Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-26 | 2024-04-26 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $105,649.37 | $444,590.50 |
CAGR % | 0.23% | 6.33% |
Max % Drawdown | (42.03%) | (35.30%) |
Standard Deviation | 2.36% | 3.06% |
Annualized Sharpe | (0.29) | 0.35 |
MAR Ratio | 0.01 | 0.18 |
Win Rate % | 77.1% | 78.3% |
Avg Win / Loss Ratio | 0.33 | 1.03 |
Expectancy | $0.02 | $0.59 |
Avg Win % | 0.99% | 9.32% |
Avg Loss % | (2.82%) | (8.86%) |
Longest Drawdown Duration | 278.8 months | 37.4 months |
Avg Trades Per Year | 3.95 | 0.95 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $105,649.37 | $444,590.50 |
Open Equity | $0.00 | $80,878.80 |
Gross Profit | $65,335.40 | $318,273.55 |
Gross Loss | ($59,686.04) | ($85,809.46) |
Net Profit | $5,649.37 | $232,464.09 |
Net Long Profit | $5,649.37 | $232,464.09 |
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 | $31,247.61 |
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 | 1,812.0 | 1,356.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.01 | 0.18 |
Calmar Ratio | 0.01 | 0.21 |
Modified Sharpe Ratio | 0.07 | 0.63 |
Robust Sharpe Ratio | 0.01 | 0.62 |
R-Squared | 0.0072 | 0.9571 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 0.23% | 6.33% |
RAR | 0.12% | 6.63% |
Profit Factor | 1.09 | 3.71 |
Percent Profit Factor | 1.18 | 3.79 |
Expectancy | $0.02 | $0.59 |
Percentage Expectancy | 0.01 | 0.05 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (42.03%) | (35.30%) |
Longest Drawdown Duration | 278.8 months | 37.4 months |
Max Monthly % Drawdown | (40.26%) | (29.83%) |
Avg of Top-5 Max % Drawdowns | (8.73%) | (25.32%) |
Avg Duration of Top-5 Longest Drawdowns | 57.0 months | 24.5 months |
Avg of All % Drawdowns | (3.20%) | (1.68%) |
Std Dev of All % Drawdowns | 11.18% | 4.27% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (29.59%) | (16.57%) |
Closed-Equity Max Monthly % Drawdown | (29.59%) | (16.57%) |
Closed-Equity Avg of All % Drawdown | (17.44%) | (10.77%) |
Closed-Equity Std Dev of All % Drawdown | 17.18% | 4.83% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 77.1% | 78.3% |
Lose Rate % | 22.9% | 21.7% |
Winning Trades | 74 | 18 |
Losing Trades | 22 | 5 |
Total Trades | 96 | 23 |
Max Consecutive Wins | 13 | 10 |
Max Consecutive Losses | 4 | 2 |
Avg Trade Duration | 143.0 days | 181.3 days |
Avg Winning Trade Duration | 84.1 days | 181.3 days |
Avg Losing Trade Duration | 341.3 days | 181.2 days |
Largest Winning Trade | $3,296.90 | $78,378.06 |
Largest Losing Trade | ($7,363.83) | ($34,858.81) |
Largest Win as % of Net Profit | 58.36% | 33.72% |
Avg Win | $882.91 | $17,681.86 |
Avg Loss | ($2,713.00) | ($17,161.89) |
Avg Win / Loss Ratio | 0.33 | 1.03 |
Avg Trade | $58.85 | $10,107.13 |
Avg Win % | 0.99% | 9.32% |
Avg Loss % | (2.82%) | (8.86%) |
Avg Trade % | 0.12% | 5.37% |
Avg Risk % | (19.00%) | (99.03%) |
Avg Trades Per Year | 3.95 | 0.95 |
Avg Trades Per Month | 0.33 | 0.08 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 65.1% | 82.5% |
Losing Months % | 34.9% | 17.5% |
Winning Months | 190 | 241 |
Losing Months | 102 | 51 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 23 | 23 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 80.0% |
Losing Years % | 40.0% | 20.0% |
Winning Years | 15 | 20 |
Losing Years | 10 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 4 | 9 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 67.6% | 80.0% |
Rolling 6-Month Win Rate | 67.9% | 73.9% |
Rolling 12-Month Win Rate | 60.9% | 77.6% |
Rolling 3-Year Win Rate | 69.6% | 91.3% |
Rolling 5-Year Win Rate | 61.9% | 100.0% |
Rolling 10-Year Win Rate | 43.8% | 100.0% |
Rolling 3-Month Periods | 290 | 290 |
Rolling 6-Month Periods | 287 | 287 |
Rolling 12-Month Periods | 281 | 281 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |