Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-17 | 2024-05-17 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $826,745.70 | $244,970.46 |
CAGR % | 9.05% | 3.75% |
Max % Drawdown | (44.61%) | (60.26%) |
Standard Deviation | 4.66% | 4.48% |
Annualized Sharpe | 0.43 | 0.12 |
MAR Ratio | 0.20 | 0.06 |
Win Rate % | 0.0% | 38.5% |
Avg Win / Loss Ratio | — | 2.45 |
Expectancy | — | $0.33 |
Avg Win % | 0.00% | 21.44% |
Avg Loss % | 0.00% | (6.60%) |
Longest Drawdown Duration | 106.5 months | 190.3 months |
Avg Trades Per Year | 0.00 | 1.07 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $826,745.70 | $244,970.46 |
Open Equity | $726,648.40 | $16,388.45 |
Gross Profit | $0.00 | $301,721.37 |
Gross Loss | $0.00 | ($197,205.02) |
Net Profit | $0.00 | $104,516.35 |
Net Long Profit | $0.00 | $104,516.35 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | 100.0% |
Net Short Profit as % of Net Profit | — | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $97.30 | $24,065.66 |
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 | 1,136.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.06 |
Calmar Ratio | 0.22 | 0.06 |
Modified Sharpe Ratio | 0.62 | 0.31 |
Robust Sharpe Ratio | 0.54 | 0.06 |
R-Squared | 0.8287 | 0.0773 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.05% | 3.75% |
RAR | 8.71% | 0.91% |
Profit Factor | 0.00 | 1.53 |
Percent Profit Factor | 0.00 | 2.03 |
Expectancy | — | $0.33 |
Percentage Expectancy | 0.00 | 0.04 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (44.61%) | (60.26%) |
Longest Drawdown Duration | 106.5 months | 190.3 months |
Max Monthly % Drawdown | (41.43%) | (58.84%) |
Avg of Top-5 Max % Drawdowns | (27.21%) | (30.52%) |
Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 53.2 months |
Avg of All % Drawdowns | (3.22%) | (3.67%) |
Std Dev of All % Drawdowns | 6.26% | 5.66% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (43.60%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (43.56%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (18.63%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 17.80% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 38.5% |
Lose Rate % | 0.0% | 61.5% |
Winning Trades | 0 | 10 |
Losing Trades | 0 | 16 |
Total Trades | 0 | 26 |
Max Consecutive Wins | 0 | 4 |
Max Consecutive Losses | 0 | 7 |
Avg Trade Duration | 0.0 days | 193.3 days |
Avg Winning Trade Duration | 0.0 days | 371.5 days |
Avg Losing Trade Duration | 0.0 days | 82.0 days |
Largest Winning Trade | $0.00 | $106,576.40 |
Largest Losing Trade | $0.00 | ($34,666.80) |
Largest Win as % of Net Profit | — | 101.97% |
Avg Win | $0.00 | $30,172.14 |
Avg Loss | $0.00 | ($12,325.31) |
Avg Win / Loss Ratio | — | 2.45 |
Avg Trade | $0.00 | $4,019.86 |
Avg Win % | 0.00% | 21.44% |
Avg Loss % | 0.00% | (6.60%) |
Avg Trade % | 0.00% | 4.19% |
Avg Risk % | 0.00% | (98.62%) |
Avg Trades Per Year | 0.00 | 1.07 |
Avg Trades Per Month | 0.00 | 0.09 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 57.3% | 72.0% |
Losing Months % | 42.7% | 28.0% |
Winning Months | 168 | 211 |
Losing Months | 125 | 82 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 6 | 22 |
Max Consecutive Losing Months | 7 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 60.0% |
Losing Years % | 28.0% | 40.0% |
Winning Years | 18 | 15 |
Losing Years | 7 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 12 | 4 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.8% | 64.3% |
Rolling 6-Month Win Rate | 67.7% | 55.6% |
Rolling 12-Month Win Rate | 70.9% | 52.1% |
Rolling 3-Year Win Rate | 82.6% | 65.2% |
Rolling 5-Year Win Rate | 85.7% | 61.9% |
Rolling 10-Year Win Rate | 100.0% | 50.0% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |