Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2025-05-30 | 2025-05-30 |
Time Elapsed | 25 years, 5 months | 25 years, 5 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $976,111.78 | $640,358.15 |
CAGR % | 9.38% | 7.58% |
Max % Drawdown | (33.73%) | (54.82%) |
Standard Deviation | 3.47% | 4.38% |
Annualized Sharpe | 0.56 | 0.36 |
MAR Ratio | 0.28 | 0.14 |
Win Rate % | 56.2% | 0.0% |
Avg Win / Loss Ratio | 3.00 | — |
Expectancy | $1.25 | — |
Avg Win % | 19.56% | 0.00% |
Avg Loss % | (3.99%) | 0.00% |
Longest Drawdown Duration | 36.7 months | 73.5 months |
Avg Trades Per Year | 1.26 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $976,111.78 | $640,358.15 |
Open Equity | $48,708.25 | $540,358.15 |
Gross Profit | $1,115,103.06 | $0.00 |
Gross Loss | ($288,990.67) | $0.00 |
Net Profit | $826,112.39 | $0.00 |
Net Long Profit | $826,112.39 | $0.00 |
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 | $1,291.15 | $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 | 9,201.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.28 | 0.14 |
Calmar Ratio | 0.42 | 0.15 |
Modified Sharpe Ratio | 0.81 | 0.56 |
Robust Sharpe Ratio | 0.79 | 0.59 |
R-Squared | 0.9541 | 0.8831 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.38% | 7.58% |
RAR | 9.50% | 8.99% |
Profit Factor | 3.86 | 0.00 |
Percent Profit Factor | 6.30 | 0.00 |
Expectancy | $1.25 | — |
Percentage Expectancy | 0.09 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.73%) | (54.82%) |
Longest Drawdown Duration | 36.7 months | 73.5 months |
Max Monthly % Drawdown | (22.15%) | (50.54%) |
Avg of Top-5 Max % Drawdowns | (22.87%) | (35.85%) |
Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 33.2 months |
Avg of All % Drawdowns | (2.02%) | (1.94%) |
Std Dev of All % Drawdowns | 4.22% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.75%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (15.75%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (8.58%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 4.42% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 56.2% | 0.0% |
Lose Rate % | 43.8% | 0.0% |
Winning Trades | 18 | 0 |
Losing Trades | 14 | 0 |
Total Trades | 32 | 0 |
Max Consecutive Wins | 4 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 288.2 days | 0.0 days |
Avg Winning Trade Duration | 390.2 days | 0.0 days |
Avg Losing Trade Duration | 156.9 days | 0.0 days |
Largest Winning Trade | $255,900.48 | $0.00 |
Largest Losing Trade | ($51,833.25) | $0.00 |
Largest Win as % of Net Profit | 30.98% | — |
Avg Win | $61,950.17 | $0.00 |
Avg Loss | ($20,642.19) | $0.00 |
Avg Win / Loss Ratio | 3.00 | — |
Avg Trade | $25,816.01 | $0.00 |
Avg Win % | 19.56% | 0.00% |
Avg Loss % | (3.99%) | 0.00% |
Avg Trade % | 9.26% | 0.00% |
Avg Risk % | (99.49%) | 0.00% |
Avg Trades Per Year | 1.26 | 0.00 |
Avg Trades Per Month | 0.10 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.2% | 64.3% |
Losing Months % | 34.8% | 35.7% |
Winning Months | 199 | 196 |
Losing Months | 106 | 109 |
Total Months | 305 | 305 |
Max Consecutive Winning Months | 15 | 15 |
Max Consecutive Losing Months | 5 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.8% | 76.9% |
Losing Years % | 19.2% | 23.1% |
Winning Years | 21 | 20 |
Losing Years | 5 | 6 |
Total Years | 26 | 26 |
Max Consecutive Winning Years | 7 | 9 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.0% | 68.3% |
Rolling 6-Month Win Rate | 72.0% | 71.7% |
Rolling 12-Month Win Rate | 76.5% | 76.9% |
Rolling 3-Year Win Rate | 100.0% | 79.2% |
Rolling 5-Year Win Rate | 100.0% | 86.4% |
Rolling 10-Year Win Rate | 100.0% | 94.1% |
Rolling 3-Month Periods | 303 | 303 |
Rolling 6-Month Periods | 300 | 300 |
Rolling 12-Month Periods | 294 | 294 |
Rolling 3-Year Periods | 24 | 24 |
Rolling 5-Year Periods | 22 | 22 |
Rolling 10-Year Periods | 17 | 17 |