| 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 | $541,318.37 |
| CAGR % | (0.04%) | 7.76% |
| Max % Drawdown | (42.03%) | (21.49%) |
| Standard Deviation | 2.30% | 2.91% |
| Annualized Sharpe | (0.33) | 0.50 |
| MAR Ratio | (0.00) | 0.36 |
| Win Rate % | 79.5% | 60.0% |
| Avg Win / Loss Ratio | 0.27 | 2.65 |
| Expectancy | $0.01 | $1.19 |
| Avg Win % | 0.98% | 26.51% |
| Avg Loss % | (3.32%) | (6.32%) |
| Longest Drawdown Duration | 263.2 months | 32.9 months |
| Avg Trades Per Year | 3.67 | 0.66 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $99,145.29 | $541,318.37 |
| Open Equity | ($4,050.73) | $0.00 |
| Gross Profit | $57,369.76 | $573,198.65 |
| Gross Loss | ($54,173.73) | ($144,164.79) |
| Net Profit | $3,196.02 | $429,033.86 |
| Net Long Profit | $3,196.02 | $429,033.86 |
| 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 | $12,284.51 |
| 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 | 1,214.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.00) | 0.36 |
| Calmar Ratio | (0.00) | 0.43 |
| Modified Sharpe Ratio | 0.04 | 0.79 |
| Robust Sharpe Ratio | (0.00) | 0.85 |
| R-Squared | 0.0005 | 0.9788 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.04%) | 7.76% |
| RAR | (0.04%) | 8.54% |
| Profit Factor | 1.06 | 3.98 |
| Percent Profit Factor | 1.15 | 6.29 |
| Expectancy | $0.01 | $1.19 |
| Percentage Expectancy | 0.01 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (21.49%) |
| Longest Drawdown Duration | 263.2 months | 32.9 months |
| Max Monthly % Drawdown | (40.26%) | (18.20%) |
| Avg of Top-5 Max % Drawdowns | (8.70%) | (16.99%) |
| Avg Duration of Top-5 Longest Drawdowns | 53.4 months | 25.5 months |
| Avg of All % Drawdowns | (0.24%) | (1.59%) |
| Std Dev of All % Drawdowns | 0.18% | 2.71% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | (11.84%) |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | (11.74%) |
| Closed-Equity Avg of All % Drawdown | (29.59%) | (8.25%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 3.22% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 79.5% | 60.0% |
| Lose Rate % | 20.5% | 40.0% |
| Winning Trades | 66 | 9 |
| Losing Trades | 17 | 6 |
| Total Trades | 83 | 15 |
| Max Consecutive Wins | 13 | 3 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 142.4 days | 402.1 days |
| Avg Winning Trade Duration | 84.7 days | 636.2 days |
| Avg Losing Trade Duration | 366.4 days | 51.0 days |
| Largest Winning Trade | $3,296.90 | $188,616.32 |
| Largest Losing Trade | ($7,363.83) | ($52,117.18) |
| Largest Win as % of Net Profit | 103.16% | 43.96% |
| Avg Win | $869.24 | $63,688.74 |
| Avg Loss | ($3,186.69) | ($24,027.46) |
| Avg Win / Loss Ratio | 0.27 | 2.65 |
| Avg Trade | $38.51 | $28,602.26 |
| Avg Win % | 0.98% | 26.51% |
| Avg Loss % | (3.32%) | (6.32%) |
| Avg Trade % | 0.10% | 13.38% |
| Avg Risk % | (18.91%) | (99.31%) |
| Avg Trades Per Year | 3.67 | 0.66 |
| 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% | 75.7% |
| Losing Months % | 34.6% | 24.3% |
| Winning Months | 178 | 206 |
| Losing Months | 94 | 66 |
| Total Months | 272 | 272 |
| Max Consecutive Winning Months | 23 | 21 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 56.5% | 73.9% |
| Losing Years % | 43.5% | 26.1% |
| Winning Years | 13 | 17 |
| Losing Years | 10 | 6 |
| Total Years | 23 | 23 |
| Max Consecutive Winning Years | 4 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.8% | 75.2% |
| Rolling 6-Month Win Rate | 67.4% | 76.8% |
| Rolling 12-Month Win Rate | 61.3% | 75.5% |
| Rolling 3-Year Win Rate | 66.7% | 100.0% |
| Rolling 5-Year Win Rate | 57.9% | 100.0% |
| 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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