| 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 | $316,768.63 |
| CAGR % | (0.04%) | 5.23% |
| Max % Drawdown | (42.03%) | (28.57%) |
| Standard Deviation | 2.30% | 3.07% |
| Annualized Sharpe | (0.33) | 0.25 |
| MAR Ratio | (0.00) | 0.18 |
| Win Rate % | 79.5% | 35.3% |
| Avg Win / Loss Ratio | 0.27 | 5.01 |
| Expectancy | $0.01 | $1.12 |
| Avg Win % | 0.98% | 38.62% |
| Avg Loss % | (3.32%) | (5.29%) |
| Longest Drawdown Duration | 263.2 months | 48.9 months |
| Avg Trades Per Year | 3.67 | 0.75 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $99,145.29 | $316,768.63 |
| Open Equity | ($4,050.73) | $0.00 |
| Gross Profit | $57,369.76 | $320,306.98 |
| Gross Loss | ($54,173.73) | ($117,116.58) |
| Net Profit | $3,196.02 | $203,190.40 |
| Net Long Profit | $3,196.02 | $203,190.40 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | 100.0% | 100.0% |
| Net Short Profit as % of Net Profit | 0.0% | 0.0% |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $0.00 | $13,578.24 |
| 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 | 603.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.00) | 0.18 |
| Calmar Ratio | (0.00) | 0.20 |
| Modified Sharpe Ratio | 0.04 | 0.53 |
| Robust Sharpe Ratio | (0.00) | 0.51 |
| R-Squared | 0.0005 | 0.7925 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.04%) | 5.23% |
| RAR | (0.04%) | 5.40% |
| Profit Factor | 1.06 | 2.73 |
| Percent Profit Factor | 1.15 | 3.98 |
| Expectancy | $0.01 | $1.12 |
| Percentage Expectancy | 0.01 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (28.57%) |
| Longest Drawdown Duration | 263.2 months | 48.9 months |
| Max Monthly % Drawdown | (40.26%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (8.70%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 53.4 months | 37.9 months |
| Avg of All % Drawdowns | (0.24%) | (2.68%) |
| Std Dev of All % Drawdowns | 0.18% | 4.84% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (29.59%) | (9.35%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 79.5% | 35.3% |
| Lose Rate % | 20.5% | 64.7% |
| Winning Trades | 66 | 6 |
| Losing Trades | 17 | 11 |
| Total Trades | 83 | 17 |
| Max Consecutive Wins | 13 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 142.4 days | 311.4 days |
| Avg Winning Trade Duration | 84.7 days | 699.2 days |
| Avg Losing Trade Duration | 366.4 days | 99.9 days |
| Largest Winning Trade | $3,296.90 | $126,225.36 |
| Largest Losing Trade | ($7,363.83) | ($32,828.35) |
| Largest Win as % of Net Profit | 103.16% | 62.12% |
| Avg Win | $869.24 | $53,384.50 |
| Avg Loss | ($3,186.69) | ($10,646.96) |
| Avg Win / Loss Ratio | 0.27 | 5.01 |
| Avg Trade | $38.51 | $11,952.38 |
| Avg Win % | 0.98% | 38.62% |
| Avg Loss % | (3.32%) | (5.29%) |
| Avg Trade % | 0.10% | 10.21% |
| Avg Risk % | (18.91%) | (98.29%) |
| Avg Trades Per Year | 3.67 | 0.75 |
| Avg Trades Per Month | 0.31 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.4% | 72.8% |
| Losing Months % | 34.6% | 27.2% |
| Winning Months | 178 | 198 |
| Losing Months | 94 | 74 |
| Total Months | 272 | 272 |
| Max Consecutive Winning Months | 23 | 22 |
| Max Consecutive Losing Months | 6 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 56.5% | 52.2% |
| Losing Years % | 43.5% | 47.8% |
| Winning Years | 13 | 12 |
| Losing Years | 10 | 11 |
| Total Years | 23 | 23 |
| Max Consecutive Winning Years | 4 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.8% | 68.5% |
| Rolling 6-Month Win Rate | 67.4% | 63.7% |
| Rolling 12-Month Win Rate | 61.3% | 59.8% |
| Rolling 3-Year Win Rate | 66.7% | 85.7% |
| Rolling 5-Year Win Rate | 57.9% | 78.9% |
| 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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