Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-15 | 2024-11-15 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $516,348.72 | $125,358.04 |
CAGR % | 6.82% | 0.91% |
Max % Drawdown | (10.05%) | (88.50%) |
Standard Deviation | 1.93% | 6.55% |
Annualized Sharpe | 0.58 | 0.03 |
MAR Ratio | 0.68 | 0.01 |
Win Rate % | 51.0% | 0.0% |
Avg Win / Loss Ratio | 3.10 | — |
Expectancy | $1.09 | — |
Avg Win % | 4.34% | 0.00% |
Avg Loss % | (1.00%) | 0.00% |
Longest Drawdown Duration | 28.1 months | 196.3 months |
Avg Trades Per Year | 3.86 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $516,348.72 | $125,358.04 |
Open Equity | $53,240.14 | $25,358.04 |
Gross Profit | $485,445.70 | $0.00 |
Gross Loss | ($150,311.49) | $0.00 |
Net Profit | $335,134.22 | $0.00 |
Net Long Profit | $335,134.22 | $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 | $27,974.37 | $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 | 3,956.0 | 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 | 0.01 |
Calmar Ratio | 0.75 | 0.01 |
Modified Sharpe Ratio | 1.02 | 0.16 |
Robust Sharpe Ratio | 0.95 | (0.12) |
R-Squared | 0.9483 | 0.2610 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.82% | 0.91% |
RAR | 6.38% | (2.68%) |
Profit Factor | 3.23 | 0.00 |
Percent Profit Factor | 4.52 | 0.00 |
Expectancy | $1.09 | — |
Percentage Expectancy | 0.42 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (10.05%) | (88.50%) |
Longest Drawdown Duration | 28.1 months | 196.3 months |
Max Monthly % Drawdown | (9.11%) | (87.18%) |
Avg of Top-5 Max % Drawdowns | (9.49%) | (40.24%) |
Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 53.1 months |
Avg of All % Drawdowns | (1.05%) | (4.19%) |
Std Dev of All % Drawdowns | 1.79% | 6.80% |
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 % | 51.0% | 0.0% |
Lose Rate % | 49.0% | 0.0% |
Winning Trades | 49 | 0 |
Losing Trades | 47 | 0 |
Total Trades | 96 | 0 |
Max Consecutive Wins | 9 | 0 |
Max Consecutive Losses | 8 | 0 |
Avg Trade Duration | 314.8 days | 0.0 days |
Avg Winning Trade Duration | 534.7 days | 0.0 days |
Avg Losing Trade Duration | 85.5 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 | 18.24% | — |
Avg Win | $9,907.06 | $0.00 |
Avg Loss | ($3,198.12) | $0.00 |
Avg Win / Loss Ratio | 3.10 | — |
Avg Trade | $3,490.98 | $0.00 |
Avg Win % | 4.34% | 0.00% |
Avg Loss % | (1.00%) | 0.00% |
Avg Trade % | 1.72% | 0.00% |
Avg Risk % | (4.10%) | 0.00% |
Avg Trades Per Year | 3.86 | 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 % | 68.6% | 55.2% |
Losing Months % | 31.4% | 44.8% |
Winning Months | 205 | 165 |
Losing Months | 94 | 134 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 12 | 8 |
Max Consecutive Losing Months | 4 | 8 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 60.0% |
Losing Years % | 20.0% | 40.0% |
Winning Years | 20 | 15 |
Losing Years | 5 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 4 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.7% | 55.6% |
Rolling 6-Month Win Rate | 74.5% | 57.8% |
Rolling 12-Month Win Rate | 80.9% | 53.5% |
Rolling 3-Year Win Rate | 100.0% | 60.9% |
Rolling 5-Year Win Rate | 100.0% | 42.9% |
Rolling 10-Year Win Rate | 100.0% | 37.5% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |