Up Month	7.73%	0.6%
Avg. Down Month	-12.75%	-0.43%
Win Days	53.25%	83.5%
Win Month	61.9%	85.71%
Win Quarter	66.67%	77.78%
Win Year	66.67%	100.0%
Beta	-18.44	-
Alpha	1.19	-
Correlation	-31.16%	-
Treynor Ratio	0.55%	-