Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-15 | 2024-11-15 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $372,802.94 | $106,253.66 |
CAGR % | 5.43% | 0.24% |
Max % Drawdown | (23.72%) | (42.03%) |
Standard Deviation | 1.90% | 2.33% |
Annualized Sharpe | 0.39 | (0.29) |
MAR Ratio | 0.23 | 0.01 |
Win Rate % | 0.0% | 77.3% |
Avg Win / Loss Ratio | — | 0.33 |
Expectancy | — | $0.02 |
Avg Win % | 0.00% | 0.99% |
Avg Loss % | 0.00% | (2.82%) |
Longest Drawdown Duration | 37.8 months | 278.8 months |
Avg Trades Per Year | 0.00 | 3.90 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $372,802.94 | $106,253.66 |
Open Equity | $272,802.94 | ($293.76) |
Gross Profit | $0.00 | $66,233.45 |
Gross Loss | $0.00 | ($59,686.04) |
Net Profit | $0.00 | $6,547.42 |
Net Long Profit | $0.00 | $6,547.42 |
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 | $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 | 1,814.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.23 | 0.01 |
Calmar Ratio | 0.25 | 0.01 |
Modified Sharpe Ratio | 0.84 | 0.07 |
Robust Sharpe Ratio | 0.86 | 0.02 |
R-Squared | 0.9466 | 0.0191 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.43% | 0.24% |
RAR | 5.63% | 0.19% |
Profit Factor | 0.00 | 1.11 |
Percent Profit Factor | 0.00 | 1.19 |
Expectancy | — | $0.02 |
Percentage Expectancy | 0.00 | 0.01 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (23.72%) | (42.03%) |
Longest Drawdown Duration | 37.8 months | 278.8 months |
Max Monthly % Drawdown | (21.83%) | (40.26%) |
Avg of Top-5 Max % Drawdowns | (13.21%) | (9.14%) |
Avg Duration of Top-5 Longest Drawdowns | 17.2 months | 57.4 months |
Avg of All % Drawdowns | (0.91%) | (2.74%) |
Std Dev of All % Drawdowns | 1.62% | 10.13% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (29.59%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (29.59%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (17.44%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 17.18% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 77.3% |
Lose Rate % | 0.0% | 22.7% |
Winning Trades | 0 | 75 |
Losing Trades | 0 | 22 |
Total Trades | 0 | 97 |
Max Consecutive Wins | 0 | 13 |
Max Consecutive Losses | 0 | 4 |
Avg Trade Duration | 0.0 days | 141.9 days |
Avg Winning Trade Duration | 0.0 days | 83.4 days |
Avg Losing Trade Duration | 0.0 days | 341.3 days |
Largest Winning Trade | $0.00 | $3,296.90 |
Largest Losing Trade | $0.00 | ($7,363.83) |
Largest Win as % of Net Profit | — | 50.35% |
Avg Win | $0.00 | $883.11 |
Avg Loss | $0.00 | ($2,713.00) |
Avg Win / Loss Ratio | — | 0.33 |
Avg Trade | $0.00 | $67.50 |
Avg Win % | 0.00% | 0.99% |
Avg Loss % | 0.00% | (2.82%) |
Avg Trade % | 0.00% | 0.12% |
Avg Risk % | 0.00% | (18.97%) |
Avg Trades Per Year | 0.00 | 3.90 |
Avg Trades Per Month | 0.00 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 61.9% | 65.2% |
Losing Months % | 38.1% | 34.8% |
Winning Months | 185 | 195 |
Losing Months | 114 | 104 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 10 | 23 |
Max Consecutive Losing Months | 6 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 60.0% |
Losing Years % | 20.0% | 40.0% |
Winning Years | 20 | 15 |
Losing Years | 5 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 13 | 4 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.7% | 67.7% |
Rolling 6-Month Win Rate | 74.5% | 68.4% |
Rolling 12-Month Win Rate | 83.3% | 61.8% |
Rolling 3-Year Win Rate | 87.0% | 69.6% |
Rolling 5-Year Win Rate | 100.0% | 61.9% |
Rolling 10-Year Win Rate | 100.0% | 43.8% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |