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 |