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Faber EXD5 TAA with Inverted Logic — 2000 to 2023

Last Update: Sept. 23, 2023 10:57 p.m. (3 days, 8 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 2023-09-22 2023-09-22
Time Elapsed 23 years, 9 months 23 years, 9 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $100,466.56 $457,302.48
CAGR % 0.02% 6.62%
Max % Drawdown (42.03%) (54.82%)
Standard Deviation 2.35% 4.41%
Annualized Sharpe (0.32) 0.30
MAR Ratio 0.00 0.12
Win Rate % 75.8% 0.0%
Avg Win / Loss Ratio 0.32
Expectancy $0.00
Avg Win % 0.98% 0.00%
Avg Loss % (2.82%) 0.00%
Longest Drawdown Duration 276.6 months 73.5 months
Avg Trades Per Year 3.84 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $100,466.56 $457,302.48
Open Equity $0.00 $357,302.48
Gross Profit $60,152.60 $0.00
Gross Loss ($59,686.04) $0.00
Net Profit $466.56 $0.00
Net Long Profit $466.56 $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 $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 1,747.0 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 0.12
Calmar Ratio 0.00 0.13
Modified Sharpe Ratio 0.04 0.50
Robust Sharpe Ratio 0.01 0.55
R-Squared 0.0010 0.8604
Profit Expectation
Model Benchmark
CAGR % 0.02% 6.62%
RAR 0.05% 8.45%
Profit Factor 1.01 0.00
Percent Profit Factor 1.10 0.00
Expectancy $0.00
Percentage Expectancy 0.00 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (42.03%) (54.82%)
Longest Drawdown Duration 276.6 months 73.5 months
Max Monthly % Drawdown (40.26%) (50.54%)
Avg of Top-5 Max % Drawdowns (8.70%) (35.85%)
Avg Duration of Top-5 Longest Drawdowns 56.1 months 32.6 months
Avg of All % Drawdowns (0.24%) (1.94%)
Std Dev of All % Drawdowns 0.18% 5.52%
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 % 75.8% 0.0%
Lose Rate % 24.2% 0.0%
Winning Trades 69 0
Losing Trades 22 0
Total Trades 91 0
Max Consecutive Wins 13 0
Max Consecutive Losses 4 0
Avg Trade Duration 147.9 days 0.0 days
Avg Winning Trade Duration 86.3 days 0.0 days
Avg Losing Trade Duration 341.3 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 706.64%
Avg Win $871.78 $0.00
Avg Loss ($2,713.00) $0.00
Avg Win / Loss Ratio 0.32
Avg Trade $5.13 $0.00
Avg Win % 0.98% 0.00%
Avg Loss % (2.82%) 0.00%
Avg Trade % 0.07% 0.00%
Avg Risk % (19.00%) 0.00%
Avg Trades Per Year 3.84 0.00
Avg Trades Per Month 0.32 0.00
Avg Trades Per Day 0.01 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 64.9% 64.2%
Losing Months % 35.1% 35.8%
Winning Months 185 183
Losing Months 100 102
Total Months 285 285
Max Consecutive Winning Months 23 15
Max Consecutive Losing Months 6 5
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 58.3% 75.0%
Losing Years % 41.7% 25.0%
Winning Years 14 18
Losing Years 10 6
Total Years 24 24
Max Consecutive Winning Years 4 9
Max Consecutive Losing Years 3 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 67.1% 67.8%
Rolling 6-Month Win Rate 67.5% 70.7%
Rolling 12-Month Win Rate 59.9% 75.2%
Rolling 3-Year Win Rate 68.2% 77.3%
Rolling 5-Year Win Rate 60.0% 85.0%
Rolling 10-Year Win Rate 40.0% 93.3%
Rolling 3-Month Periods 283 283
Rolling 6-Month Periods 280 280
Rolling 12-Month Periods 274 274
Rolling 3-Year Periods 22 22
Rolling 5-Year Periods 20 20
Rolling 10-Year Periods 15 15
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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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