Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-17 | 2024-05-17 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $135,099.28 | $278,296.29 |
CAGR % | 1.24% | 4.29% |
Max % Drawdown | (88.50%) | (60.11%) |
Standard Deviation | 6.61% | 4.82% |
Annualized Sharpe | 0.04 | 0.16 |
MAR Ratio | 0.01 | 0.07 |
Win Rate % | 0.0% | 0.0% |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Longest Drawdown Duration | 190.3 months | 75.7 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $135,099.28 | $278,296.29 |
Open Equity | $35,099.28 | $178,296.29 |
Gross Profit | $0.00 | $0.00 |
Gross Loss | $0.00 | $0.00 |
Net Profit | $0.00 | $0.00 |
Net Long Profit | $0.00 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $0.00 | $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 | 0.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.01 | 0.07 |
Calmar Ratio | 0.01 | 0.08 |
Modified Sharpe Ratio | 0.17 | 0.34 |
Robust Sharpe Ratio | (0.12) | 0.32 |
R-Squared | 0.2721 | 0.8313 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 1.24% | 4.29% |
RAR | (2.81%) | 5.38% |
Profit Factor | 0.00 | 0.00 |
Percent Profit Factor | 0.00 | 0.00 |
Expectancy | — | — |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (88.50%) | (60.11%) |
Longest Drawdown Duration | 190.3 months | 75.7 months |
Max Monthly % Drawdown | (87.18%) | (56.36%) |
Avg of Top-5 Max % Drawdowns | (40.24%) | (39.21%) |
Avg Duration of Top-5 Longest Drawdowns | 51.9 months | 42.8 months |
Avg of All % Drawdowns | (4.19%) | (3.52%) |
Std Dev of All % Drawdowns | 6.80% | 8.84% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | 0.00% |
Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 0.0% |
Lose Rate % | 0.0% | 0.0% |
Winning Trades | 0 | 0 |
Losing Trades | 0 | 0 |
Total Trades | 0 | 0 |
Max Consecutive Wins | 0 | 0 |
Max Consecutive Losses | 0 | 0 |
Avg Trade Duration | 0.0 days | 0.0 days |
Avg Winning Trade Duration | 0.0 days | 0.0 days |
Avg Losing Trade Duration | 0.0 days | 0.0 days |
Largest Winning Trade | $0.00 | $0.00 |
Largest Losing Trade | $0.00 | $0.00 |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | $0.00 |
Avg Loss | $0.00 | $0.00 |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | $0.00 |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Avg Trade % | 0.00% | 0.00% |
Avg Risk % | 0.00% | 0.00% |
Avg Trades Per Year | 0.00 | 0.00 |
Avg Trades Per Month | 0.00 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 56.0% | 57.7% |
Losing Months % | 44.0% | 42.3% |
Winning Months | 164 | 169 |
Losing Months | 129 | 124 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 8 | 13 |
Max Consecutive Losing Months | 8 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 64.0% |
Losing Years % | 40.0% | 36.0% |
Winning Years | 15 | 16 |
Losing Years | 10 | 9 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 4 | 5 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 56.4% | 59.1% |
Rolling 6-Month Win Rate | 58.3% | 62.2% |
Rolling 12-Month Win Rate | 53.5% | 61.3% |
Rolling 3-Year Win Rate | 60.9% | 73.9% |
Rolling 5-Year Win Rate | 42.9% | 85.7% |
Rolling 10-Year Win Rate | 37.5% | 100.0% |
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 |