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 | $846,471.53 | $461,845.54 |
CAGR % | 9.34% | 6.60% |
Max % Drawdown | (68.13%) | (10.05%) |
Standard Deviation | 5.76% | 1.93% |
Annualized Sharpe | 0.40 | 0.55 |
MAR Ratio | 0.14 | 0.66 |
Win Rate % | 0.0% | 51.6% |
Avg Win / Loss Ratio | — | 3.18 |
Expectancy | — | $1.16 |
Avg Win % | 0.00% | 4.42% |
Avg Loss % | 0.00% | (1.01%) |
Longest Drawdown Duration | 71.1 months | 28.1 months |
Avg Trades Per Year | 0.00 | 3.89 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $846,471.53 | $461,845.54 |
Open Equity | $746,471.53 | ($5,912.39) |
Gross Profit | $0.00 | $484,561.20 |
Gross Loss | $0.00 | ($143,009.10) |
Net Profit | $0.00 | $341,552.11 |
Net Long Profit | $0.00 | $341,552.11 |
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 | $0.00 | $26,205.82 |
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 | 3,889.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.14 | 0.66 |
Calmar Ratio | 0.14 | 0.72 |
Modified Sharpe Ratio | 0.55 | 0.99 |
Robust Sharpe Ratio | 0.45 | 0.97 |
R-Squared | 0.8998 | 0.9450 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.34% | 6.60% |
RAR | 8.97% | 6.46% |
Profit Factor | 0.00 | 3.39 |
Percent Profit Factor | 0.00 | 4.67 |
Expectancy | — | $1.16 |
Percentage Expectancy | 0.00 | 0.44 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (10.05%) |
Longest Drawdown Duration | 71.1 months | 28.1 months |
Max Monthly % Drawdown | (68.13%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (31.07%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 26.9 months | 22.4 months |
Avg of All % Drawdowns | (9.27%) | (1.03%) |
Std Dev of All % Drawdowns | 13.71% | 1.72% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (8.74%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (8.74%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (2.91%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.60% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 51.6% |
Lose Rate % | 0.0% | 48.4% |
Winning Trades | 0 | 48 |
Losing Trades | 0 | 45 |
Total Trades | 0 | 93 |
Max Consecutive Wins | 0 | 9 |
Max Consecutive Losses | 0 | 8 |
Avg Trade Duration | 0.0 days | 319.3 days |
Avg Winning Trade Duration | 0.0 days | 541.3 days |
Avg Losing Trade Duration | 0.0 days | 82.5 days |
Largest Winning Trade | $0.00 | $61,124.70 |
Largest Losing Trade | $0.00 | ($8,254.00) |
Largest Win as % of Net Profit | — | 17.90% |
Avg Win | $0.00 | $10,095.03 |
Avg Loss | $0.00 | ($3,177.98) |
Avg Win / Loss Ratio | — | 3.18 |
Avg Trade | $0.00 | $3,672.60 |
Avg Win % | 0.00% | 4.42% |
Avg Loss % | 0.00% | (1.01%) |
Avg Trade % | 0.00% | 1.79% |
Avg Risk % | 0.00% | (4.09%) |
Avg Trades Per Year | 0.00 | 3.89 |
Avg Trades Per Month | 0.00 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 63.5% | 68.1% |
Losing Months % | 36.5% | 31.9% |
Winning Months | 183 | 196 |
Losing Months | 105 | 92 |
Total Months | 288 | 288 |
Max Consecutive Winning Months | 14 | 12 |
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 | 9 | 8 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.8% | 67.8% |
Rolling 6-Month Win Rate | 71.7% | 73.5% |
Rolling 12-Month Win Rate | 76.5% | 79.8% |
Rolling 3-Year Win Rate | 86.4% | 100.0% |
Rolling 5-Year Win Rate | 85.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
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 |