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 | $333,752.84 |
CAGR % | 9.70% | 5.33% |
Max % Drawdown | (68.13%) | (35.30%) |
Standard Deviation | 5.77% | 3.05% |
Annualized Sharpe | 0.42 | 0.26 |
MAR Ratio | 0.14 | 0.15 |
Win Rate % | 0.0% | 77.3% |
Avg Win / Loss Ratio | — | 1.00 |
Expectancy | — | $0.55 |
Avg Win % | 0.00% | 9.43% |
Avg Loss % | 0.00% | (8.86%) |
Longest Drawdown Duration | 71.1 months | 37.4 months |
Avg Trades Per Year | 0.00 | 0.95 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $856,300.15 | $333,752.84 |
Open Equity | $756,300.15 | $3,715.53 |
Gross Profit | $0.00 | $293,209.03 |
Gross Loss | $0.00 | ($85,809.46) |
Net Profit | $0.00 | $207,399.57 |
Net Long Profit | $0.00 | $207,399.57 |
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 | $22,637.74 |
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 | 1,317.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.14 | 0.15 |
Calmar Ratio | 0.14 | 0.18 |
Modified Sharpe Ratio | 0.57 | 0.54 |
Robust Sharpe Ratio | 0.46 | 0.62 |
R-Squared | 0.9000 | 0.9519 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.70% | 5.33% |
RAR | 9.18% | 6.57% |
Profit Factor | 0.00 | 3.42 |
Percent Profit Factor | 0.00 | 3.62 |
Expectancy | — | $0.55 |
Percentage Expectancy | 0.00 | 0.05 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (35.30%) |
Longest Drawdown Duration | 71.1 months | 37.4 months |
Max Monthly % Drawdown | (68.13%) | (29.83%) |
Avg of Top-5 Max % Drawdowns | (30.44%) | (25.32%) |
Avg Duration of Top-5 Longest Drawdowns | 25.1 months | 22.0 months |
Avg of All % Drawdowns | (9.27%) | (1.70%) |
Std Dev of All % Drawdowns | 13.71% | 4.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (16.57%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (16.57%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (12.71%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.84% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 77.3% |
Lose Rate % | 0.0% | 22.7% |
Winning Trades | 0 | 17 |
Losing Trades | 0 | 5 |
Total Trades | 0 | 22 |
Max Consecutive Wins | 0 | 10 |
Max Consecutive Losses | 0 | 2 |
Avg Trade Duration | 0.0 days | 181.3 days |
Avg Winning Trade Duration | 0.0 days | 181.3 days |
Avg Losing Trade Duration | 0.0 days | 181.2 days |
Largest Winning Trade | $0.00 | $78,378.06 |
Largest Losing Trade | $0.00 | ($34,858.81) |
Largest Win as % of Net Profit | — | 37.79% |
Avg Win | $0.00 | $17,247.59 |
Avg Loss | $0.00 | ($17,161.89) |
Avg Win / Loss Ratio | — | 1.00 |
Avg Trade | $0.00 | $9,427.25 |
Avg Win % | 0.00% | 9.43% |
Avg Loss % | 0.00% | (8.86%) |
Avg Trade % | 0.00% | 5.27% |
Avg Risk % | 0.00% | (99.09%) |
Avg Trades Per Year | 0.00 | 0.95 |
Avg Trades Per Month | 0.00 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 64.2% | 81.7% |
Losing Months % | 35.8% | 18.3% |
Winning Months | 179 | 228 |
Losing Months | 100 | 51 |
Total Months | 279 | 279 |
Max Consecutive Winning Months | 14 | 23 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 79.2% | 79.2% |
Losing Years % | 20.8% | 20.8% |
Winning Years | 19 | 19 |
Losing Years | 5 | 5 |
Total Years | 24 | 24 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 67.1% | 79.1% |
Rolling 6-Month Win Rate | 73.0% | 72.6% |
Rolling 12-Month Win Rate | 78.7% | 76.5% |
Rolling 3-Year Win Rate | 86.4% | 90.9% |
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 |