Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2021-04-09 | 2021-04-09 |
Time Elapsed | 21 years, 3 months | 21 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $238,751.51 | $81,420.65 |
CAGR % | 4.18% | (0.96%) |
Max % Drawdown | (60.11%) | (48.93%) |
Standard Deviation | 4.82% | 3.41% |
Annualized Sharpe | 0.15 | (0.27) |
MAR Ratio | 0.07 | (0.02) |
Win Rate % | 0.0% | 61.9% |
Avg Win / Loss Ratio | — | 0.51 |
Expectancy | — | ($0.07) |
Avg Win % | 0.00% | 9.63% |
Avg Loss % | 0.00% | (14.99%) |
Longest Drawdown Duration | 75.7 months | 154.7 months |
Avg Trades Per Year | 0.00 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $238,751.51 | $81,420.65 |
Open Equity | $138,751.51 | $0.00 |
Gross Profit | $0.00 | $88,919.42 |
Gross Loss | $0.00 | ($107,498.78) |
Net Profit | $0.00 | ($18,579.35) |
Net Long Profit | $0.00 | ($18,579.35) |
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 | 336.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.07 | (0.02) |
Calmar Ratio | 0.07 | (0.02) |
Modified Sharpe Ratio | 0.33 | (0.02) |
Robust Sharpe Ratio | 0.32 | (0.06) |
R-Squared | 0.7680 | 0.1277 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.18% | (0.96%) |
RAR | 5.30% | (0.73%) |
Profit Factor | 0.00 | 0.83 |
Percent Profit Factor | 0.00 | 1.04 |
Expectancy | — | ($0.07) |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.11%) | (48.93%) |
Longest Drawdown Duration | 75.7 months | 154.7 months |
Max Monthly % Drawdown | (56.36%) | (41.16%) |
Avg of Top-5 Max % Drawdowns | (37.52%) | (25.62%) |
Avg Duration of Top-5 Longest Drawdowns | 39.4 months | 62.7 months |
Avg of All % Drawdowns | (3.59%) | (17.84%) |
Std Dev of All % Drawdowns | 9.23% | 23.47% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (38.72%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (38.72%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (38.72%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 61.9% |
Lose Rate % | 0.0% | 38.1% |
Winning Trades | 0 | 13 |
Losing Trades | 0 | 8 |
Total Trades | 0 | 21 |
Max Consecutive Wins | 0 | 5 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 184.1 days |
Avg Winning Trade Duration | 0.0 days | 183.8 days |
Avg Losing Trade Duration | 0.0 days | 184.5 days |
Largest Winning Trade | $0.00 | $18,925.42 |
Largest Losing Trade | $0.00 | ($39,151.52) |
Largest Win as % of Net Profit | — | (101.86%) |
Avg Win | $0.00 | $6,839.96 |
Avg Loss | $0.00 | ($13,437.35) |
Avg Win / Loss Ratio | — | 0.51 |
Avg Trade | $0.00 | ($884.73) |
Avg Win % | 0.00% | 9.63% |
Avg Loss % | 0.00% | (14.99%) |
Avg Trade % | 0.00% | 0.25% |
Avg Risk % | 0.00% | (96.52%) |
Avg Trades Per Year | 0.00 | 0.99 |
Avg Trades Per Month | 0.00 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 57.4% | 73.4% |
Losing Months % | 42.6% | 26.6% |
Winning Months | 147 | 188 |
Losing Months | 109 | 68 |
Total Months | 256 | 256 |
Max Consecutive Winning Months | 13 | 14 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 63.6% | 63.6% |
Losing Years % | 36.4% | 36.4% |
Winning Years | 14 | 14 |
Losing Years | 8 | 8 |
Total Years | 22 | 22 |
Max Consecutive Winning Years | 5 | 5 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 58.7% | 65.0% |
Rolling 6-Month Win Rate | 62.2% | 53.0% |
Rolling 12-Month Win Rate | 60.4% | 60.0% |
Rolling 3-Year Win Rate | 70.0% | 55.0% |
Rolling 5-Year Win Rate | 83.3% | 33.3% |
Rolling 10-Year Win Rate | 100.0% | 30.8% |
Rolling 3-Month Periods | 254 | 254 |
Rolling 6-Month Periods | 251 | 251 |
Rolling 12-Month Periods | 245 | 245 |
Rolling 3-Year Periods | 20 | 20 |
Rolling 5-Year Periods | 18 | 18 |
Rolling 10-Year Periods | 13 | 13 |