| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-12-08 | 2023-12-08 |
| Time Elapsed | 23 years, 11 months | 23 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $104,764.13 | $786,957.11 |
| CAGR % | 0.19% | 9.00% |
| Max % Drawdown | (42.03%) | (69.65%) |
| Standard Deviation | 2.37% | 6.33% |
| Annualized Sharpe | (0.29) | 0.37 |
| MAR Ratio | 0.00 | 0.13 |
| Win Rate % | 76.8% | 0.0% |
| Avg Win / Loss Ratio | 0.33 | — |
| Expectancy | $0.02 | — |
| Avg Win % | 0.99% | 0.00% |
| Avg Loss % | (2.82%) | 0.00% |
| Longest Drawdown Duration | 278.8 months | 63.2 months |
| Avg Trades Per Year | 3.97 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $104,764.13 | $786,957.11 |
| Open Equity | $0.00 | $686,957.11 |
| Gross Profit | $64,450.16 | $0.00 |
| Gross Loss | ($59,686.04) | $0.00 |
| Net Profit | $4,764.13 | $0.00 |
| Net Long Profit | $4,764.13 | $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 | 1,806.0 | 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 | 0.13 |
| Calmar Ratio | 0.00 | 0.14 |
| Modified Sharpe Ratio | 0.07 | 0.51 |
| Robust Sharpe Ratio | 0.01 | 0.41 |
| R-Squared | 0.0022 | 0.9095 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.19% | 9.00% |
| RAR | 0.07% | 9.04% |
| Profit Factor | 1.08 | 0.00 |
| Percent Profit Factor | 1.17 | 0.00 |
| Expectancy | $0.02 | — |
| Percentage Expectancy | 0.01 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (69.65%) |
| Longest Drawdown Duration | 278.8 months | 63.2 months |
| Max Monthly % Drawdown | (40.26%) | (63.75%) |
| Avg of Top-5 Max % Drawdowns | (8.70%) | (43.71%) |
| Avg Duration of Top-5 Longest Drawdowns | 56.5 months | 35.0 months |
| Avg of All % Drawdowns | (4.88%) | (3.02%) |
| Std Dev of All % Drawdowns | 13.93% | 7.70% |
| 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 | (17.44%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 17.18% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.8% | 0.0% |
| Lose Rate % | 23.2% | 0.0% |
| Winning Trades | 73 | 0 |
| Losing Trades | 22 | 0 |
| Total Trades | 95 | 0 |
| Max Consecutive Wins | 13 | 0 |
| Max Consecutive Losses | 4 | 0 |
| Avg Trade Duration | 144.2 days | 0.0 days |
| Avg Winning Trade Duration | 84.8 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 | 69.20% | — |
| Avg Win | $882.88 | $0.00 |
| Avg Loss | ($2,713.00) | $0.00 |
| Avg Win / Loss Ratio | 0.33 | — |
| Avg Trade | $50.15 | $0.00 |
| Avg Win % | 0.99% | 0.00% |
| Avg Loss % | (2.82%) | 0.00% |
| Avg Trade % | 0.11% | 0.00% |
| Avg Risk % | (19.00%) | 0.00% |
| Avg Trades Per Year | 3.97 | 0.00 |
| Avg Trades Per Month | 0.33 | 0.00 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 64.6% | 60.4% |
| Losing Months % | 35.4% | 39.6% |
| Winning Months | 186 | 174 |
| Losing Months | 102 | 114 |
| Total Months | 288 | 288 |
| Max Consecutive Winning Months | 23 | 10 |
| Max Consecutive Losing Months | 6 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 58.3% | 70.8% |
| Losing Years % | 41.7% | 29.2% |
| Winning Years | 14 | 17 |
| Losing Years | 10 | 7 |
| Total Years | 24 | 24 |
| Max Consecutive Winning Years | 4 | 4 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.1% | 67.5% |
| Rolling 6-Month Win Rate | 67.5% | 66.4% |
| Rolling 12-Month Win Rate | 60.3% | 67.5% |
| Rolling 3-Year Win Rate | 68.2% | 86.4% |
| Rolling 5-Year Win Rate | 60.0% | 90.0% |
| Rolling 10-Year Win Rate | 40.0% | 100.0% |
| Rolling 3-Month Periods | 286 | 286 |
| Rolling 6-Month Periods | 283 | 283 |
| Rolling 12-Month Periods | 277 | 277 |
| Rolling 3-Year Periods | 22 | 22 |
| Rolling 5-Year Periods | 20 | 20 |
| Rolling 10-Year Periods | 15 | 15 |
© Copyright 2013 - 2023
Extrategic Investing, LLC.
All rights reserved.
