TEUS EUR[Strategy] vs [Benchmark] TEUSEU EUR

11 Nov, 2021 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	89.0%	11.0%
Cumulative Return	-5.56%	22.25%
CAGR﹪	-2.3%	8.53%
Sharpe	-8.02	-7.26
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-6.33	-5.74
Sortino	-7.82	-8.44
Smart Sortino	-6.18	-6.67
Sortino/√2	-5.53	-5.97
Smart Sortino/√2	-4.37	-4.71
Omega	0.23	0.23
Max Drawdown	-26.43%	-20.41%
Longest DD Days	889	365
Volatility (ann.)	26.26%	25.77%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	-0.09	0.42
Skew	-1.3	0.81
Kurtosis	12.07	26.21
Expected Daily	-0.02%	0.07%
Expected Monthly	-0.19%	0.67%
Expected Yearly	-1.42%	5.15%
Kelly Criterion	9.71%	29.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-2.58%
Expected Shortfall (cVaR)	-2.73%	-2.58%
Max Consecutive Wins	10	6
Max Consecutive Losses	6	3
Gain/Pain Ratio	-0.01	0.52
Gain/Pain (1M)	-0.05	0.54
Payoff Ratio	1.36	1.31
Profit Factor	0.99	1.52
Common Sense Ratio	1.08	-
CPC Index	0.64	1.2
Tail Ratio	1.09	-
Outlier Win Ratio	6.14	22.93
Outlier Loss Ratio	4.03	1.22
MTD	0.0%	2.04%
3M	0.0%	5.3%
6M	0.0%	12.28%
YTD	0.0%	7.09%
1Y	0.0%	16.35%
3Y (ann.)	-2.3%	8.53%
5Y (ann.)	-2.3%	8.53%
10Y (ann.)	-2.3%	8.53%
All-time (ann.)	-2.3%	8.53%
Best Day	7.26%	10.2%
Worst Day	-12.0%	-11.7%
Best Month	11.3%	10.2%
Worst Month	-9.84%	-11.7%
Best Year	7.98%	19.48%
Worst Year	-9.42%	-2.41%
Avg. Drawdown	-13.27%	-7.68%
Avg. Drawdown Days	445	122
Recovery Factor	-0.21	1.09
Ulcer Index	0.15	0.11
Serenity Index	-3.26	-5.21
Avg. Up Month	6.3%	9.47%
Avg. Down Month	-6.73%	-4.03%
Win Days	47.97%	60.0%
Win Month	46.15%	62.07%
Win Quarter	33.33%	72.73%
Win Year	33.33%	50.0%
Beta	0.07	-
Alpha	-0.03	-
Correlation	6.53%	-
Treynor Ratio	-10598.42%	-