| 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 | $146,947.75 |
| CAGR % | 9.34% | 1.62% |
| Max % Drawdown | (68.13%) | (41.31%) |
| Standard Deviation | 5.76% | 3.11% |
| Annualized Sharpe | 0.40 | (0.07) |
| MAR Ratio | 0.14 | 0.04 |
| Win Rate % | 0.0% | 75.0% |
| Avg Win / Loss Ratio | — | 0.55 |
| Expectancy | — | $0.17 |
| Avg Win % | 0.00% | 7.00% |
| Avg Loss % | 0.00% | (12.13%) |
| Longest Drawdown Duration | 71.1 months | 202.6 months |
| Avg Trades Per Year | 0.00 | 1.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $846,471.53 | $146,947.75 |
| Open Equity | $746,471.53 | $0.00 |
| Gross Profit | $0.00 | $117,845.35 |
| Gross Loss | $0.00 | ($70,897.60) |
| Net Profit | $0.00 | $46,947.75 |
| Net Long Profit | $0.00 | $46,947.75 |
| 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 | $0.00 |
| 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 | 830.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.14 | 0.04 |
| Calmar Ratio | 0.14 | 0.04 |
| Modified Sharpe Ratio | 0.55 | 0.20 |
| Robust Sharpe Ratio | 0.45 | 0.21 |
| R-Squared | 0.8998 | 0.5397 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.34% | 1.62% |
| RAR | 8.97% | 2.28% |
| Profit Factor | 0.00 | 1.66 |
| Percent Profit Factor | 0.00 | 1.73 |
| Expectancy | — | $0.17 |
| Percentage Expectancy | 0.00 | 0.02 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (68.13%) | (41.31%) |
| Longest Drawdown Duration | 71.1 months | 202.6 months |
| Max Monthly % Drawdown | (68.13%) | (38.17%) |
| Avg of Top-5 Max % Drawdowns | (31.07%) | (19.07%) |
| Avg Duration of Top-5 Longest Drawdowns | 26.9 months | 49.9 months |
| Avg of All % Drawdowns | (9.27%) | (3.06%) |
| Std Dev of All % Drawdowns | 13.71% | 6.75% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (29.90%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (29.90%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (29.90%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 75.0% |
| Lose Rate % | 0.0% | 25.0% |
| Winning Trades | 0 | 18 |
| Losing Trades | 0 | 6 |
| Total Trades | 0 | 24 |
| Max Consecutive Wins | 0 | 10 |
| Max Consecutive Losses | 0 | 3 |
| Avg Trade Duration | 0.0 days | 183.0 days |
| Avg Winning Trade Duration | 0.0 days | 183.9 days |
| Avg Losing Trade Duration | 0.0 days | 184.0 days |
| Largest Winning Trade | $0.00 | $18,641.80 |
| Largest Losing Trade | $0.00 | ($28,267.54) |
| Largest Win as % of Net Profit | — | 39.71% |
| Avg Win | $0.00 | $6,546.96 |
| Avg Loss | $0.00 | ($11,816.27) |
| Avg Win / Loss Ratio | — | 0.55 |
| Avg Trade | $0.00 | $1,956.16 |
| Avg Win % | 0.00% | 7.00% |
| Avg Loss % | 0.00% | (12.13%) |
| Avg Trade % | 0.00% | 2.22% |
| Avg Risk % | 0.00% | (98.31%) |
| Avg Trades Per Year | 0.00 | 1.00 |
| Avg Trades Per Month | 0.00 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 63.5% | 79.5% |
| Losing Months % | 36.5% | 20.5% |
| Winning Months | 183 | 229 |
| Losing Months | 105 | 59 |
| Total Months | 288 | 288 |
| Max Consecutive Winning Months | 14 | 23 |
| 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 | 10 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.8% | 72.7% |
| Rolling 6-Month Win Rate | 71.7% | 67.8% |
| Rolling 12-Month Win Rate | 76.5% | 70.8% |
| Rolling 3-Year Win Rate | 86.4% | 68.2% |
| Rolling 5-Year Win Rate | 85.0% | 70.0% |
| Rolling 10-Year Win Rate | 100.0% | 80.0% |
| 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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