| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2022-08-12 | 2022-08-12 |
| Time Elapsed | 22 years, 7 months | 22 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $479,380.92 | $444,603.64 |
| CAGR % | 7.18% | 6.82% |
| Max % Drawdown | (10.05%) | (54.82%) |
| Standard Deviation | 1.93% | 4.37% |
| Annualized Sharpe | 0.63 | 0.32 |
| MAR Ratio | 0.71 | 0.12 |
| Win Rate % | 52.9% | 0.0% |
| Avg Win / Loss Ratio | 3.03 | — |
| Expectancy | $1.13 | — |
| Avg Win % | 4.32% | 0.00% |
| Avg Loss % | (1.03%) | 0.00% |
| Longest Drawdown Duration | 28.1 months | 73.5 months |
| Avg Trades Per Year | 3.76 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $479,380.92 | $444,603.64 |
| Open Equity | $71,507.67 | $344,603.64 |
| Gross Profit | $416,460.12 | $0.00 |
| Gross Loss | ($122,090.90) | $0.00 |
| Net Profit | $294,369.23 | $0.00 |
| Net Long Profit | $294,369.23 | $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 | $13,504.02 | $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 | 3,345.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.71 | 0.12 |
| Calmar Ratio | 0.79 | 0.13 |
| Modified Sharpe Ratio | 1.07 | 0.51 |
| Robust Sharpe Ratio | 0.98 | 0.54 |
| R-Squared | 0.9401 | 0.8391 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.18% | 6.82% |
| RAR | 6.59% | 8.21% |
| Profit Factor | 3.41 | 0.00 |
| Percent Profit Factor | 4.74 | 0.00 |
| Expectancy | $1.13 | — |
| Percentage Expectancy | 0.45 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (54.82%) |
| Longest Drawdown Duration | 28.1 months | 73.5 months |
| Max Monthly % Drawdown | (9.11%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (9.12%) | (35.55%) |
| Avg Duration of Top-5 Longest Drawdowns | 20.1 months | 29.0 months |
| Avg of All % Drawdowns | (1.03%) | (1.94%) |
| Std Dev of All % Drawdowns | 1.72% | 5.52% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (2.92%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 2.70% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 52.9% | 0.0% |
| Lose Rate % | 47.1% | 0.0% |
| Winning Trades | 45 | 0 |
| Losing Trades | 40 | 0 |
| Total Trades | 85 | 0 |
| Max Consecutive Wins | 9 | 0 |
| Max Consecutive Losses | 8 | 0 |
| Avg Trade Duration | 330.8 days | 0.0 days |
| Avg Winning Trade Duration | 549.6 days | 0.0 days |
| Avg Losing Trade Duration | 84.6 days | 0.0 days |
| Largest Winning Trade | $35,062.60 | $0.00 |
| Largest Losing Trade | ($8,254.00) | $0.00 |
| Largest Win as % of Net Profit | 11.91% | — |
| Avg Win | $9,254.67 | $0.00 |
| Avg Loss | ($3,052.27) | $0.00 |
| Avg Win / Loss Ratio | 3.03 | — |
| Avg Trade | $3,463.17 | $0.00 |
| Avg Win % | 4.32% | 0.00% |
| Avg Loss % | (1.03%) | 0.00% |
| Avg Trade % | 1.81% | 0.00% |
| Avg Risk % | (4.06%) | 0.00% |
| Avg Trades Per Year | 3.76 | 0.00 |
| Avg Trades Per Month | 0.31 | 0.00 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.5% | 64.7% |
| Losing Months % | 30.5% | 35.3% |
| Winning Months | 189 | 176 |
| Losing Months | 83 | 96 |
| Total Months | 272 | 272 |
| Max Consecutive Winning Months | 12 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 82.6% | 73.9% |
| Losing Years % | 17.4% | 26.1% |
| Winning Years | 19 | 17 |
| Losing Years | 4 | 6 |
| Total Years | 23 | 23 |
| Max Consecutive Winning Years | 8 | 9 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 68.1% |
| Rolling 6-Month Win Rate | 76.0% | 70.8% |
| Rolling 12-Month Win Rate | 82.4% | 76.6% |
| Rolling 3-Year Win Rate | 100.0% | 76.2% |
| Rolling 5-Year Win Rate | 100.0% | 84.2% |
| Rolling 10-Year Win Rate | 100.0% | 92.9% |
| Rolling 3-Month Periods | 270 | 270 |
| Rolling 6-Month Periods | 267 | 267 |
| Rolling 12-Month Periods | 261 | 261 |
| Rolling 3-Year Periods | 21 | 21 |
| Rolling 5-Year Periods | 19 | 19 |
| Rolling 10-Year Periods | 14 | 14 |
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