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 | $882,254.21 |
CAGR % | 9.70% | 9.84% |
Max % Drawdown | (68.13%) | (21.03%) |
Standard Deviation | 5.77% | 3.57% |
Annualized Sharpe | 0.42 | 0.58 |
MAR Ratio | 0.14 | 0.47 |
Win Rate % | 0.0% | 62.5% |
Avg Win / Loss Ratio | — | 3.04 |
Expectancy | — | $1.52 |
Avg Win % | 0.00% | 29.42% |
Avg Loss % | 0.00% | (4.87%) |
Longest Drawdown Duration | 71.1 months | 35.9 months |
Avg Trades Per Year | 0.00 | 0.69 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $856,300.15 | $882,254.21 |
Open Equity | $756,300.15 | $0.00 |
Gross Profit | $0.00 | $933,870.76 |
Gross Loss | $0.00 | ($184,581.73) |
Net Profit | $0.00 | $749,289.03 |
Net Long Profit | $0.00 | $749,289.03 |
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 | $32,965.19 |
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 | 1,690.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.14 | 0.47 |
Calmar Ratio | 0.14 | 0.47 |
Modified Sharpe Ratio | 0.57 | 0.82 |
Robust Sharpe Ratio | 0.46 | 0.81 |
R-Squared | 0.9000 | 0.9256 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.70% | 9.84% |
RAR | 9.18% | 10.04% |
Profit Factor | 0.00 | 5.06 |
Percent Profit Factor | 0.00 | 10.08 |
Expectancy | — | $1.52 |
Percentage Expectancy | 0.00 | 0.17 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (21.03%) |
Longest Drawdown Duration | 71.1 months | 35.9 months |
Max Monthly % Drawdown | (68.13%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (30.44%) | (16.69%) |
Avg Duration of Top-5 Longest Drawdowns | 25.1 months | 23.9 months |
Avg of All % Drawdowns | (9.27%) | (6.65%) |
Std Dev of All % Drawdowns | 13.71% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (10.50%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (10.42%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (6.50%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 62.5% |
Lose Rate % | 0.0% | 37.5% |
Winning Trades | 0 | 10 |
Losing Trades | 0 | 6 |
Total Trades | 0 | 16 |
Max Consecutive Wins | 0 | 3 |
Max Consecutive Losses | 0 | 2 |
Avg Trade Duration | 0.0 days | 384.0 days |
Avg Winning Trade Duration | 0.0 days | 565.9 days |
Avg Losing Trade Duration | 0.0 days | 80.8 days |
Largest Winning Trade | $0.00 | $216,040.20 |
Largest Losing Trade | $0.00 | ($55,980.54) |
Largest Win as % of Net Profit | — | 28.83% |
Avg Win | $0.00 | $93,387.08 |
Avg Loss | $0.00 | ($30,763.62) |
Avg Win / Loss Ratio | — | 3.04 |
Avg Trade | $0.00 | $46,830.56 |
Avg Win % | 0.00% | 29.42% |
Avg Loss % | 0.00% | (4.87%) |
Avg Trade % | 0.00% | 16.57% |
Avg Risk % | 0.00% | (99.53%) |
Avg Trades Per Year | 0.00 | 0.69 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 64.2% | 74.2% |
Losing Months % | 35.8% | 25.8% |
Winning Months | 179 | 207 |
Losing Months | 100 | 72 |
Total Months | 279 | 279 |
Max Consecutive Winning Months | 14 | 18 |
Max Consecutive Losing Months | 4 | 3 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 79.2% | 62.5% |
Losing Years % | 20.8% | 37.5% |
Winning Years | 19 | 15 |
Losing Years | 5 | 9 |
Total Years | 24 | 24 |
Max Consecutive Winning Years | 9 | 7 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 67.1% | 71.1% |
Rolling 6-Month Win Rate | 73.0% | 71.5% |
Rolling 12-Month Win Rate | 78.7% | 76.5% |
Rolling 3-Year Win Rate | 86.4% | 95.5% |
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 |