TCBR USD[Strategy] vs [Benchmark] TCBRUS USD

10 Nov, 2021 - 23 Jul, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	88.0%	12.0%
Cumulative Return	-28.8%	9.67%
CAGR﹪	-11.82%	3.48%
Sharpe	-0.93	0.2
Prob. Sharpe Ratio	2.03%	22.04%
Smart Sharpe	-0.9	0.19
Sortino	-1.18	0.3
Smart Sortino	-1.14	0.29
Sortino/√2	-0.84	0.21
Smart Sortino/√2	-0.81	0.21
Omega	0.84	0.84
Max Drawdown	-36.08%	-29.55%
Longest DD Days	985	761
Volatility (ann.)	32.66%	33.97%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.33	0.12
Skew	-1.59	0.47
Kurtosis	13.33	16.11
Expected Daily	-0.12%	0.03%
Expected Monthly	-1.02%	0.28%
Expected Yearly	-8.14%	2.33%
Kelly Criterion	-42.36%	-29.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.48%	-3.47%
Expected Shortfall (cVaR)	-3.48%	-3.47%
Max Consecutive Wins	5	4
Max Consecutive Losses	5	3
Gain/Pain Ratio	-0.12	0.19
Gain/Pain (1M)	-0.62	0.2
Payoff Ratio	0.6	0.6
Profit Factor	0.88	1.19
Common Sense Ratio	0.87	3.31
CPC Index	0.24	0.37
Tail Ratio	1.0	2.78
Outlier Win Ratio	5.39	18.76
Outlier Loss Ratio	4.02	1.26
MTD	0.0%	5.46%
3M	0.0%	-0.37%
6M	0.0%	7.34%
YTD	0.0%	15.78%
1Y	0.0%	30.45%
3Y (ann.)	-11.82%	3.48%
5Y (ann.)	-11.82%	3.48%
10Y (ann.)	-11.82%	3.48%
All-time (ann.)	-11.82%	3.48%
Best Day	5.34%	12.37%
Worst Day	-16.5%	-12.81%
Best Month	7.07%	12.37%
Worst Month	-11.9%	-12.81%
Best Year	1.09%	21.85%
Worst Year	-25.05%	-15.81%
Avg. Drawdown	-36.08%	-13.73%
Avg. Drawdown Days	985	284
Recovery Factor	-0.8	0.33
Ulcer Index	0.25	0.21
Serenity Index	-0.08	0.01
Avg. Up Month	1.67%	5.07%
Avg. Down Month	-4.81%	-8.13%
Win Days	46.69%	51.52%
Win Month	28.57%	53.12%
Win Quarter	33.33%	58.33%
Win Year	33.33%	50.0%
Beta	0.03	-
Alpha	-0.24	-
Correlation	3.45%	-
Treynor Ratio	-1078.43%	-