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 | $253,070.99 |
CAGR % | (0.04%) | 4.19% |
Max % Drawdown | (42.03%) | (60.26%) |
Standard Deviation | 2.30% | 4.58% |
Annualized Sharpe | (0.33) | 0.15 |
MAR Ratio | (0.00) | 0.07 |
Win Rate % | 79.5% | 37.5% |
Avg Win / Loss Ratio | 0.27 | 1.79 |
Expectancy | $0.01 | $0.05 |
Avg Win % | 0.98% | 14.60% |
Avg Loss % | (3.32%) | (6.61%) |
Longest Drawdown Duration | 263.2 months | 169.2 months |
Avg Trades Per Year | 3.67 | 1.06 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $99,145.29 | $253,070.99 |
Open Equity | ($4,050.73) | $124,680.04 |
Gross Profit | $57,369.76 | $195,144.97 |
Gross Loss | ($54,173.73) | ($181,733.38) |
Net Profit | $3,196.02 | $13,411.59 |
Net Long Profit | $3,196.02 | $13,411.59 |
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 | $14,979.36 |
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 | 1,001.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | (0.00) | 0.07 |
Calmar Ratio | (0.00) | 0.07 |
Modified Sharpe Ratio | 0.04 | 0.34 |
Robust Sharpe Ratio | (0.00) | 0.03 |
R-Squared | 0.0005 | 0.0160 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | (0.04%) | 4.19% |
RAR | (0.04%) | 0.43% |
Profit Factor | 1.06 | 1.07 |
Percent Profit Factor | 1.15 | 1.32 |
Expectancy | $0.01 | $0.05 |
Percentage Expectancy | 0.01 | 0.01 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (42.03%) | (60.26%) |
Longest Drawdown Duration | 263.2 months | 169.2 months |
Max Monthly % Drawdown | (40.26%) | (58.84%) |
Avg of Top-5 Max % Drawdowns | (8.70%) | (30.52%) |
Avg Duration of Top-5 Longest Drawdowns | 53.4 months | 48.0 months |
Avg of All % Drawdowns | (0.24%) | (3.67%) |
Std Dev of All % Drawdowns | 0.18% | 5.66% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (29.59%) | (43.60%) |
Closed-Equity Max Monthly % Drawdown | (29.59%) | (43.56%) |
Closed-Equity Avg of All % Drawdown | (29.59%) | (22.72%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.61% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 79.5% | 37.5% |
Lose Rate % | 20.5% | 62.5% |
Winning Trades | 66 | 9 |
Losing Trades | 17 | 15 |
Total Trades | 83 | 24 |
Max Consecutive Wins | 13 | 4 |
Max Consecutive Losses | 4 | 7 |
Avg Trade Duration | 142.4 days | 175.1 days |
Avg Winning Trade Duration | 84.7 days | 338.2 days |
Avg Losing Trade Duration | 366.4 days | 77.2 days |
Largest Winning Trade | $3,296.90 | $46,694.93 |
Largest Losing Trade | ($7,363.83) | ($34,666.80) |
Largest Win as % of Net Profit | 103.16% | 348.17% |
Avg Win | $869.24 | $21,682.77 |
Avg Loss | ($3,186.69) | ($12,115.56) |
Avg Win / Loss Ratio | 0.27 | 1.79 |
Avg Trade | $38.51 | $558.82 |
Avg Win % | 0.98% | 14.60% |
Avg Loss % | (3.32%) | (6.61%) |
Avg Trade % | 0.10% | 1.34% |
Avg Risk % | (18.91%) | (98.61%) |
Avg Trades Per Year | 3.67 | 1.06 |
Avg Trades Per Month | 0.31 | 0.09 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.4% | 71.3% |
Losing Months % | 34.6% | 28.7% |
Winning Months | 178 | 194 |
Losing Months | 94 | 78 |
Total Months | 272 | 272 |
Max Consecutive Winning Months | 23 | 22 |
Max Consecutive Losing Months | 6 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 56.5% | 60.9% |
Losing Years % | 43.5% | 39.1% |
Winning Years | 13 | 14 |
Losing Years | 10 | 9 |
Total Years | 23 | 23 |
Max Consecutive Winning Years | 4 | 4 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 67.8% | 64.1% |
Rolling 6-Month Win Rate | 67.4% | 56.2% |
Rolling 12-Month Win Rate | 61.3% | 52.1% |
Rolling 3-Year Win Rate | 66.7% | 61.9% |
Rolling 5-Year Win Rate | 57.9% | 57.9% |
Rolling 10-Year Win Rate | 35.7% | 42.9% |
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 |