Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2023-09-22 | 2023-09-22 |
Time Elapsed | 23 years, 9 months | 23 years, 9 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $841,758.30 | $555,296.97 |
CAGR % | 9.40% | 7.50% |
Max % Drawdown | (68.13%) | (24.14%) |
Standard Deviation | 5.73% | 2.92% |
Annualized Sharpe | 0.41 | 0.47 |
MAR Ratio | 0.14 | 0.31 |
Win Rate % | 0.0% | 56.2% |
Avg Win / Loss Ratio | — | 2.56 |
Expectancy | — | $1.00 |
Avg Win % | 0.00% | 26.51% |
Avg Loss % | 0.00% | (6.20%) |
Longest Drawdown Duration | 71.1 months | 32.9 months |
Avg Trades Per Year | 0.00 | 0.67 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $841,758.30 | $555,296.97 |
Open Equity | $741,758.30 | $37,482.11 |
Gross Profit | $0.00 | $573,198.65 |
Gross Loss | $0.00 | ($174,306.09) |
Net Profit | $0.00 | $398,892.56 |
Net Long Profit | $0.00 | $398,892.56 |
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 | $18,922.30 |
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 | 1,276.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.14 | 0.31 |
Calmar Ratio | 0.14 | 0.35 |
Modified Sharpe Ratio | 0.56 | 0.77 |
Robust Sharpe Ratio | 0.46 | 0.83 |
R-Squared | 0.9009 | 0.9793 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.40% | 7.50% |
RAR | 9.04% | 8.40% |
Profit Factor | 0.00 | 3.29 |
Percent Profit Factor | 0.00 | 5.49 |
Expectancy | — | $1.00 |
Percentage Expectancy | 0.00 | 0.12 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (24.14%) |
Longest Drawdown Duration | 71.1 months | 32.9 months |
Max Monthly % Drawdown | (68.13%) | (21.48%) |
Avg of Top-5 Max % Drawdowns | (30.44%) | (18.46%) |
Avg Duration of Top-5 Longest Drawdowns | 26.4 months | 25.9 months |
Avg of All % Drawdowns | (9.27%) | (1.59%) |
Std Dev of All % Drawdowns | 13.71% | 2.71% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (12.79%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (12.52%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (9.25%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 3.22% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 56.2% |
Lose Rate % | 0.0% | 43.8% |
Winning Trades | 0 | 9 |
Losing Trades | 0 | 7 |
Total Trades | 0 | 16 |
Max Consecutive Wins | 0 | 3 |
Max Consecutive Losses | 0 | 2 |
Avg Trade Duration | 0.0 days | 379.1 days |
Avg Winning Trade Duration | 0.0 days | 636.2 days |
Avg Losing Trade Duration | 0.0 days | 48.4 days |
Largest Winning Trade | $0.00 | $188,616.32 |
Largest Losing Trade | $0.00 | ($52,117.18) |
Largest Win as % of Net Profit | — | 47.28% |
Avg Win | $0.00 | $63,688.74 |
Avg Loss | $0.00 | ($24,900.87) |
Avg Win / Loss Ratio | — | 2.56 |
Avg Trade | $0.00 | $24,930.79 |
Avg Win % | 0.00% | 26.51% |
Avg Loss % | 0.00% | (6.20%) |
Avg Trade % | 0.00% | 12.20% |
Avg Risk % | 0.00% | (99.27%) |
Avg Trades Per Year | 0.00 | 0.67 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 63.9% | 75.4% |
Losing Months % | 36.1% | 24.6% |
Winning Months | 182 | 215 |
Losing Months | 103 | 70 |
Total Months | 285 | 285 |
Max Consecutive Winning Months | 14 | 21 |
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 | 7 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.8% | 74.9% |
Rolling 6-Month Win Rate | 72.5% | 75.4% |
Rolling 12-Month Win Rate | 77.4% | 73.4% |
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 | 283 | 283 |
Rolling 6-Month Periods | 280 | 280 |
Rolling 12-Month Periods | 274 | 274 |
Rolling 3-Year Periods | 22 | 22 |
Rolling 5-Year Periods | 20 | 20 |
Rolling 10-Year Periods | 15 | 15 |