TBEU EUR[Strategy] vs [Benchmark] TBEUEUR EUR

8 Dec, 2021 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	73.0%	18.0%
Cumulative Return	-18.73%	20.19%
CAGR﹪	-4.98%	4.63%
Sharpe	-1.51	0.49
Prob. Sharpe Ratio	0.29%	34.5%
Smart Sharpe	-1.35	0.44
Sortino	-1.71	0.76
Smart Sortino	-1.54	0.68
Sortino/√2	-1.21	0.54
Smart Sortino/√2	-1.09	0.48
Omega	0.63	0.63
Max Drawdown	-26.14%	-25.9%
Longest DD Days	1476	1124
Volatility (ann.)	16.1%	28.16%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	-0.19	0.18
Skew	-5.53	0.73
Kurtosis	65.08	27.29
Expected Daily	-0.07%	0.07%
Expected Monthly	-0.42%	0.38%
Expected Yearly	-4.06%	3.75%
Kelly Criterion	-85.13%	-40.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.74%	-2.84%
Expected Shortfall (cVaR)	-1.74%	-2.84%
Max Consecutive Wins	7	9
Max Consecutive Losses	6	4
Gain/Pain Ratio	-0.29	0.39
Gain/Pain (1M)	-0.61	0.39
Payoff Ratio	0.44	0.41
Profit Factor	0.71	1.39
Common Sense Ratio	0.7	3.28
CPC Index	0.14	0.34
Tail Ratio	0.98	2.36
Outlier Win Ratio	12.24	11.4
Outlier Loss Ratio	6.5	1.33
MTD	0.0%	4.28%
3M	0.0%	7.43%
6M	0.0%	6.05%
YTD	0.0%	50.61%
1Y	0.0%	50.61%
3Y (ann.)	-0.52%	14.69%
5Y (ann.)	-4.98%	4.63%
10Y (ann.)	-4.98%	4.63%
All-time (ann.)	-4.98%	4.63%
Best Day	5.58%	12.54%
Worst Day	-11.15%	-12.85%
Best Month	6.9%	12.54%
Worst Month	-12.41%	-12.85%
Best Year	1.43%	50.61%
Worst Year	-19.29%	-18.97%
Avg. Drawdown	-26.14%	-9.79%
Avg. Drawdown Days	1476	416
Recovery Factor	-0.72	0.78
Ulcer Index	0.18	0.18
Serenity Index	-0.05	0.04
Avg. Up Month	3.58%	3.35%
Avg. Down Month	-6.35%	-3.96%
Win Days	43.78%	59.18%
Win Month	41.67%	60.42%
Win Quarter	33.33%	62.5%
Win Year	33.33%	50.0%
Beta	0.01	-
Alpha	-0.18	-
Correlation	2.49%	-
Treynor Ratio	-1808.77%	-