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 | $530,207.62 | $472,778.68 |
CAGR % | 7.11% | 6.60% |
Max % Drawdown | (54.82%) | (33.47%) |
Standard Deviation | 4.42% | 3.19% |
Annualized Sharpe | 0.33 | 0.37 |
MAR Ratio | 0.13 | 0.20 |
Win Rate % | 0.0% | 73.9% |
Avg Win / Loss Ratio | — | 1.04 |
Expectancy | — | $0.51 |
Avg Win % | 0.00% | 11.28% |
Avg Loss % | 0.00% | (8.58%) |
Longest Drawdown Duration | 73.5 months | 41.8 months |
Avg Trades Per Year | 0.00 | 0.95 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $530,207.62 | $472,778.68 |
Open Equity | $430,207.62 | $60,708.30 |
Gross Profit | $0.00 | $418,210.11 |
Gross Loss | $0.00 | ($142,169.87) |
Net Profit | $0.00 | $276,040.24 |
Net Long Profit | $0.00 | $276,040.24 |
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 | $0.00 | $36,030.14 |
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 | 862.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.13 | 0.20 |
Calmar Ratio | 0.14 | 0.25 |
Modified Sharpe Ratio | 0.53 | 0.63 |
Robust Sharpe Ratio | 0.56 | 0.59 |
R-Squared | 0.8695 | 0.9603 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 7.11% | 6.60% |
RAR | 8.61% | 6.51% |
Profit Factor | 0.00 | 2.94 |
Percent Profit Factor | 0.00 | 3.73 |
Expectancy | — | $0.51 |
Percentage Expectancy | 0.00 | 0.06 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (54.82%) | (33.47%) |
Longest Drawdown Duration | 73.5 months | 41.8 months |
Max Monthly % Drawdown | (50.54%) | (26.06%) |
Avg of Top-5 Max % Drawdowns | (35.85%) | (23.64%) |
Avg Duration of Top-5 Longest Drawdowns | 33.2 months | 24.3 months |
Avg of All % Drawdowns | (1.97%) | (2.28%) |
Std Dev of All % Drawdowns | 5.54% | 4.78% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (15.43%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (15.43%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (10.15%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 73.9% |
Lose Rate % | 0.0% | 26.1% |
Winning Trades | 0 | 17 |
Losing Trades | 0 | 6 |
Total Trades | 0 | 23 |
Max Consecutive Wins | 0 | 6 |
Max Consecutive Losses | 0 | 2 |
Avg Trade Duration | 0.0 days | 181.3 days |
Avg Winning Trade Duration | 0.0 days | 181.2 days |
Avg Losing Trade Duration | 0.0 days | 181.3 days |
Largest Winning Trade | $0.00 | $81,648.82 |
Largest Losing Trade | $0.00 | ($53,296.88) |
Largest Win as % of Net Profit | — | 29.58% |
Avg Win | $0.00 | $24,600.59 |
Avg Loss | $0.00 | ($23,694.98) |
Avg Win / Loss Ratio | — | 1.04 |
Avg Trade | $0.00 | $12,001.75 |
Avg Win % | 0.00% | 11.28% |
Avg Loss % | 0.00% | (8.58%) |
Avg Trade % | 0.00% | 6.10% |
Avg Risk % | 0.00% | (98.70%) |
Avg Trades Per Year | 0.00 | 0.95 |
Avg Trades Per Month | 0.00 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 64.4% | 78.1% |
Losing Months % | 35.6% | 21.9% |
Winning Months | 188 | 228 |
Losing Months | 104 | 64 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 15 | 14 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 80.0% |
Losing Years % | 24.0% | 20.0% |
Winning Years | 19 | 20 |
Losing Years | 6 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.3% | 76.2% |
Rolling 6-Month Win Rate | 71.4% | 70.0% |
Rolling 12-Month Win Rate | 75.8% | 75.1% |
Rolling 3-Year Win Rate | 78.3% | 95.7% |
Rolling 5-Year Win Rate | 85.7% | 100.0% |
Rolling 10-Year Win Rate | 93.8% | 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 |