| 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 |
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