TBEU EUR[Strategy] vs [Benchmark] TBEUEUR EUR

8 Dec, 2021 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	79.0%	12.0%
Cumulative Return	-18.73%	-8.02%
CAGR﹪	-8.41%	-3.48%
Sharpe	-13.6	-11.25
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-12.17	-10.08
Sortino	-10.65	-9.68
Smart Sortino	-9.54	-8.67
Sortino/√2	-7.53	-6.85
Smart Sortino/√2	-6.74	-6.13
Omega	0.05	0.05
Max Drawdown	-26.14%	-25.9%
Longest DD Days	855	807
Volatility (ann.)	16.75%	19.12%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.32	-0.13
Skew	-5.3	-5.19
Kurtosis	59.88	56.95
Expected Daily	-0.08%	-0.03%
Expected Monthly	-0.71%	-0.29%
Expected Yearly	-5.05%	-2.07%
Kelly Criterion	-86.06%	-54.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.81%	-2.01%
Expected Shortfall (cVaR)	-1.81%	-2.01%
Max Consecutive Wins	7	5
Max Consecutive Losses	6	3
Gain/Pain Ratio	-0.29	-0.17
Gain/Pain (1M)	-0.61	-0.17
Payoff Ratio	0.44	0.41
Profit Factor	0.71	0.83
Common Sense Ratio	0.75	55.02
CPC Index	0.14	0.19
Tail Ratio	1.05	66.51
Outlier Win Ratio	7.88	20.86
Outlier Loss Ratio	5.18	1.08
MTD	0.0%	0.33%
3M	0.0%	0.93%
6M	0.0%	8.12%
YTD	0.0%	4.39%
1Y	0.0%	11.49%
3Y (ann.)	-8.41%	-3.48%
5Y (ann.)	-8.41%	-3.48%
10Y (ann.)	-8.41%	-3.48%
All-time (ann.)	-8.41%	-3.48%
Best Day	5.58%	5.01%
Worst Day	-11.15%	-12.85%
Best Month	6.9%	5.01%
Worst Month	-12.41%	-12.85%
Best Year	1.43%	8.74%
Worst Year	-19.29%	-18.97%
Avg. Drawdown	-26.14%	-25.9%
Avg. Drawdown Days	855	807
Recovery Factor	-0.72	-0.31
Ulcer Index	0.18	0.18
Serenity Index	-1.4	-1.53
Avg. Up Month	3.58%	3.35%
Avg. Down Month	-6.35%	-3.96%
Win Days	43.5%	55.17%
Win Month	41.67%	57.14%
Win Quarter	33.33%	70.0%
Win Year	33.33%	66.67%
Beta	0.03	-
Alpha	-0.19	-
Correlation	3.18%	-
Treynor Ratio	-25834.2%	-