Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-12-13 | 2024-12-13 |
Time Elapsed | 24 years, 11 months | 24 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $500,552.43 | $526,772.08 |
CAGR % | 6.67% | 6.89% |
Max % Drawdown | (14.90%) | (10.05%) |
Standard Deviation | 1.97% | 1.93% |
Annualized Sharpe | 0.55 | 0.59 |
MAR Ratio | 0.45 | 0.69 |
Win Rate % | 47.2% | 51.5% |
Avg Win / Loss Ratio | 3.43 | 3.11 |
Expectancy | $1.09 | $1.12 |
Avg Win % | 4.28% | 4.30% |
Avg Loss % | (0.93%) | (1.00%) |
Longest Drawdown Duration | 30.5 months | 28.1 months |
Avg Trades Per Year | 4.25 | 3.89 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $500,552.43 | $526,772.08 |
Open Equity | $45,962.04 | $51,892.72 |
Gross Profit | $483,946.44 | $496,765.06 |
Gross Loss | ($158,238.91) | ($150,311.49) |
Net Profit | $325,707.53 | $346,453.57 |
Net Long Profit | $325,707.53 | $346,453.57 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | 100.0% | 100.0% |
Net Short Profit as % of Net Profit | 0.0% | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $28,882.86 | $28,425.78 |
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 | 1,120.0 | 3,965.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.45 | 0.69 |
Calmar Ratio | 0.62 | 0.76 |
Modified Sharpe Ratio | 0.98 | 1.03 |
Robust Sharpe Ratio | 0.88 | 0.95 |
R-Squared | 0.9378 | 0.9486 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.67% | 6.89% |
RAR | 6.00% | 6.37% |
Profit Factor | 3.06 | 3.30 |
Percent Profit Factor | 4.11 | 4.57 |
Expectancy | $1.09 | $1.12 |
Percentage Expectancy | 0.08 | 0.42 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (14.90%) | (10.05%) |
Longest Drawdown Duration | 30.5 months | 28.1 months |
Max Monthly % Drawdown | (10.84%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (10.73%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 23.8 months |
Avg of All % Drawdowns | (1.36%) | (1.05%) |
Std Dev of All % Drawdowns | 2.10% | 1.78% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (8.54%) | (8.74%) |
Closed-Equity Max Monthly % Drawdown | (8.54%) | (8.74%) |
Closed-Equity Avg of All % Drawdown | (2.80%) | (2.74%) |
Closed-Equity Std Dev of All % Drawdown | 2.71% | 2.50% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 47.2% | 51.5% |
Lose Rate % | 52.8% | 48.5% |
Winning Trades | 50 | 50 |
Losing Trades | 56 | 47 |
Total Trades | 106 | 97 |
Max Consecutive Wins | 6 | 9 |
Max Consecutive Losses | 8 | 8 |
Avg Trade Duration | 284.0 days | 315.3 days |
Avg Winning Trade Duration | 514.2 days | 531.3 days |
Avg Losing Trade Duration | 78.4 days | 85.5 days |
Largest Winning Trade | $61,124.70 | $61,124.70 |
Largest Losing Trade | ($9,079.40) | ($8,254.00) |
Largest Win as % of Net Profit | 18.77% | 17.64% |
Avg Win | $9,678.93 | $9,935.30 |
Avg Loss | ($2,825.69) | ($3,198.12) |
Avg Win / Loss Ratio | 3.43 | 3.11 |
Avg Trade | $3,072.71 | $3,571.69 |
Avg Win % | 4.28% | 4.30% |
Avg Loss % | (0.93%) | (1.00%) |
Avg Trade % | 1.53% | 1.73% |
Avg Risk % | (18.07%) | (4.10%) |
Avg Trades Per Year | 4.25 | 3.89 |
Avg Trades Per Month | 0.35 | 0.32 |
Avg Trades Per Day | 0.01 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.7% | 68.3% |
Losing Months % | 34.3% | 31.7% |
Winning Months | 197 | 205 |
Losing Months | 103 | 95 |
Total Months | 300 | 300 |
Max Consecutive Winning Months | 11 | 12 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 84.0% | 80.0% |
Losing Years % | 16.0% | 20.0% |
Winning Years | 21 | 20 |
Losing Years | 4 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 8 |
Max Consecutive Losing Years | 1 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 67.1% | 68.8% |
Rolling 6-Month Win Rate | 75.3% | 74.6% |
Rolling 12-Month Win Rate | 78.2% | 81.0% |
Rolling 3-Year Win Rate | 100.0% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 298 | 298 |
Rolling 6-Month Periods | 295 | 295 |
Rolling 12-Month Periods | 289 | 289 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |