Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $818,867.19 | $202,832.15 |
CAGR % | 9.04% | 2.95% |
Max % Drawdown | (44.61%) | (12.72%) |
Standard Deviation | 4.68% | 1.08% |
Annualized Sharpe | 0.43 | 0.01 |
MAR Ratio | 0.20 | 0.23 |
Win Rate % | 0.0% | 0.0% |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Longest Drawdown Duration | 106.5 months | 44.5 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $818,867.19 | $202,832.15 |
Open Equity | $718,770.80 | $102,832.15 |
Gross Profit | $0.00 | $0.00 |
Gross Loss | $0.00 | $0.00 |
Net Profit | $0.00 | $0.00 |
Net Long Profit | $0.00 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $96.39 | $0.00 |
Margin Interest | $0.00 | $0.00 |
Total Slippage | $0.00 | $0.00 |
Total Forex Carry | $0.00 | $0.00 |
Total Commissions | $0.00 | $0.00 |
Expenses | ||
---|---|---|
Model | Benchmark | |
Margin Interest | $0.00 | $0.00 |
Total Commissions | $0.00 | $0.00 |
Round Turns | 0.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.23 |
Calmar Ratio | 0.22 | 0.25 |
Modified Sharpe Ratio | 0.62 | 0.80 |
Robust Sharpe Ratio | 0.54 | 0.74 |
R-Squared | 0.8276 | 0.8737 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.04% | 2.95% |
RAR | 8.71% | 2.76% |
Profit Factor | 0.00 | 0.00 |
Percent Profit Factor | 0.00 | 0.00 |
Expectancy | — | — |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (44.61%) | (12.72%) |
Longest Drawdown Duration | 106.5 months | 44.5 months |
Max Monthly % Drawdown | (41.43%) | (11.84%) |
Avg of Top-5 Max % Drawdowns | (27.21%) | (6.72%) |
Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 27.5 months |
Avg of All % Drawdowns | (3.21%) | (0.61%) |
Std Dev of All % Drawdowns | 6.29% | 0.93% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | 0.00% |
Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 0.0% |
Lose Rate % | 0.0% | 0.0% |
Winning Trades | 0 | 0 |
Losing Trades | 0 | 0 |
Total Trades | 0 | 0 |
Max Consecutive Wins | 0 | 0 |
Max Consecutive Losses | 0 | 0 |
Avg Trade Duration | 0.0 days | 0.0 days |
Avg Winning Trade Duration | 0.0 days | 0.0 days |
Avg Losing Trade Duration | 0.0 days | 0.0 days |
Largest Winning Trade | $0.00 | $0.00 |
Largest Losing Trade | $0.00 | $0.00 |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | $0.00 |
Avg Loss | $0.00 | $0.00 |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | $0.00 |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Avg Trade % | 0.00% | 0.00% |
Avg Risk % | 0.00% | 0.00% |
Avg Trades Per Year | 0.00 | 0.00 |
Avg Trades Per Month | 0.00 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 57.2% | 58.9% |
Losing Months % | 42.8% | 41.1% |
Winning Months | 167 | 172 |
Losing Months | 125 | 120 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 6 | 11 |
Max Consecutive Losing Months | 7 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 80.0% |
Losing Years % | 28.0% | 20.0% |
Winning Years | 18 | 20 |
Losing Years | 7 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 12 | 9 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.7% | 63.4% |
Rolling 6-Month Win Rate | 67.6% | 66.9% |
Rolling 12-Month Win Rate | 70.8% | 74.4% |
Rolling 3-Year Win Rate | 82.6% | 87.0% |
Rolling 5-Year Win Rate | 85.7% | 95.2% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 290 | 290 |
Rolling 6-Month Periods | 287 | 287 |
Rolling 12-Month Periods | 281 | 281 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |