Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-12 | 2024-04-12 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $470,942.99 | $546,780.40 |
CAGR % | 6.59% | 7.25% |
Max % Drawdown | (14.90%) | (54.82%) |
Standard Deviation | 1.97% | 4.41% |
Annualized Sharpe | 0.54 | 0.34 |
MAR Ratio | 0.44 | 0.13 |
Win Rate % | 46.1% | 0.0% |
Avg Win / Loss Ratio | 3.56 | — |
Expectancy | $1.10 | — |
Avg Win % | 4.49% | 0.00% |
Avg Loss % | (0.93%) | 0.00% |
Longest Drawdown Duration | 30.5 months | 73.5 months |
Avg Trades Per Year | 4.20 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $470,942.99 | $546,780.40 |
Open Equity | $27,686.29 | $446,780.40 |
Gross Profit | $471,807.94 | $0.00 |
Gross Loss | ($155,281.16) | $0.00 |
Net Profit | $316,526.78 | $0.00 |
Net Long Profit | $316,526.78 | $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 | $26,729.93 | $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 | 1,069.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.44 | 0.13 |
Calmar Ratio | 0.61 | 0.14 |
Modified Sharpe Ratio | 0.97 | 0.53 |
Robust Sharpe Ratio | 0.88 | 0.56 |
R-Squared | 0.9340 | 0.8692 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.59% | 7.25% |
RAR | 6.03% | 8.60% |
Profit Factor | 3.04 | 0.00 |
Percent Profit Factor | 4.11 | 0.00 |
Expectancy | $1.10 | — |
Percentage Expectancy | 0.09 | 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 | (10.73%) | (35.85%) |
Avg Duration of Top-5 Longest Drawdowns | 23.6 months | 33.2 months |
Avg of All % Drawdowns | (1.35%) | (1.97%) |
Std Dev of All % Drawdowns | 2.07% | 5.54% |
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 | (2.79%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 2.71% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 46.1% | 0.0% |
Lose Rate % | 53.9% | 0.0% |
Winning Trades | 47 | 0 |
Losing Trades | 55 | 0 |
Total Trades | 102 | 0 |
Max Consecutive Wins | 6 | 0 |
Max Consecutive Losses | 8 | 0 |
Avg Trade Duration | 286.8 days | 0.0 days |
Avg Winning Trade Duration | 531.4 days | 0.0 days |
Avg Losing Trade Duration | 77.7 days | 0.0 days |
Largest Winning Trade | $61,124.70 | $0.00 |
Largest Losing Trade | ($9,079.40) | $0.00 |
Largest Win as % of Net Profit | 19.31% | — |
Avg Win | $10,038.47 | $0.00 |
Avg Loss | ($2,823.29) | $0.00 |
Avg Win / Loss Ratio | 3.56 | — |
Avg Trade | $3,103.20 | $0.00 |
Avg Win % | 4.49% | 0.00% |
Avg Loss % | (0.93%) | 0.00% |
Avg Trade % | 1.57% | 0.00% |
Avg Risk % | (18.02%) | 0.00% |
Avg Trades Per Year | 4.20 | 0.00 |
Avg Trades Per Month | 0.35 | 0.00 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.4% | 64.4% |
Losing Months % | 34.6% | 35.6% |
Winning Months | 191 | 188 |
Losing Months | 101 | 104 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 11 | 15 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 84.0% | 76.0% |
Losing Years % | 16.0% | 24.0% |
Winning Years | 21 | 19 |
Losing Years | 4 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 9 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.6% | 68.3% |
Rolling 6-Month Win Rate | 74.6% | 71.4% |
Rolling 12-Month Win Rate | 77.6% | 75.8% |
Rolling 3-Year Win Rate | 100.0% | 78.3% |
Rolling 5-Year Win Rate | 100.0% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 93.8% |
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 |