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 | $334,138.14 |
CAGR % | 9.34% | 5.17% |
Max % Drawdown | (68.13%) | (28.57%) |
Standard Deviation | 5.76% | 3.08% |
Annualized Sharpe | 0.40 | 0.25 |
MAR Ratio | 0.14 | 0.18 |
Win Rate % | 0.0% | 38.9% |
Avg Win / Loss Ratio | — | 4.44 |
Expectancy | — | $1.11 |
Avg Win % | 0.00% | 33.57% |
Avg Loss % | 0.00% | (5.29%) |
Longest Drawdown Duration | 71.1 months | 48.9 months |
Avg Trades Per Year | 0.00 | 0.75 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $846,471.53 | $334,138.14 |
Open Equity | $746,471.53 | $1,283.23 |
Gross Profit | $0.00 | $330,750.35 |
Gross Loss | $0.00 | ($117,116.58) |
Net Profit | $0.00 | $213,633.77 |
Net Long Profit | $0.00 | $213,633.77 |
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 | $19,221.13 |
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 | 637.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.14 | 0.18 |
Calmar Ratio | 0.14 | 0.20 |
Modified Sharpe Ratio | 0.55 | 0.53 |
Robust Sharpe Ratio | 0.45 | 0.49 |
R-Squared | 0.8998 | 0.8083 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.34% | 5.17% |
RAR | 8.97% | 5.26% |
Profit Factor | 0.00 | 2.82 |
Percent Profit Factor | 0.00 | 4.04 |
Expectancy | — | $1.11 |
Percentage Expectancy | 0.00 | 0.10 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (28.57%) |
Longest Drawdown Duration | 71.1 months | 48.9 months |
Max Monthly % Drawdown | (68.13%) | (26.50%) |
Avg of Top-5 Max % Drawdowns | (31.07%) | (21.46%) |
Avg Duration of Top-5 Longest Drawdowns | 26.9 months | 37.9 months |
Avg of All % Drawdowns | (9.27%) | (2.70%) |
Std Dev of All % Drawdowns | 13.71% | 4.77% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (14.59%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (14.59%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (8.06%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 38.9% |
Lose Rate % | 0.0% | 61.1% |
Winning Trades | 0 | 7 |
Losing Trades | 0 | 11 |
Total Trades | 0 | 18 |
Max Consecutive Wins | 0 | 3 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 311.1 days |
Avg Winning Trade Duration | 0.0 days | 642.9 days |
Avg Losing Trade Duration | 0.0 days | 99.9 days |
Largest Winning Trade | $0.00 | $126,225.36 |
Largest Losing Trade | $0.00 | ($32,828.35) |
Largest Win as % of Net Profit | — | 59.08% |
Avg Win | $0.00 | $47,250.05 |
Avg Loss | $0.00 | ($10,646.96) |
Avg Win / Loss Ratio | — | 4.44 |
Avg Trade | $0.00 | $11,868.54 |
Avg Win % | 0.00% | 33.57% |
Avg Loss % | 0.00% | (5.29%) |
Avg Trade % | 0.00% | 9.82% |
Avg Risk % | 0.00% | (98.28%) |
Avg Trades Per Year | 0.00 | 0.75 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 63.5% | 72.2% |
Losing Months % | 36.5% | 27.8% |
Winning Months | 183 | 208 |
Losing Months | 105 | 80 |
Total Months | 288 | 288 |
Max Consecutive Winning Months | 14 | 22 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 79.2% | 54.2% |
Losing Years % | 20.8% | 45.8% |
Winning Years | 19 | 13 |
Losing Years | 5 | 11 |
Total Years | 24 | 24 |
Max Consecutive Winning Years | 9 | 5 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.8% | 68.5% |
Rolling 6-Month Win Rate | 71.7% | 64.0% |
Rolling 12-Month Win Rate | 76.5% | 60.6% |
Rolling 3-Year Win Rate | 86.4% | 86.4% |
Rolling 5-Year Win Rate | 85.0% | 80.0% |
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 |