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Faber EXD5 TAA with Inverted Logic — 2000 to 2022

Last Update: Aug. 13, 2022 8:01 p.m. (4 days, 23 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2022-08-12 2022-08-12
Time Elapsed 22 years, 7 months 22 years, 7 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $99,145.29 $616,715.51
CAGR % (0.04%) 8.38%
Max % Drawdown (42.03%) (44.61%)
Standard Deviation 2.30% 4.70%
Annualized Sharpe (0.33) 0.39
MAR Ratio (0.00) 0.19
Win Rate % 79.5% 0.0%
Avg Win / Loss Ratio 0.27
Expectancy $0.01
Avg Win % 0.98% 0.00%
Avg Loss % (3.32%) 0.00%
Longest Drawdown Duration 263.2 months 106.5 months
Avg Trades Per Year 3.67 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $99,145.29 $616,715.51
Open Equity ($4,050.73) $516,636.40
Gross Profit $57,369.76 $0.00
Gross Loss ($54,173.73) $0.00
Net Profit $3,196.02 $0.00
Net Long Profit $3,196.02 $0.00
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 $79.11
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 1,639.0 0.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio (0.00) 0.19
Calmar Ratio (0.00) 0.20
Modified Sharpe Ratio 0.04 0.58
Robust Sharpe Ratio (0.00) 0.56
R-Squared 0.0005 0.8205
Profit Expectation
Model Benchmark
CAGR % (0.04%) 8.38%
RAR (0.04%) 9.20%
Profit Factor 1.06 0.00
Percent Profit Factor 1.15 0.00
Expectancy $0.01
Percentage Expectancy 0.01 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (42.03%) (44.61%)
Longest Drawdown Duration 263.2 months 106.5 months
Max Monthly % Drawdown (40.26%) (41.43%)
Avg of Top-5 Max % Drawdowns (8.70%) (26.68%)
Avg Duration of Top-5 Longest Drawdowns 53.4 months 38.4 months
Avg of All % Drawdowns (0.24%) (3.07%)
Std Dev of All % Drawdowns 0.18% 6.16%
Closed Equity Drawdowns
Model Benchmark
Closed-Equity Max % Drawdown (29.59%) 0.00%
Closed-Equity Max Monthly % Drawdown (29.59%) 0.00%
Closed-Equity Avg of All % Drawdown (29.59%) 0.00%
Closed-Equity Std Dev of All % Drawdown 0.00% 0.00%
Trades
Model Benchmark
Win Rate % 79.5% 0.0%
Lose Rate % 20.5% 0.0%
Winning Trades 66 0
Losing Trades 17 0
Total Trades 83 0
Max Consecutive Wins 13 0
Max Consecutive Losses 4 0
Avg Trade Duration 142.4 days 0.0 days
Avg Winning Trade Duration 84.7 days 0.0 days
Avg Losing Trade Duration 366.4 days 0.0 days
Largest Winning Trade $3,296.90 $0.00
Largest Losing Trade ($7,363.83) $0.00
Largest Win as % of Net Profit 103.16%
Avg Win $869.24 $0.00
Avg Loss ($3,186.69) $0.00
Avg Win / Loss Ratio 0.27
Avg Trade $38.51 $0.00
Avg Win % 0.98% 0.00%
Avg Loss % (3.32%) 0.00%
Avg Trade % 0.10% 0.00%
Avg Risk % (18.91%) 0.00%
Avg Trades Per Year 3.67 0.00
Avg Trades Per Month 0.31 0.00
Avg Trades Per Day 0.01 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 65.4% 57.4%
Losing Months % 34.6% 42.6%
Winning Months 178 156
Losing Months 94 116
Total Months 272 272
Max Consecutive Winning Months 23 6
Max Consecutive Losing Months 6 6
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 56.5% 69.6%
Losing Years % 43.5% 30.4%
Winning Years 13 16
Losing Years 10 7
Total Years 23 23
Max Consecutive Winning Years 4 12
Max Consecutive Losing Years 3 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 67.8% 60.0%
Rolling 6-Month Win Rate 67.4% 67.0%
Rolling 12-Month Win Rate 61.3% 70.5%
Rolling 3-Year Win Rate 66.7% 81.0%
Rolling 5-Year Win Rate 57.9% 84.2%
Rolling 10-Year Win Rate 35.7% 100.0%
Rolling 3-Month Periods 270 270
Rolling 6-Month Periods 267 267
Rolling 12-Month Periods 261 261
Rolling 3-Year Periods 21 21
Rolling 5-Year Periods 19 19
Rolling 10-Year Periods 14 14
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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New Open Orders

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