TEUS EUR[Strategy] vs [Benchmark] TEUSEU EUR

11 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	-5.56%	23.03%
CAGR﹪	-2.1%	7.98%
Sharpe	-0.32	0.58
Prob. Sharpe Ratio	10.7%	38.53%
Smart Sharpe	-0.26	0.46
Sortino	-0.43	0.93
Smart Sortino	-0.34	0.73
Sortino/√2	-0.3	0.66
Smart Sortino/√2	-0.24	0.52
Omega	0.94	0.94
Max Drawdown	-26.43%	-20.41%
Longest DD Days	978	365
Volatility (ann.)	26.08%	26.25%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	-0.08	0.39
Skew	-1.31	0.83
Kurtosis	12.27	24.13
Expected Daily	-0.02%	0.07%
Expected Monthly	-0.17%	0.63%
Expected Yearly	-1.42%	5.32%
Kelly Criterion	9.37%	25.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.71%	-2.63%
Expected Shortfall (cVaR)	-2.71%	-2.63%
Max Consecutive Wins	7	6
Max Consecutive Losses	6	3
Gain/Pain Ratio	-0.01	0.49
Gain/Pain (1M)	-0.05	0.49
Payoff Ratio	1.36	1.31
Profit Factor	0.99	1.49
Common Sense Ratio	1.08	-
CPC Index	0.64	1.13
Tail Ratio	1.09	-
Outlier Win Ratio	6.22	21.39
Outlier Loss Ratio	3.98	1.28
MTD	0.0%	-3.81%
3M	0.0%	-1.14%
6M	0.0%	5.97%
YTD	0.0%	7.77%
1Y	0.0%	9.36%
3Y (ann.)	-2.1%	7.98%
5Y (ann.)	-2.1%	7.98%
10Y (ann.)	-2.1%	7.98%
All-time (ann.)	-2.1%	7.98%
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%	-7.0%
Avg. Drawdown Days	490	108
Recovery Factor	-0.21	1.13
Ulcer Index	0.14	0.11
Serenity Index	-0.06	0.13
Avg. Up Month	6.3%	9.47%
Avg. Down Month	-6.73%	-4.03%
Win Days	47.77%	57.58%
Win Month	46.15%	59.38%
Win Quarter	33.33%	66.67%
Win Year	33.33%	50.0%
Beta	0.06	-
Alpha	-0.03	-
Correlation	6.37%	-
Treynor Ratio	-198.51%	-