Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $909,506.40 | $290,924.46 |
CAGR % | 9.51% | 4.49% |
Max % Drawdown | (68.13%) | (14.87%) |
Standard Deviation | 5.75% | 1.42% |
Annualized Sharpe | 0.41 | 0.32 |
MAR Ratio | 0.14 | 0.30 |
Win Rate % | 0.0% | 68.8% |
Avg Win / Loss Ratio | — | 2.10 |
Expectancy | — | $1.13 |
Avg Win % | 0.00% | 11.80% |
Avg Loss % | 0.00% | (3.22%) |
Longest Drawdown Duration | 71.1 months | 39.5 months |
Avg Trades Per Year | 0.00 | 0.66 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $909,506.40 | $290,924.46 |
Open Equity | $809,506.40 | ($14.70) |
Gross Profit | $0.00 | $221,289.47 |
Gross Loss | $0.00 | ($47,865.59) |
Net Profit | $0.00 | $173,423.88 |
Net Long Profit | $0.00 | $173,423.88 |
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 | $17,515.28 |
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 | 12,205.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.14 | 0.30 |
Calmar Ratio | 0.14 | 0.33 |
Modified Sharpe Ratio | 0.56 | 0.92 |
Robust Sharpe Ratio | 0.45 | 1.05 |
R-Squared | 0.9011 | 0.9488 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.51% | 4.49% |
RAR | 8.89% | 5.18% |
Profit Factor | 0.00 | 4.62 |
Percent Profit Factor | 0.00 | 8.05 |
Expectancy | — | $1.13 |
Percentage Expectancy | 0.00 | 0.07 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (14.87%) |
Longest Drawdown Duration | 71.1 months | 39.5 months |
Max Monthly % Drawdown | (68.13%) | (13.69%) |
Avg of Top-5 Max % Drawdowns | (31.07%) | (9.87%) |
Avg Duration of Top-5 Longest Drawdowns | 27.8 months | 21.4 months |
Avg of All % Drawdowns | (9.27%) | (0.88%) |
Std Dev of All % Drawdowns | 13.71% | 1.48% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (10.49%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (10.14%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (6.18%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.47% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 68.8% |
Lose Rate % | 0.0% | 31.2% |
Winning Trades | 0 | 11 |
Losing Trades | 0 | 5 |
Total Trades | 0 | 16 |
Max Consecutive Wins | 0 | 5 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 417.7 days |
Avg Winning Trade Duration | 0.0 days | 555.5 days |
Avg Losing Trade Duration | 0.0 days | 114.6 days |
Largest Winning Trade | $0.00 | $85,604.87 |
Largest Losing Trade | $0.00 | ($15,771.66) |
Largest Win as % of Net Profit | — | 49.36% |
Avg Win | $0.00 | $20,117.22 |
Avg Loss | $0.00 | ($9,573.12) |
Avg Win / Loss Ratio | — | 2.10 |
Avg Trade | $0.00 | $10,838.99 |
Avg Win % | 0.00% | 11.80% |
Avg Loss % | 0.00% | (3.22%) |
Avg Trade % | 0.00% | 7.10% |
Avg Risk % | 0.00% | (99.94%) |
Avg Trades Per Year | 0.00 | 0.66 |
Avg Trades Per Month | 0.00 | 0.05 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 63.7% | 69.2% |
Losing Months % | 36.3% | 30.8% |
Winning Months | 186 | 202 |
Losing Months | 106 | 90 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 14 | 12 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 68.0% |
Losing Years % | 24.0% | 32.0% |
Winning Years | 19 | 17 |
Losing Years | 6 | 8 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 7 |
Max Consecutive Losing Years | 2 | 4 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.9% | 69.7% |
Rolling 6-Month Win Rate | 72.5% | 70.0% |
Rolling 12-Month Win Rate | 76.5% | 74.7% |
Rolling 3-Year Win Rate | 82.6% | 91.3% |
Rolling 5-Year Win Rate | 85.7% | 95.2% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 290 | 290 |
Rolling 6-Month Periods | 287 | 287 |
Rolling 12-Month Periods | 281 | 281 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |