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 | $259,281.33 | $135,386.20 |
CAGR % | 4.00% | 1.25% |
Max % Drawdown | (60.11%) | (88.50%) |
Standard Deviation | 4.83% | 6.62% |
Annualized Sharpe | 0.14 | 0.04 |
MAR Ratio | 0.07 | 0.01 |
Win Rate % | 0.0% | 0.0% |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Longest Drawdown Duration | 75.7 months | 189.4 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $259,281.33 | $135,386.20 |
Open Equity | $159,281.33 | $35,386.20 |
Gross Profit | $0.00 | $0.00 |
Gross Loss | $0.00 | $0.00 |
Net Profit | $0.00 | $0.00 |
Net Long Profit | $0.00 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
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 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.07 | 0.01 |
Calmar Ratio | 0.07 | 0.01 |
Modified Sharpe Ratio | 0.32 | 0.17 |
Robust Sharpe Ratio | 0.32 | (0.12) |
R-Squared | 0.8297 | 0.2744 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.00% | 1.25% |
RAR | 5.37% | (2.84%) |
Profit Factor | 0.00 | 0.00 |
Percent Profit Factor | 0.00 | 0.00 |
Expectancy | — | — |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.11%) | (88.50%) |
Longest Drawdown Duration | 75.7 months | 189.4 months |
Max Monthly % Drawdown | (56.36%) | (87.18%) |
Avg of Top-5 Max % Drawdowns | (39.21%) | (40.24%) |
Avg Duration of Top-5 Longest Drawdowns | 42.8 months | 51.7 months |
Avg of All % Drawdowns | (3.53%) | (4.19%) |
Std Dev of All % Drawdowns | 8.92% | 6.80% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | 0.00% |
Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 0.0% |
Lose Rate % | 0.0% | 0.0% |
Winning Trades | 0 | 0 |
Losing Trades | 0 | 0 |
Total Trades | 0 | 0 |
Max Consecutive Wins | 0 | 0 |
Max Consecutive Losses | 0 | 0 |
Avg Trade Duration | 0.0 days | 0.0 days |
Avg Winning Trade Duration | 0.0 days | 0.0 days |
Avg Losing Trade Duration | 0.0 days | 0.0 days |
Largest Winning Trade | $0.00 | $0.00 |
Largest Losing Trade | $0.00 | $0.00 |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | $0.00 |
Avg Loss | $0.00 | $0.00 |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | $0.00 |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Avg Trade % | 0.00% | 0.00% |
Avg Risk % | 0.00% | 0.00% |
Avg Trades Per Year | 0.00 | 0.00 |
Avg Trades Per Month | 0.00 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 57.5% | 55.8% |
Losing Months % | 42.5% | 44.2% |
Winning Months | 168 | 163 |
Losing Months | 124 | 129 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 13 | 8 |
Max Consecutive Losing Months | 6 | 8 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 64.0% | 60.0% |
Losing Years % | 36.0% | 40.0% |
Winning Years | 16 | 15 |
Losing Years | 9 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 5 | 4 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 59.0% | 56.2% |
Rolling 6-Month Win Rate | 62.0% | 58.2% |
Rolling 12-Month Win Rate | 61.2% | 53.4% |
Rolling 3-Year Win Rate | 73.9% | 60.9% |
Rolling 5-Year Win Rate | 85.7% | 42.9% |
Rolling 10-Year Win Rate | 100.0% | 37.5% |
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 |