TUSD[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 20 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-32.81%	8.6%
CAGR﹪	-12.29%	2.76%
Sharpe	-0.59	16.76
Prob. Sharpe Ratio	25.35%	100.0%
Smart Sharpe	-0.57	16.22
Sortino	-0.63	63.38
Smart Sortino	-0.61	61.31
Sortino/√2	-0.44	44.82
Smart Sortino/√2	-0.43	43.35
Omega	0.83	0.83
Max Drawdown	-41.7%	-0.52%
Longest DD Days	832	105
Volatility (ann.)	48.27%	0.53%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.29	5.3
Skew	-7.76	0.25
Kurtosis	74.39	0.49
Expected Daily	-0.17%	0.03%
Expected Monthly	-3.01%	0.64%
Expected Yearly	-9.46%	2.08%
Kelly Criterion	-107.08%	87.86%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.11%	-0.02%
Expected Shortfall (cVaR)	-5.11%	-0.02%
Max Consecutive Wins	4	145
Max Consecutive Losses	6	15
Gain/Pain Ratio	-0.17	15.84
Gain/Pain (1M)	-0.37	15.84
Payoff Ratio	0.3	1.11
Profit Factor	0.83	16.84
Common Sense Ratio	1.03	51.74
CPC Index	0.13	17.47
Tail Ratio	1.23	3.07
Outlier Win Ratio	1.99	51.1
Outlier Loss Ratio	1.47	63.33
MTD	1.52%	1.51%
3M	-28.09%	2.27%
6M	-28.09%	2.27%
YTD	-28.09%	2.27%
1Y	-28.09%	2.27%
3Y (ann.)	-14.12%	2.38%
5Y (ann.)	-12.29%	2.76%
10Y (ann.)	-12.29%	2.76%
All-time (ann.)	-12.29%	2.76%
Best Day	4.75%	0.11%
Worst Day	-30.6%	-0.03%
Best Month	14.62%	1.51%
Worst Month	-34.2%	-0.52%
Best Year	7.2%	3.05%
Worst Year	-28.09%	1.3%
Avg. Drawdown	-7.25%	-0.52%
Avg. Drawdown Days	115	105
Recovery Factor	-0.79	16.54
Ulcer Index	0.27	0.0
Serenity Index	-0.08	3.37
Avg. Up Month	4.58%	0.8%
Avg. Down Month	-34.2%	-0.52%
Win Days	52.47%	93.62%
Win Month	76.92%	92.31%
Win Quarter	66.67%	83.33%
Win Year	50.0%	100.0%
Beta	3.09	-
Alpha	-0.56	-
Correlation	3.37%	-
Treynor Ratio	-10.62%	-