Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-03 | 2024-05-03 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $465,678.20 | $547,436.02 |
CAGR % | 6.53% | 7.24% |
Max % Drawdown | (14.90%) | (54.82%) |
Standard Deviation | 1.98% | 4.41% |
Annualized Sharpe | 0.52 | 0.34 |
MAR Ratio | 0.44 | 0.13 |
Win Rate % | 46.2% | 0.0% |
Avg Win / Loss Ratio | 3.49 | — |
Expectancy | $1.07 | — |
Avg Win % | 4.40% | 0.00% |
Avg Loss % | (0.93%) | 0.00% |
Longest Drawdown Duration | 30.5 months | 73.5 months |
Avg Trades Per Year | 4.27 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $465,678.20 | $547,436.02 |
Open Equity | $24,049.83 | $447,436.02 |
Gross Profit | $473,061.29 | $0.00 |
Gross Loss | ($158,238.91) | $0.00 |
Net Profit | $314,822.38 | $0.00 |
Net Long Profit | $314,822.38 | $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 | $26,805.00 | $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 | 1,085.0 | 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 | 0.60 | 0.14 |
Modified Sharpe Ratio | 0.96 | 0.53 |
Robust Sharpe Ratio | 0.88 | 0.56 |
R-Squared | 0.9343 | 0.8700 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.53% | 7.24% |
RAR | 6.03% | 8.62% |
Profit Factor | 2.99 | 0.00 |
Percent Profit Factor | 4.06 | 0.00 |
Expectancy | $1.07 | — |
Percentage Expectancy | 0.08 | 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 | 23.8 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 | (2.80%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 2.71% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 46.2% | 0.0% |
Lose Rate % | 53.8% | 0.0% |
Winning Trades | 48 | 0 |
Losing Trades | 56 | 0 |
Total Trades | 104 | 0 |
Max Consecutive Wins | 6 | 0 |
Max Consecutive Losses | 8 | 0 |
Avg Trade Duration | 283.9 days | 0.0 days |
Avg Winning Trade Duration | 523.5 days | 0.0 days |
Avg Losing Trade Duration | 78.4 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 | 19.42% | — |
Avg Win | $9,855.44 | $0.00 |
Avg Loss | ($2,825.69) | $0.00 |
Avg Win / Loss Ratio | 3.49 | — |
Avg Trade | $3,027.14 | $0.00 |
Avg Win % | 4.40% | 0.00% |
Avg Loss % | (0.93%) | 0.00% |
Avg Trade % | 1.53% | 0.00% |
Avg Risk % | (18.05%) | 0.00% |
Avg Trades Per Year | 4.27 | 0.00 |
Avg Trades Per Month | 0.36 | 0.00 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.5% | 64.5% |
Losing Months % | 34.5% | 35.5% |
Winning Months | 192 | 189 |
Losing Months | 101 | 104 |
Total Months | 293 | 293 |
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 | 66.3% | 68.4% |
Rolling 6-Month Win Rate | 74.7% | 71.5% |
Rolling 12-Month Win Rate | 77.7% | 75.9% |
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 | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |