Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2023-12-08 | 2023-12-08 |
Time Elapsed | 23 years, 11 months | 23 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $445,234.64 | $489,064.28 |
CAGR % | 6.44% | 6.86% |
Max % Drawdown | (14.90%) | (54.82%) |
Standard Deviation | 1.97% | 4.42% |
Annualized Sharpe | 0.51 | 0.32 |
MAR Ratio | 0.43 | 0.13 |
Win Rate % | 46.5% | 0.0% |
Avg Win / Loss Ratio | 3.63 | — |
Expectancy | $1.15 | — |
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 | 4.22 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $445,234.64 | $489,064.28 |
Open Equity | ($3,053.50) | $389,064.28 |
Gross Profit | $471,807.94 | $0.00 |
Gross Loss | ($149,508.16) | $0.00 |
Net Profit | $322,299.78 | $0.00 |
Net Long Profit | $322,299.78 | $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 | $25,988.37 | $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 | 1,044.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.43 | 0.13 |
Calmar Ratio | 0.59 | 0.14 |
Modified Sharpe Ratio | 0.95 | 0.51 |
Robust Sharpe Ratio | 0.89 | 0.55 |
R-Squared | 0.9324 | 0.8640 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.44% | 6.86% |
RAR | 6.06% | 8.49% |
Profit Factor | 3.16 | 0.00 |
Percent Profit Factor | 4.21 | 0.00 |
Expectancy | $1.15 | — |
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 | 22.8 months | 33.2 months |
Avg of All % Drawdowns | (1.35%) | (1.94%) |
Std Dev of All % Drawdowns | 2.07% | 5.52% |
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 % | 46.5% | 0.0% |
Lose Rate % | 53.5% | 0.0% |
Winning Trades | 47 | 0 |
Losing Trades | 54 | 0 |
Total Trades | 101 | 0 |
Max Consecutive Wins | 6 | 0 |
Max Consecutive Losses | 8 | 0 |
Avg Trade Duration | 288.1 days | 0.0 days |
Avg Winning Trade Duration | 531.4 days | 0.0 days |
Avg Losing Trade Duration | 76.3 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 | 18.97% | — |
Avg Win | $10,038.47 | $0.00 |
Avg Loss | ($2,768.67) | $0.00 |
Avg Win / Loss Ratio | 3.63 | — |
Avg Trade | $3,191.09 | $0.00 |
Avg Win % | 4.49% | 0.00% |
Avg Loss % | (0.93%) | 0.00% |
Avg Trade % | 1.59% | 0.00% |
Avg Risk % | (18.01%) | 0.00% |
Avg Trades Per Year | 4.22 | 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 % | 65.6% | 64.2% |
Losing Months % | 34.4% | 35.8% |
Winning Months | 189 | 185 |
Losing Months | 99 | 103 |
Total Months | 288 | 288 |
Max Consecutive Winning Months | 11 | 15 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 79.2% | 75.0% |
Losing Years % | 20.8% | 25.0% |
Winning Years | 19 | 18 |
Losing Years | 5 | 6 |
Total Years | 24 | 24 |
Max Consecutive Winning Years | 8 | 9 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 65.7% | 67.8% |
Rolling 6-Month Win Rate | 74.6% | 71.0% |
Rolling 12-Month Win Rate | 76.9% | 75.5% |
Rolling 3-Year Win Rate | 100.0% | 77.3% |
Rolling 5-Year Win Rate | 100.0% | 85.0% |
Rolling 10-Year Win Rate | 100.0% | 93.3% |
Rolling 3-Month Periods | 286 | 286 |
Rolling 6-Month Periods | 283 | 283 |
Rolling 12-Month Periods | 277 | 277 |
Rolling 3-Year Periods | 22 | 22 |
Rolling 5-Year Periods | 20 | 20 |
Rolling 10-Year Periods | 15 | 15 |