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 | $819,887.62 | $353,627.19 |
CAGR % | 9.05% | 5.34% |
Max % Drawdown | (74.94%) | (23.72%) |
Standard Deviation | 6.19% | 1.90% |
Annualized Sharpe | 0.38 | 0.37 |
MAR Ratio | 0.12 | 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 | 73.8 months | 30.9 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $819,887.62 | $353,627.19 |
Open Equity | $719,452.94 | $253,627.19 |
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 | $434.68 | $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 | 0.12 | 0.23 |
Calmar Ratio | 0.13 | 0.24 |
Modified Sharpe Ratio | 0.52 | 0.82 |
Robust Sharpe Ratio | 0.40 | 0.87 |
R-Squared | 0.8781 | 0.9502 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.05% | 5.34% |
RAR | 8.65% | 5.75% |
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 | (74.94%) | (23.72%) |
Longest Drawdown Duration | 73.8 months | 30.9 months |
Max Monthly % Drawdown | (70.33%) | (21.83%) |
Avg of Top-5 Max % Drawdowns | (37.87%) | (13.21%) |
Avg Duration of Top-5 Longest Drawdowns | 30.8 months | 15.8 months |
Avg of All % Drawdowns | (3.11%) | (0.91%) |
Std Dev of All % Drawdowns | 7.70% | 1.62% |
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 % | 61.6% | 61.6% |
Losing Months % | 38.4% | 38.4% |
Winning Months | 180 | 180 |
Losing Months | 112 | 112 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 14 | 10 |
Max Consecutive Losing Months | 4 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 76.0% |
Losing Years % | 24.0% | 24.0% |
Winning Years | 19 | 19 |
Losing Years | 6 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 13 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.2% | 68.6% |
Rolling 6-Month Win Rate | 71.1% | 74.2% |
Rolling 12-Month Win Rate | 75.8% | 82.9% |
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 |