| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-05-26 | 2023-05-26 |
| Time Elapsed | 23 years, 5 months | 23 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $97,621.48 | $442,913.14 |
| CAGR % | (0.10%) | 6.57% |
| Max % Drawdown | (42.03%) | (54.82%) |
| Standard Deviation | 2.36% | 4.42% |
| Annualized Sharpe | (0.33) | 0.30 |
| MAR Ratio | (0.00) | 0.12 |
| Win Rate % | 76.4% | 0.0% |
| Avg Win / Loss Ratio | 0.31 | — |
| Expectancy | ($0.00) | — |
| Avg Win % | 0.98% | 0.00% |
| Avg Loss % | (2.95%) | 0.00% |
| Longest Drawdown Duration | 272.7 months | 73.5 months |
| Avg Trades Per Year | 3.80 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $97,621.48 | $442,913.14 |
| Open Equity | ($1,892.64) | $342,913.14 |
| Gross Profit | $59,115.06 | $0.00 |
| Gross Loss | ($59,600.93) | $0.00 |
| Net Profit | ($485.87) | $0.00 |
| Net Long Profit | ($485.87) | $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 | 1,738.0 | 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 | 0.03 | 0.49 |
| Robust Sharpe Ratio | 0.00 | 0.55 |
| R-Squared | 0.0001 | 0.8546 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.10%) | 6.57% |
| RAR | 0.02% | 8.37% |
| Profit Factor | 0.99 | 0.00 |
| Percent Profit Factor | 1.08 | 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 | 272.7 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 | 55.3 months | 31.9 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 % | 76.4% | 0.0% |
| Lose Rate % | 23.6% | 0.0% |
| Winning Trades | 68 | 0 |
| Losing Trades | 21 | 0 |
| Total Trades | 89 | 0 |
| Max Consecutive Wins | 13 | 0 |
| Max Consecutive Losses | 4 | 0 |
| Avg Trade Duration | 146.4 days | 0.0 days |
| Avg Winning Trade Duration | 83.1 days | 0.0 days |
| Avg Losing Trade Duration | 351.6 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 | (678.55%) | — |
| Avg Win | $869.34 | $0.00 |
| Avg Loss | ($2,838.14) | $0.00 |
| Avg Win / Loss Ratio | 0.31 | — |
| Avg Trade | ($5.46) | $0.00 |
| Avg Win % | 0.98% | 0.00% |
| Avg Loss % | (2.95%) | 0.00% |
| Avg Trade % | 0.05% | 0.00% |
| Avg Risk % | (18.92%) | 0.00% |
| Avg Trades Per Year | 3.80 | 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 % | 64.4% | 64.4% |
| Losing Months % | 35.6% | 35.6% |
| Winning Months | 181 | 181 |
| Losing Months | 100 | 100 |
| Total Months | 281 | 281 |
| 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 | 67.0% | 67.7% |
| Rolling 6-Month Win Rate | 67.4% | 70.3% |
| Rolling 12-Month Win Rate | 59.3% | 74.8% |
| Rolling 3-Year Win Rate | 63.6% | 77.3% |
| Rolling 5-Year Win Rate | 60.0% | 85.0% |
| Rolling 10-Year Win Rate | 40.0% | 93.3% |
| Rolling 3-Month Periods | 279 | 279 |
| Rolling 6-Month Periods | 276 | 276 |
| Rolling 12-Month Periods | 270 | 270 |
| Rolling 3-Year Periods | 22 | 22 |
| Rolling 5-Year Periods | 20 | 20 |
| Rolling 10-Year Periods | 15 | 15 |
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