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 | $863,841.68 | $475,220.62 |
CAGR % | 9.25% | 6.60% |
Max % Drawdown | (33.73%) | (14.90%) |
Standard Deviation | 3.48% | 1.98% |
Annualized Sharpe | 0.55 | 0.54 |
MAR Ratio | 0.27 | 0.44 |
Win Rate % | 54.8% | 46.2% |
Avg Win / Loss Ratio | 2.64 | 3.49 |
Expectancy | $0.00 | $1.07 |
Avg Win % | 19.22% | 4.40% |
Avg Loss % | (3.99%) | (0.93%) |
Longest Drawdown Duration | 36.7 months | 30.5 months |
Avg Trades Per Year | 1.27 | 4.27 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $863,841.68 | $475,220.62 |
Open Equity | $124,655.22 | $33,270.27 |
Gross Profit | $927,259.98 | $473,061.29 |
Gross Loss | ($288,990.67) | ($158,238.91) |
Net Profit | $638,269.31 | $314,822.38 |
Net Long Profit | $638,269.31 | $314,822.38 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | 100.0% | 100.0% |
Net Short Profit as % of Net Profit | 0.0% | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $917.16 | $27,127.96 |
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 | 9,127.0 | 1,085.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.27 | 0.44 |
Calmar Ratio | 0.42 | 0.61 |
Modified Sharpe Ratio | 0.80 | 0.97 |
Robust Sharpe Ratio | 0.80 | 0.88 |
R-Squared | 0.9507 | 0.9344 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.25% | 6.60% |
RAR | 9.62% | 6.02% |
Profit Factor | 3.21 | 2.99 |
Percent Profit Factor | 5.84 | 4.06 |
Expectancy | $0.00 | $1.07 |
Percentage Expectancy | 0.09 | 0.08 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.73%) | (14.90%) |
Longest Drawdown Duration | 36.7 months | 30.5 months |
Max Monthly % Drawdown | (22.15%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (22.87%) | (10.73%) |
Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 23.9 months |
Avg of All % Drawdowns | (2.09%) | (1.35%) |
Std Dev of All % Drawdowns | 4.38% | 2.07% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.75%) | (8.54%) |
Closed-Equity Max Monthly % Drawdown | (15.75%) | (8.54%) |
Closed-Equity Avg of All % Drawdown | (9.46%) | (2.80%) |
Closed-Equity Std Dev of All % Drawdown | 4.54% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 54.8% | 46.2% |
Lose Rate % | 45.2% | 53.8% |
Winning Trades | 17 | 48 |
Losing Trades | 14 | 56 |
Total Trades | 31 | 104 |
Max Consecutive Wins | 4 | 6 |
Max Consecutive Losses | 3 | 8 |
Avg Trade Duration | 280.8 days | 283.9 days |
Avg Winning Trade Duration | 382.8 days | 523.5 days |
Avg Losing Trade Duration | 156.9 days | 78.4 days |
Largest Winning Trade | $255,900.48 | $61,124.70 |
Largest Losing Trade | ($51,833.25) | ($9,079.40) |
Largest Win as % of Net Profit | 40.09% | 19.42% |
Avg Win | $54,544.70 | $9,855.44 |
Avg Loss | ($20,642.19) | ($2,825.69) |
Avg Win / Loss Ratio | 2.64 | 3.49 |
Avg Trade | $20,589.33 | $3,027.14 |
Avg Win % | 19.22% | 4.40% |
Avg Loss % | (3.99%) | (0.93%) |
Avg Trade % | 8.73% | 1.53% |
Avg Risk % | (99.51%) | (18.05%) |
Avg Trades Per Year | 1.27 | 4.27 |
Avg Trades Per Month | 0.11 | 0.36 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.5% | 65.5% |
Losing Months % | 34.5% | 34.5% |
Winning Months | 192 | 192 |
Losing Months | 101 | 101 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 15 | 11 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 84.0% |
Losing Years % | 20.0% | 16.0% |
Winning Years | 20 | 21 |
Losing Years | 5 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 8 |
Max Consecutive Losing Years | 1 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.1% | 66.7% |
Rolling 6-Month Win Rate | 71.9% | 74.7% |
Rolling 12-Month Win Rate | 75.5% | 77.7% |
Rolling 3-Year Win Rate | 100.0% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
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 |