Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-26 | 2024-04-26 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $467,424.33 | $136,826.20 |
CAGR % | 6.55% | 1.30% |
Max % Drawdown | (14.90%) | (88.50%) |
Standard Deviation | 1.98% | 6.63% |
Annualized Sharpe | 0.53 | 0.05 |
MAR Ratio | 0.44 | 0.01 |
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 | 189.6 months |
Avg Trades Per Year | 4.19 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $467,424.33 | $136,826.20 |
Open Equity | $24,162.07 | $36,826.20 |
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 | $26,735.48 | $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 | 0.01 |
Calmar Ratio | 0.60 | 0.01 |
Modified Sharpe Ratio | 0.96 | 0.17 |
Robust Sharpe Ratio | 0.88 | (0.12) |
R-Squared | 0.9342 | 0.2738 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.55% | 1.30% |
RAR | 6.03% | (2.83%) |
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%) | (88.50%) |
Longest Drawdown Duration | 30.5 months | 189.6 months |
Max Monthly % Drawdown | (10.84%) | (87.18%) |
Avg of Top-5 Max % Drawdowns | (10.73%) | (40.24%) |
Avg Duration of Top-5 Longest Drawdowns | 23.7 months | 51.7 months |
Avg of All % Drawdowns | (1.35%) | (4.19%) |
Std Dev of All % Drawdowns | 2.07% | 6.80% |
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 | 4.19 | 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% | 55.8% |
Losing Months % | 34.6% | 44.2% |
Winning Months | 191 | 163 |
Losing Months | 101 | 129 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 11 | 8 |
Max Consecutive Losing Months | 4 | 8 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 84.0% | 60.0% |
Losing Years % | 16.0% | 40.0% |
Winning Years | 21 | 15 |
Losing Years | 4 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 4 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.6% | 56.2% |
Rolling 6-Month Win Rate | 74.6% | 58.2% |
Rolling 12-Month Win Rate | 77.6% | 53.4% |
Rolling 3-Year Win Rate | 100.0% | 60.9% |
Rolling 5-Year Win Rate | 100.0% | 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 |