Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | — |
End Date | 2025-09-05 | — |
Time Elapsed | 25 years, 8 months | — |
Starting Equity | $100,000.00 | — |
Ending Equity | $1,233,607.88 | — |
CAGR % | 10.28% | — |
Max % Drawdown | (98.93%) | — |
Standard Deviation | 4.62% | — |
Annualized Sharpe | 0.51 | — |
MAR Ratio | 0.10 | — |
Win Rate % | 0.0% | — |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | — |
Avg Loss % | 0.00% | — |
Longest Drawdown Duration | 106.5 months | — |
Avg Trades Per Year | 0.00 | — |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | — |
Ending Equity | $1,233,607.88 | — |
Open Equity | $1,133,497.20 | — |
Gross Profit | $0.00 | — |
Gross Loss | $0.00 | — |
Net Profit | $0.00 | — |
Net Long Profit | $0.00 | — |
Net Short Profit | $0.00 | — |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
Earned Dividends | $0.00 | — |
Earned Interest | $110.68 | — |
Margin Interest | $0.00 | — |
Total Slippage | $0.00 | — |
Total Forex Carry | $0.00 | — |
Total Commissions | $0.00 | — |
Expenses | ||
---|---|---|
Model | Benchmark | |
Margin Interest | $0.00 | — |
Total Commissions | $0.00 | — |
Round Turns | 0.0 | — |
Commissions Per Round Turn | $0.00 | — |
Slippage Per Round Turn | $0.00 | — |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.10 | — |
Calmar Ratio | 0.25 | — |
Modified Sharpe Ratio | 0.69 | — |
Robust Sharpe Ratio | 0.55 | — |
R-Squared | 0.8321 | — |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 10.28% | — |
RAR | 8.73% | — |
Profit Factor | 0.00 | — |
Percent Profit Factor | 0.00 | — |
Expectancy | — | — |
Percentage Expectancy | 0.00 | — |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (98.93%) | — |
Longest Drawdown Duration | 106.5 months | — |
Max Monthly % Drawdown | (41.43%) | — |
Avg of Top-5 Max % Drawdowns | (57.12%) | — |
Avg Duration of Top-5 Longest Drawdowns | 41.7 months | — |
Avg of All % Drawdowns | (3.78%) | — |
Std Dev of All % Drawdowns | 10.17% | — |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | — |
Closed-Equity Max Monthly % Drawdown | 0.00% | — |
Closed-Equity Avg of All % Drawdown | 0.00% | — |
Closed-Equity Std Dev of All % Drawdown | 0.00% | — |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | — |
Lose Rate % | 0.0% | — |
Winning Trades | 0 | — |
Losing Trades | 0 | — |
Total Trades | 0 | — |
Max Consecutive Wins | 0 | — |
Max Consecutive Losses | 0 | — |
Avg Trade Duration | 0.0 days | — |
Avg Winning Trade Duration | 0.0 days | — |
Avg Losing Trade Duration | 0.0 days | — |
Largest Winning Trade | $0.00 | — |
Largest Losing Trade | $0.00 | — |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | — |
Avg Loss | $0.00 | — |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | — |
Avg Win % | 0.00% | — |
Avg Loss % | 0.00% | — |
Avg Trade % | 0.00% | — |
Avg Risk % | 0.00% | — |
Avg Trades Per Year | 0.00 | — |
Avg Trades Per Month | 0.00 | — |
Avg Trades Per Day | 0.00 | — |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 58.3% | — |
Losing Months % | 41.7% | — |
Winning Months | 180 | — |
Losing Months | 129 | — |
Total Months | 309 | — |
Max Consecutive Winning Months | 6 | — |
Max Consecutive Losing Months | 7 | — |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 73.1% | — |
Losing Years % | 26.9% | — |
Winning Years | 19 | — |
Losing Years | 7 | — |
Total Years | 26 | — |
Max Consecutive Winning Years | 12 | — |
Max Consecutive Losing Years | 3 | — |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 62.5% | — |
Rolling 6-Month Win Rate | 69.4% | — |
Rolling 12-Month Win Rate | 72.5% | — |
Rolling 3-Year Win Rate | 83.3% | — |
Rolling 5-Year Win Rate | 86.4% | — |
Rolling 10-Year Win Rate | 100.0% | — |
Rolling 3-Month Periods | 307 | — |
Rolling 6-Month Periods | 304 | — |
Rolling 12-Month Periods | 298 | — |
Rolling 3-Year Periods | 24 | — |
Rolling 5-Year Periods | 22 | — |
Rolling 10-Year Periods | 17 | — |