| 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 |
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