| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-03-17 | 2023-03-17 |
| Time Elapsed | 23 years, 2 months | 23 years, 2 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $856,300.15 | $457,884.14 |
| CAGR % | 9.70% | 6.78% |
| Max % Drawdown | (68.13%) | (10.05%) |
| Standard Deviation | 5.77% | 1.94% |
| Annualized Sharpe | 0.42 | 0.57 |
| MAR Ratio | 0.14 | 0.67 |
| Win Rate % | 0.0% | 51.7% |
| Avg Win / Loss Ratio | — | 3.26 |
| Expectancy | — | $1.20 |
| Avg Win % | 0.00% | 4.58% |
| Avg Loss % | 0.00% | (1.03%) |
| Longest Drawdown Duration | 71.1 months | 28.1 months |
| Avg Trades Per Year | 0.00 | 3.84 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $856,300.15 | $457,884.14 |
| Open Equity | $756,300.15 | ($2,906.92) |
| Gross Profit | $0.00 | $477,584.82 |
| Gross Loss | $0.00 | ($137,069.52) |
| Net Profit | $0.00 | $340,515.30 |
| Net Long Profit | $0.00 | $340,515.30 |
| 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 | $20,275.76 |
| 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 | 3,631.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.14 | 0.67 |
| Calmar Ratio | 0.14 | 0.74 |
| Modified Sharpe Ratio | 0.57 | 1.01 |
| Robust Sharpe Ratio | 0.46 | 0.98 |
| R-Squared | 0.9000 | 0.9429 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.70% | 6.78% |
| RAR | 9.18% | 6.54% |
| Profit Factor | 0.00 | 3.48 |
| Percent Profit Factor | 0.00 | 4.77 |
| Expectancy | — | $1.20 |
| Percentage Expectancy | 0.00 | 0.46 |
| 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 | (30.44%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 25.1 months | 20.7 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% | 51.7% |
| Lose Rate % | 0.0% | 48.3% |
| Winning Trades | 0 | 46 |
| Losing Trades | 0 | 43 |
| Total Trades | 0 | 89 |
| Max Consecutive Wins | 0 | 9 |
| Max Consecutive Losses | 0 | 8 |
| Avg Trade Duration | 0.0 days | 324.5 days |
| Avg Winning Trade Duration | 0.0 days | 552.3 days |
| Avg Losing Trade Duration | 0.0 days | 80.7 days |
| Largest Winning Trade | $0.00 | $61,124.70 |
| Largest Losing Trade | $0.00 | ($8,254.00) |
| Largest Win as % of Net Profit | — | 17.95% |
| Avg Win | $0.00 | $10,382.28 |
| Avg Loss | $0.00 | ($3,187.66) |
| Avg Win / Loss Ratio | — | 3.26 |
| Avg Trade | $0.00 | $3,826.01 |
| Avg Win % | 0.00% | 4.58% |
| Avg Loss % | 0.00% | (1.03%) |
| Avg Trade % | 0.00% | 1.87% |
| Avg Risk % | 0.00% | (4.08%) |
| Avg Trades Per Year | 0.00 | 3.84 |
| Avg Trades Per Month | 0.00 | 0.32 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 64.2% | 68.8% |
| Losing Months % | 35.8% | 31.2% |
| Winning Months | 179 | 192 |
| Losing Months | 100 | 87 |
| Total Months | 279 | 279 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| 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 | 67.1% | 68.2% |
| Rolling 6-Month Win Rate | 73.0% | 74.1% |
| Rolling 12-Month Win Rate | 78.7% | 81.3% |
| 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 | 277 | 277 |
| Rolling 6-Month Periods | 274 | 274 |
| Rolling 12-Month Periods | 268 | 268 |
| Rolling 3-Year Periods | 22 | 22 |
| Rolling 5-Year Periods | 20 | 20 |
| Rolling 10-Year Periods | 15 | 15 |
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