Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-10 | 2024-05-10 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $470,008.91 | $74,403.99 |
CAGR % | 6.56% | (1.21%) |
Max % Drawdown | (14.90%) | (48.93%) |
Standard Deviation | 1.98% | 3.37% |
Annualized Sharpe | 0.53 | (0.30) |
MAR Ratio | 0.44 | (0.02) |
Win Rate % | 46.2% | 58.3% |
Avg Win / Loss Ratio | 3.49 | 0.55 |
Expectancy | $1.07 | ($0.10) |
Avg Win % | 4.40% | 9.29% |
Avg Loss % | (0.93%) | (13.62%) |
Longest Drawdown Duration | 30.5 months | 191.7 months |
Avg Trades Per Year | 4.27 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $470,008.91 | $74,403.99 |
Open Equity | $28,219.63 | $2,364.40 |
Gross Profit | $473,061.29 | $92,861.85 |
Gross Loss | ($158,238.91) | ($120,822.26) |
Net Profit | $314,822.38 | ($27,960.42) |
Net Long Profit | $314,822.38 | ($27,960.42) |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | 100.0% | 100.0% |
Net Short Profit as % of Net Profit | 0.0% | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $26,966.90 | $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 | 1,085.0 | 360.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.44 | (0.02) |
Calmar Ratio | 0.61 | (0.03) |
Modified Sharpe Ratio | 0.96 | (0.04) |
Robust Sharpe Ratio | 0.88 | (0.04) |
R-Squared | 0.9343 | 0.0765 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.56% | (1.21%) |
RAR | 6.03% | (0.47%) |
Profit Factor | 2.99 | 0.77 |
Percent Profit Factor | 4.06 | 0.96 |
Expectancy | $1.07 | ($0.10) |
Percentage Expectancy | 0.08 | (0.00) |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (14.90%) | (48.93%) |
Longest Drawdown Duration | 30.5 months | 191.7 months |
Max Monthly % Drawdown | (10.84%) | (41.16%) |
Avg of Top-5 Max % Drawdowns | (10.73%) | (25.62%) |
Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 71.9 months |
Avg of All % Drawdowns | (1.35%) | (17.84%) |
Std Dev of All % Drawdowns | 2.07% | 23.47% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (8.54%) | (38.72%) |
Closed-Equity Max Monthly % Drawdown | (8.54%) | (38.72%) |
Closed-Equity Avg of All % Drawdown | (2.80%) | (38.72%) |
Closed-Equity Std Dev of All % Drawdown | 2.71% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 46.2% | 58.3% |
Lose Rate % | 53.8% | 41.7% |
Winning Trades | 48 | 14 |
Losing Trades | 56 | 10 |
Total Trades | 104 | 24 |
Max Consecutive Wins | 6 | 5 |
Max Consecutive Losses | 8 | 3 |
Avg Trade Duration | 283.9 days | 183.0 days |
Avg Winning Trade Duration | 523.5 days | 183.7 days |
Avg Losing Trade Duration | 78.4 days | 184.3 days |
Largest Winning Trade | $61,124.70 | $18,925.42 |
Largest Losing Trade | ($9,079.40) | ($39,151.52) |
Largest Win as % of Net Profit | 19.42% | (67.69%) |
Avg Win | $9,855.44 | $6,632.99 |
Avg Loss | ($2,825.69) | ($12,082.23) |
Avg Win / Loss Ratio | 3.49 | 0.55 |
Avg Trade | $3,027.14 | ($1,165.02) |
Avg Win % | 4.40% | 9.29% |
Avg Loss % | (0.93%) | (13.62%) |
Avg Trade % | 1.53% | (0.25%) |
Avg Risk % | (18.05%) | (96.40%) |
Avg Trades Per Year | 4.27 | 0.99 |
Avg Trades Per Month | 0.36 | 0.08 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.5% | 73.7% |
Losing Months % | 34.5% | 26.3% |
Winning Months | 192 | 216 |
Losing Months | 101 | 77 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 11 | 14 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 84.0% | 60.0% |
Losing Years % | 16.0% | 40.0% |
Winning Years | 21 | 15 |
Losing Years | 4 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 5 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.7% | 65.3% |
Rolling 6-Month Win Rate | 74.7% | 52.8% |
Rolling 12-Month Win Rate | 77.7% | 56.7% |
Rolling 3-Year Win Rate | 100.0% | 52.2% |
Rolling 5-Year Win Rate | 100.0% | 38.1% |
Rolling 10-Year Win Rate | 100.0% | 37.5% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |