Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-17 | 2024-05-17 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $838,356.22 | $196,919.04 |
CAGR % | 9.12% | 2.82% |
Max % Drawdown | (68.13%) | (28.42%) |
Standard Deviation | 5.77% | 1.42% |
Annualized Sharpe | 0.39 | (0.01) |
MAR Ratio | 0.13 | 0.10 |
Win Rate % | 0.0% | 0.0% |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Longest Drawdown Duration | 71.1 months | 50.2 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $838,356.22 | $196,919.04 |
Open Equity | $738,356.22 | $96,919.04 |
Gross Profit | $0.00 | $0.00 |
Gross Loss | $0.00 | $0.00 |
Net Profit | $0.00 | $0.00 |
Net Long Profit | $0.00 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $0.00 | $0.00 |
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 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.13 | 0.10 |
Calmar Ratio | 0.13 | 0.11 |
Modified Sharpe Ratio | 0.54 | 0.59 |
Robust Sharpe Ratio | 0.44 | 0.68 |
R-Squared | 0.9011 | 0.8213 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.12% | 2.82% |
RAR | 8.87% | 3.33% |
Profit Factor | 0.00 | 0.00 |
Percent Profit Factor | 0.00 | 0.00 |
Expectancy | — | — |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (68.13%) | (28.42%) |
Longest Drawdown Duration | 71.1 months | 50.2 months |
Max Monthly % Drawdown | (68.13%) | (26.56%) |
Avg of Top-5 Max % Drawdowns | (31.07%) | (10.68%) |
Avg Duration of Top-5 Longest Drawdowns | 27.9 months | 22.3 months |
Avg of All % Drawdowns | (9.27%) | (0.55%) |
Std Dev of All % Drawdowns | 13.71% | 1.01% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | 0.00% |
Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 0.0% |
Lose Rate % | 0.0% | 0.0% |
Winning Trades | 0 | 0 |
Losing Trades | 0 | 0 |
Total Trades | 0 | 0 |
Max Consecutive Wins | 0 | 0 |
Max Consecutive Losses | 0 | 0 |
Avg Trade Duration | 0.0 days | 0.0 days |
Avg Winning Trade Duration | 0.0 days | 0.0 days |
Avg Losing Trade Duration | 0.0 days | 0.0 days |
Largest Winning Trade | $0.00 | $0.00 |
Largest Losing Trade | $0.00 | $0.00 |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | $0.00 |
Avg Loss | $0.00 | $0.00 |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | $0.00 |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Avg Trade % | 0.00% | 0.00% |
Avg Risk % | 0.00% | 0.00% |
Avg Trades Per Year | 0.00 | 0.00 |
Avg Trades Per Month | 0.00 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 63.5% | 63.8% |
Losing Months % | 36.5% | 36.2% |
Winning Months | 186 | 187 |
Losing Months | 107 | 106 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 14 | 15 |
Max Consecutive Losing Months | 4 | 7 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 80.0% |
Losing Years % | 24.0% | 20.0% |
Winning Years | 19 | 20 |
Losing Years | 6 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 13 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.3% | 70.1% |
Rolling 6-Month Win Rate | 72.2% | 74.3% |
Rolling 12-Month Win Rate | 76.2% | 78.7% |
Rolling 3-Year Win Rate | 82.6% | 87.0% |
Rolling 5-Year Win Rate | 85.7% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 87.5% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |