TEUS[Strategy] vs INav[Benchmark]

11 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	93.0%
Cumulative Return	-1.75%	-2.57%
CAGR﹪	-0.89%	-1.31%
Sharpe	0.14	-0.37
Prob. Sharpe Ratio	16.4%	8.75%
Smart Sharpe	0.13	-0.34
Sortino	0.17	-0.5
Smart Sortino	0.15	-0.46
Sortino/√2	0.12	-0.35
Smart Sortino/√2	0.11	-0.32
Omega	1.03	1.03
Max Drawdown	-52.08%	-24.59%
Longest DD Days	498	547
Volatility (ann.)	50.58%	18.51%
R^2	0.21	0.21
Information Ratio	0.02	0.02
Calmar	-0.02	-0.05
Skew	-5.32	-0.26
Kurtosis	72.29	4.4
Expected Daily	-0.0%	-0.01%
Expected Monthly	-0.09%	-0.13%
Expected Yearly	-0.59%	-0.87%
Kelly Criterion	3.86%	-0.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.19%	-1.92%
Expected Shortfall (cVaR)	-5.19%	-1.92%
Max Consecutive Wins	11	6
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.06	-0.0
Gain/Pain (1M)	0.2	-0.0
Payoff Ratio	0.96	0.86
Profit Factor	1.06	1.0
Common Sense Ratio	1.15	1.0
CPC Index	0.54	0.46
Tail Ratio	1.08	1.0
Outlier Win Ratio	2.35	5.62
Outlier Loss Ratio	2.7	5.4
MTD	-11.4%	2.6%
3M	-19.98%	-4.83%
6M	5.45%	0.32%
YTD	20.98%	10.13%
1Y	59.56%	16.36%
3Y (ann.)	-0.89%	-1.31%
5Y (ann.)	-0.89%	-1.31%
10Y (ann.)	-0.89%	-1.31%
All-time (ann.)	-0.89%	-1.31%
Best Day	13.83%	5.83%
Worst Day	-40.6%	-5.65%
Best Month	24.39%	9.57%
Worst Month	-48.12%	-10.86%
Best Year	20.98%	10.13%
Worst Year	-19.22%	-10.33%
Avg. Drawdown	-6.93%	-17.67%
Avg. Drawdown Days	42	350
Recovery Factor	-0.03	-0.1
Ulcer Index	0.26	0.11
Serenity Index	-0.02	-0.05
Avg. Up Month	11.52%	6.04%
Avg. Down Month	-14.01%	-5.35%
Win Days	52.86%	53.45%
Win Month	65.0%	45.0%
Win Quarter	66.67%	33.33%
Win Year	66.67%	33.33%
Beta	1.25	-
Alpha	0.14	-
Correlation	45.58%	-
Treynor Ratio	-7.02%	-