| 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 | $399,414.67 |
| CAGR % | 9.34% | 5.96% |
| Max % Drawdown | (68.13%) | (35.30%) |
| Standard Deviation | 5.76% | 3.05% |
| Annualized Sharpe | 0.40 | 0.32 |
| MAR Ratio | 0.14 | 0.17 |
| Win Rate % | 0.0% | 78.3% |
| Avg Win / Loss Ratio | — | 1.03 |
| Expectancy | — | $0.59 |
| Avg Win % | 0.00% | 9.32% |
| Avg Loss % | 0.00% | (8.86%) |
| Longest Drawdown Duration | 71.1 months | 37.4 months |
| Avg Trades Per Year | 0.00 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $846,471.53 | $399,414.67 |
| Open Equity | $746,471.53 | $35,720.40 |
| Gross Profit | $0.00 | $318,273.55 |
| Gross Loss | $0.00 | ($85,809.46) |
| Net Profit | $0.00 | $232,464.09 |
| Net Long Profit | $0.00 | $232,464.09 |
| 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 | $31,230.18 |
| 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 | 1,356.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.14 | 0.17 |
| Calmar Ratio | 0.14 | 0.20 |
| Modified Sharpe Ratio | 0.55 | 0.60 |
| Robust Sharpe Ratio | 0.45 | 0.62 |
| R-Squared | 0.8998 | 0.9559 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.34% | 5.96% |
| RAR | 8.97% | 6.57% |
| Profit Factor | 0.00 | 3.71 |
| Percent Profit Factor | 0.00 | 3.79 |
| Expectancy | — | $0.59 |
| 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 | (31.07%) | (25.32%) |
| Avg Duration of Top-5 Longest Drawdowns | 26.9 months | 24.5 months |
| Avg of All % Drawdowns | (9.27%) | (1.74%) |
| Std Dev of All % Drawdowns | 13.71% | 4.43% |
| 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% | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 78.3% |
| Lose Rate % | 0.0% | 21.7% |
| Winning Trades | 0 | 18 |
| Losing Trades | 0 | 5 |
| Total Trades | 0 | 23 |
| 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 | — | 33.72% |
| Avg Win | $0.00 | $17,681.86 |
| Avg Loss | $0.00 | ($17,161.89) |
| Avg Win / Loss Ratio | — | 1.03 |
| Avg Trade | $0.00 | $10,107.13 |
| Avg Win % | 0.00% | 9.32% |
| Avg Loss % | 0.00% | (8.86%) |
| Avg Trade % | 0.00% | 5.37% |
| Avg Risk % | 0.00% | (99.03%) |
| Avg Trades Per Year | 0.00 | 0.96 |
| 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% | 82.6% |
| Losing Months % | 36.5% | 17.4% |
| Winning Months | 183 | 238 |
| Losing Months | 105 | 50 |
| 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% | 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 | 66.8% | 79.7% |
| Rolling 6-Month Win Rate | 71.7% | 73.5% |
| Rolling 12-Month Win Rate | 76.5% | 77.3% |
| 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 | 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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