| 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 | $469,676.86 | $442,913.14 |
| CAGR % | 6.84% | 6.57% |
| Max % Drawdown | (10.05%) | (54.82%) |
| Standard Deviation | 1.93% | 4.42% |
| Annualized Sharpe | 0.58 | 0.30 |
| MAR Ratio | 0.68 | 0.12 |
| Win Rate % | 51.7% | 0.0% |
| Avg Win / Loss Ratio | 3.26 | — |
| Expectancy | $1.20 | — |
| Avg Win % | 4.58% | 0.00% |
| Avg Loss % | (1.03%) | 0.00% |
| Longest Drawdown Duration | 28.1 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 | $469,676.86 | $442,913.14 |
| Open Equity | $7,140.05 | $342,913.14 |
| Gross Profit | $477,584.82 | $0.00 |
| Gross Loss | ($137,069.52) | $0.00 |
| Net Profit | $340,515.30 | $0.00 |
| Net Long Profit | $340,515.30 | $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 | $22,021.51 | $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 | 3,631.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.12 |
| Calmar Ratio | 0.75 | 0.13 |
| Modified Sharpe Ratio | 1.02 | 0.49 |
| Robust Sharpe Ratio | 0.98 | 0.55 |
| R-Squared | 0.9435 | 0.8546 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.84% | 6.57% |
| RAR | 6.52% | 8.37% |
| Profit Factor | 3.48 | 0.00 |
| Percent Profit Factor | 4.77 | 0.00 |
| Expectancy | $1.20 | — |
| Percentage Expectancy | 0.46 | 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 | (9.49%) | (35.85%) |
| Avg Duration of Top-5 Longest Drawdowns | 21.1 months | 31.9 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 | (2.91%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 2.60% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.7% | 0.0% |
| Lose Rate % | 48.3% | 0.0% |
| Winning Trades | 46 | 0 |
| Losing Trades | 43 | 0 |
| Total Trades | 89 | 0 |
| Max Consecutive Wins | 9 | 0 |
| Max Consecutive Losses | 8 | 0 |
| Avg Trade Duration | 324.5 days | 0.0 days |
| Avg Winning Trade Duration | 552.3 days | 0.0 days |
| Avg Losing Trade Duration | 80.7 days | 0.0 days |
| Largest Winning Trade | $61,124.70 | $0.00 |
| Largest Losing Trade | ($8,254.00) | $0.00 |
| Largest Win as % of Net Profit | 17.95% | — |
| Avg Win | $10,382.28 | $0.00 |
| Avg Loss | ($3,187.66) | $0.00 |
| Avg Win / Loss Ratio | 3.26 | — |
| Avg Trade | $3,826.01 | $0.00 |
| Avg Win % | 4.58% | 0.00% |
| Avg Loss % | (1.03%) | 0.00% |
| Avg Trade % | 1.87% | 0.00% |
| Avg Risk % | (4.08%) | 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 % | 69.0% | 64.4% |
| Losing Months % | 31.0% | 35.6% |
| Winning Months | 194 | 181 |
| Losing Months | 87 | 100 |
| Total Months | 281 | 281 |
| Max Consecutive Winning Months | 12 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 79.2% | 75.0% |
| Losing Years % | 20.8% | 25.0% |
| Winning Years | 19 | 18 |
| Losing Years | 5 | 6 |
| Total Years | 24 | 24 |
| Max Consecutive Winning Years | 8 | 9 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.5% | 67.7% |
| Rolling 6-Month Win Rate | 73.9% | 70.3% |
| Rolling 12-Month Win Rate | 80.7% | 74.8% |
| Rolling 3-Year Win Rate | 100.0% | 77.3% |
| Rolling 5-Year Win Rate | 100.0% | 85.0% |
| Rolling 10-Year Win Rate | 100.0% | 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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