TEUS EUR[Strategy] vs [Benchmark] TEUSEU EUR

11 Nov, 2021 - 3 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	88.0%	13.0%
Cumulative Return	-5.56%	27.17%
CAGR﹪	-2.01%	8.92%
Sharpe	-0.32	0.69
Prob. Sharpe Ratio	10.62%	42.97%
Smart Sharpe	-0.26	0.54
Sortino	-0.43	1.1
Smart Sortino	-0.34	0.87
Sortino/√2	-0.3	0.78
Smart Sortino/√2	-0.24	0.62
Omega	0.94	0.94
Max Drawdown	-26.43%	-20.41%
Longest DD Days	1020	365
Volatility (ann.)	25.98%	26.23%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.08	0.44
Skew	-1.31	0.81
Kurtosis	12.38	23.96
Expected Daily	-0.02%	0.08%
Expected Monthly	-0.16%	0.69%
Expected Yearly	-1.42%	6.19%
Kelly Criterion	9.37%	29.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-2.62%
Expected Shortfall (cVaR)	-2.7%	-2.62%
Max Consecutive Wins	7	6
Max Consecutive Losses	6	3
Gain/Pain Ratio	-0.01	0.56
Gain/Pain (1M)	-0.05	0.56
Payoff Ratio	1.36	1.31
Profit Factor	0.99	1.56
Common Sense Ratio	1.08	-
CPC Index	0.64	1.23
Tail Ratio	1.09	-
Outlier Win Ratio	6.28	20.6
Outlier Loss Ratio	3.94	1.27
MTD	0.0%	3.25%
3M	0.0%	-0.57%
6M	0.0%	6.14%
YTD	0.0%	11.4%
1Y	0.0%	14.06%
3Y (ann.)	-2.01%	8.92%
5Y (ann.)	-2.01%	8.92%
10Y (ann.)	-2.01%	8.92%
All-time (ann.)	-2.01%	8.92%
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%	-6.98%
Avg. Drawdown Days	510	116
Recovery Factor	-0.21	1.33
Ulcer Index	0.14	0.11
Serenity Index	-0.06	0.16
Avg. Up Month	6.3%	9.47%
Avg. Down Month	-6.73%	-4.03%
Win Days	47.77%	60.0%
Win Month	46.15%	58.82%
Win Quarter	33.33%	66.67%
Win Year	33.33%	50.0%
Beta	0.06	-
Alpha	-0.03	-
Correlation	6.35%	-
Treynor Ratio	-199.67%	-