FXBC USD[Strategy] vs [Benchmark] DE000SL0EWQ6 USD

23 Feb, 2022 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	1.0%	99.0%
Cumulative Return	0.0%	-25.33%
CAGR﹪	0.0%	-12.58%
Sharpe	-2213.6	-4.04
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1279.52	-2.33
Sortino	-15.87	-4.77
Smart Sortino	-9.18	-2.76
Sortino/√2	-11.22	-3.37
Smart Sortino/√2	-6.49	-1.95
Omega	0.0	0.0
Max Drawdown	-0.1%	-72.55%
Longest DD Days	1	758
Volatility (ann.)	0.09%	51.63%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.0	-0.17
Skew	0.03	0.06
Kurtosis	283.5	0.45
Expected Daily	0.0%	-0.05%
Expected Monthly	0.0%	-1.08%
Expected Yearly	0.0%	-9.28%
Kelly Criterion	0.05%	50.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-5.35%
Expected Shortfall (cVaR)	-0.01%	-5.35%
Max Consecutive Wins	1	8
Max Consecutive Losses	1	10
Gain/Pain Ratio	0.0	0.0
Gain/Pain (1M)	-	0.0
Payoff Ratio	1.0	74.67
Profit Factor	1.0	1.0
Common Sense Ratio	-	1.14
CPC Index	0.5	37.91
Tail Ratio	-	1.14
Outlier Win Ratio	22644.83	1.64
Outlier Loss Ratio	37.1	1.44
MTD	0.0%	-12.21%
3M	0.0%	33.08%
6M	0.0%	64.29%
YTD	0.0%	10.68%
1Y	0.0%	69.68%
3Y (ann.)	0.0%	-12.58%
5Y (ann.)	0.0%	-12.58%
10Y (ann.)	0.0%	-12.58%
All-time (ann.)	0.0%	-12.58%
Best Day	0.1%	9.2%
Worst Day	-0.1%	-11.83%
Best Month	0.0%	30.78%
Worst Month	0.0%	-33.17%
Best Year	0.0%	88.81%
Worst Year	0.0%	-64.27%
Avg. Drawdown	-0.1%	-13.62%
Avg. Drawdown Days	1	111
Recovery Factor	0.0	-0.35
Ulcer Index	0.0	0.56
Serenity Index	-139938.66	-0.54
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	50.0%	50.71%
Win Month	0.0%	51.85%
Win Quarter	0.0%	60.0%
Win Year	0.0%	66.67%
Beta	0.0	-
Alpha	0.0	-
Correlation	6.91%	-
Treynor Ratio	-5543575.01%	-