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 | $75,564.80 |
CAGR % | 9.05% | (1.14%) |
Max % Drawdown | (44.61%) | (48.93%) |
Standard Deviation | 4.66% | 3.37% |
Annualized Sharpe | 0.43 | (0.29) |
MAR Ratio | 0.20 | (0.02) |
Win Rate % | 0.0% | 58.3% |
Avg Win / Loss Ratio | — | 0.55 |
Expectancy | — | ($0.10) |
Avg Win % | 0.00% | 9.29% |
Avg Loss % | 0.00% | (13.62%) |
Longest Drawdown Duration | 106.5 months | 191.9 months |
Avg Trades Per Year | 0.00 | 0.98 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $826,745.70 | $75,564.80 |
Open Equity | $726,648.40 | $3,525.22 |
Gross Profit | $0.00 | $92,861.85 |
Gross Loss | $0.00 | ($120,822.26) |
Net Profit | $0.00 | ($27,960.42) |
Net Long Profit | $0.00 | ($27,960.42) |
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 | $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 | 360.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | (0.02) |
Calmar Ratio | 0.22 | (0.03) |
Modified Sharpe Ratio | 0.62 | (0.04) |
Robust Sharpe Ratio | 0.54 | (0.04) |
R-Squared | 0.8287 | 0.0766 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.05% | (1.14%) |
RAR | 8.71% | (0.47%) |
Profit Factor | 0.00 | 0.77 |
Percent Profit Factor | 0.00 | 0.96 |
Expectancy | — | ($0.10) |
Percentage Expectancy | 0.00 | (0.00) |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (44.61%) | (48.93%) |
Longest Drawdown Duration | 106.5 months | 191.9 months |
Max Monthly % Drawdown | (41.43%) | (41.16%) |
Avg of Top-5 Max % Drawdowns | (27.21%) | (25.62%) |
Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 71.0 months |
Avg of All % Drawdowns | (3.22%) | (17.84%) |
Std Dev of All % Drawdowns | 6.26% | 23.47% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (38.72%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (38.72%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (38.72%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 58.3% |
Lose Rate % | 0.0% | 41.7% |
Winning Trades | 0 | 14 |
Losing Trades | 0 | 10 |
Total Trades | 0 | 24 |
Max Consecutive Wins | 0 | 5 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 183.0 days |
Avg Winning Trade Duration | 0.0 days | 183.7 days |
Avg Losing Trade Duration | 0.0 days | 184.3 days |
Largest Winning Trade | $0.00 | $18,925.42 |
Largest Losing Trade | $0.00 | ($39,151.52) |
Largest Win as % of Net Profit | — | (67.69%) |
Avg Win | $0.00 | $6,632.99 |
Avg Loss | $0.00 | ($12,082.23) |
Avg Win / Loss Ratio | — | 0.55 |
Avg Trade | $0.00 | ($1,165.02) |
Avg Win % | 0.00% | 9.29% |
Avg Loss % | 0.00% | (13.62%) |
Avg Trade % | 0.00% | (0.25%) |
Avg Risk % | 0.00% | (96.40%) |
Avg Trades Per Year | 0.00 | 0.98 |
Avg Trades Per Month | 0.00 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 57.3% | 73.7% |
Losing Months % | 42.7% | 26.3% |
Winning Months | 168 | 216 |
Losing Months | 125 | 77 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 6 | 14 |
Max Consecutive Losing Months | 7 | 5 |
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 | 5 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.8% | 65.3% |
Rolling 6-Month Win Rate | 67.7% | 52.8% |
Rolling 12-Month Win Rate | 70.9% | 56.7% |
Rolling 3-Year Win Rate | 82.6% | 52.2% |
Rolling 5-Year Win Rate | 85.7% | 38.1% |
Rolling 10-Year Win Rate | 100.0% | 37.5% |
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 |