| 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 |
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