TUSD[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 14 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	80.0%	100.0%
Cumulative Return	-24.27%	14.44%
CAGR﹪	-7.28%	3.73%
Sharpe	-0.25	20.86
Prob. Sharpe Ratio	36.71%	100.0%
Smart Sharpe	-0.24	20.21
Sortino	-0.26	79.18
Smart Sortino	-0.26	76.69
Sortino/√2	-0.19	55.99
Smart Sortino/√2	-0.18	54.23
Omega	0.91	0.91
Max Drawdown	-41.7%	-0.52%
Longest DD Days	1068	105
Volatility (ann.)	36.95%	0.4%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.17	7.18
Skew	-10.15	-0.13
Kurtosis	128.46	0.84
Expected Daily	-0.07%	0.03%
Expected Monthly	-1.32%	0.64%
Expected Yearly	-5.41%	2.73%
Kelly Criterion	-141.28%	92.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.86%	-0.01%
Expected Shortfall (cVaR)	-3.86%	-0.01%
Max Consecutive Wins	4	313
Max Consecutive Losses	6	15
Gain/Pain Ratio	-0.09	25.89
Gain/Pain (1M)	-0.2	25.89
Payoff Ratio	0.21	1.01
Profit Factor	0.91	26.89
Common Sense Ratio	1.02	800.31
CPC Index	0.11	26.14
Tail Ratio	1.12	29.77
Outlier Win Ratio	2.95	45.61
Outlier Loss Ratio	1.44	51.13
MTD	0.5%	0.17%
3M	4.51%	1.17%
6M	8.26%	3.7%
YTD	9.24%	4.08%
1Y	-18.95%	7.77%
3Y (ann.)	-0.8%	3.38%
5Y (ann.)	-7.28%	3.73%
10Y (ann.)	-7.28%	3.73%
All-time (ann.)	-7.28%	3.73%
Best Day	4.75%	0.11%
Worst Day	-30.6%	-0.03%
Best Month	14.62%	1.43%
Worst Month	-34.2%	-0.52%
Best Year	9.24%	4.08%
Worst Year	-25.81%	1.3%
Avg. Drawdown	-7.25%	-0.52%
Avg. Drawdown Days	145	105
Recovery Factor	-0.58	27.77
Ulcer Index	0.31	0.0
Serenity Index	-0.04	7.52
Avg. Up Month	3.22%	0.74%
Avg. Down Month	-34.2%	-0.52%
Win Days	58.13%	96.28%
Win Month	85.71%	95.24%
Win Quarter	77.78%	88.89%
Win Year	60.0%	100.0%
Beta	2.81	-
Alpha	-0.33	-
Correlation	3.07%	-
Treynor Ratio	-8.63%	-