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Faber Ivy5 TAA with Inverted Logic — 2000 to 2021

Last Update: Oct. 16, 2021 7:05 p.m. (5 days, 14 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2021-10-15 2021-10-15
Time Elapsed 21 years, 9 months 21 years, 9 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $441,111.82 $458,716.13
CAGR % 7.05% 7.24%
Max % Drawdown (14.90%) (54.82%)
Standard Deviation 1.95% 4.30%
Annualized Sharpe 0.60 0.35
MAR Ratio 0.47 0.13
Win Rate % 47.1% 0.0%
Avg Win / Loss Ratio 3.20
Expectancy $0.98
Avg Win % 4.20% 0.00%
Avg Loss % (0.94%) 0.00%
Longest Drawdown Duration 30.5 months 73.5 months
Avg Trades Per Year 3.99 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $441,111.82 $458,716.13
Open Equity $110,992.91 $358,716.13
Gross Profit $335,684.24 $0.00
Gross Loss ($117,629.75) $0.00
Net Profit $218,054.48 $0.00
Net Long Profit $218,054.48 $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 $12,064.42 $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 902.0 0.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.47 0.13
Calmar Ratio 0.65 0.14
Modified Sharpe Ratio 1.04 0.54
Robust Sharpe Ratio 0.91 0.53
R-Squared 0.9159 0.8239
Profit Expectation
Model Benchmark
CAGR % 7.05% 7.24%
RAR 6.14% 7.84%
Profit Factor 2.85 0.00
Percent Profit Factor 3.99 0.00
Expectancy $0.98
Percentage Expectancy 0.08 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (14.90%) (54.82%)
Longest Drawdown Duration 30.5 months 73.5 months
Max Monthly % Drawdown (10.84%) (50.54%)
Avg of Top-5 Max % Drawdowns (10.71%) (33.54%)
Avg Duration of Top-5 Longest Drawdowns 21.0 months 29.7 months
Avg of All % Drawdowns (1.33%) (1.96%)
Std Dev of All % Drawdowns 2.08% 5.63%
Closed Equity Drawdowns
Model Benchmark
Closed-Equity Max % Drawdown (8.54%) 0.00%
Closed-Equity Max Monthly % Drawdown (8.54%) 0.00%
Closed-Equity Avg of All % Drawdown (2.92%) 0.00%
Closed-Equity Std Dev of All % Drawdown 2.40% 0.00%
Trades
Model Benchmark
Win Rate % 47.1% 0.0%
Lose Rate % 52.9% 0.0%
Winning Trades 41 0
Losing Trades 46 0
Total Trades 87 0
Max Consecutive Wins 6 0
Max Consecutive Losses 8 0
Avg Trade Duration 296.4 days 0.0 days
Avg Winning Trade Duration 538.8 days 0.0 days
Avg Losing Trade Duration 80.4 days 0.0 days
Largest Winning Trade $35,849.10 $0.00
Largest Losing Trade ($9,079.40) $0.00
Largest Win as % of Net Profit 16.44%
Avg Win $8,187.42 $0.00
Avg Loss ($2,557.17) $0.00
Avg Win / Loss Ratio 3.20
Avg Trade $2,506.37 $0.00
Avg Win % 4.20% 0.00%
Avg Loss % (0.94%) 0.00%
Avg Trade % 1.48% 0.00%
Avg Risk % (17.99%) 0.00%
Avg Trades Per Year 3.99 0.00
Avg Trades Per Month 0.33 0.00
Avg Trades Per Day 0.01 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 67.2% 65.3%
Losing Months % 32.8% 34.7%
Winning Months 176 171
Losing Months 86 91
Total Months 262 262
Max Consecutive Winning Months 11 15
Max Consecutive Losing Months 4 5
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 86.4% 77.3%
Losing Years % 13.6% 22.7%
Winning Years 19 17
Losing Years 3 5
Total Years 22 22
Max Consecutive Winning Years 8 9
Max Consecutive Losing Years 1 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 67.3% 69.2%
Rolling 6-Month Win Rate 75.9% 72.0%
Rolling 12-Month Win Rate 78.1% 77.3%
Rolling 3-Year Win Rate 100.0% 75.0%
Rolling 5-Year Win Rate 100.0% 83.3%
Rolling 10-Year Win Rate 100.0% 92.3%
Rolling 3-Month Periods 260 260
Rolling 6-Month Periods 257 257
Rolling 12-Month Periods 251 251
Rolling 3-Year Periods 20 20
Rolling 5-Year Periods 18 18
Rolling 10-Year Periods 13 13
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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New Open Orders

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