Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | — |
End Date | 2025-01-03 | — |
Time Elapsed | 25 years | — |
Starting Equity | $100,000.00 | — |
Ending Equity | $640,247.90 | — |
CAGR % | 7.71% | — |
Max % Drawdown | (54.82%) | — |
Standard Deviation | 4.38% | — |
Annualized Sharpe | 0.37 | — |
MAR Ratio | 0.14 | — |
Win Rate % | 0.0% | — |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | — |
Avg Loss % | 0.00% | — |
Longest Drawdown Duration | 73.5 months | — |
Avg Trades Per Year | 0.00 | — |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | — |
Ending Equity | $640,247.90 | — |
Open Equity | $540,247.90 | — |
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 | $0.00 | — |
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 | 0.14 | — |
Calmar Ratio | 0.15 | — |
Modified Sharpe Ratio | 0.57 | — |
Robust Sharpe Ratio | 0.58 | — |
R-Squared | 0.8781 | — |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 7.71% | — |
RAR | 8.86% | — |
Profit Factor | 0.00 | — |
Percent Profit Factor | 0.00 | — |
Expectancy | — | — |
Percentage Expectancy | 0.00 | — |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (54.82%) | — |
Longest Drawdown Duration | 73.5 months | — |
Max Monthly % Drawdown | (50.54%) | — |
Avg of Top-5 Max % Drawdowns | (35.85%) | — |
Avg Duration of Top-5 Longest Drawdowns | 33.2 months | — |
Avg of All % Drawdowns | (1.93%) | — |
Std Dev of All % Drawdowns | 5.38% | — |
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 % | 64.8% | — |
Losing Months % | 35.2% | — |
Winning Months | 195 | — |
Losing Months | 106 | — |
Total Months | 301 | — |
Max Consecutive Winning Months | 15 | — |
Max Consecutive Losing Months | 5 | — |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.9% | — |
Losing Years % | 23.1% | — |
Winning Years | 20 | — |
Losing Years | 6 | — |
Total Years | 26 | — |
Max Consecutive Winning Years | 9 | — |
Max Consecutive Losing Years | 3 | — |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.2% | — |
Rolling 6-Month Win Rate | 72.3% | — |
Rolling 12-Month Win Rate | 76.6% | — |
Rolling 3-Year Win Rate | 79.2% | — |
Rolling 5-Year Win Rate | 86.4% | — |
Rolling 10-Year Win Rate | 94.1% | — |
Rolling 3-Month Periods | 299 | — |
Rolling 6-Month Periods | 296 | — |
Rolling 12-Month Periods | 290 | — |
Rolling 3-Year Periods | 24 | — |
Rolling 5-Year Periods | 22 | — |
Rolling 10-Year Periods | 17 | — |