Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $489,797.08 | $245,483.66 |
CAGR % | 6.76% | 3.77% |
Max % Drawdown | (10.05%) | (60.26%) |
Standard Deviation | 1.93% | 4.48% |
Annualized Sharpe | 0.57 | 0.12 |
MAR Ratio | 0.67 | 0.06 |
Win Rate % | 51.1% | 38.5% |
Avg Win / Loss Ratio | 3.11 | 2.45 |
Expectancy | $1.10 | $0.33 |
Avg Win % | 4.42% | 21.44% |
Avg Loss % | (1.02%) | (6.60%) |
Longest Drawdown Duration | 28.1 months | 189.4 months |
Avg Trades Per Year | 3.87 | 1.07 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $489,797.08 | $245,483.66 |
Open Equity | $28,075.52 | $16,906.50 |
Gross Profit | $484,561.20 | $301,721.37 |
Gross Loss | ($149,474.86) | ($197,205.02) |
Net Profit | $335,086.35 | $104,516.35 |
Net Long Profit | $335,086.35 | $104,516.35 |
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 | $26,635.21 | $24,060.81 |
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 | 3,917.0 | 1,136.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.67 | 0.06 |
Calmar Ratio | 0.74 | 0.06 |
Modified Sharpe Ratio | 1.01 | 0.32 |
Robust Sharpe Ratio | 0.96 | 0.06 |
R-Squared | 0.9460 | 0.0742 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.76% | 3.77% |
RAR | 6.42% | 0.90% |
Profit Factor | 3.24 | 1.53 |
Percent Profit Factor | 4.53 | 2.03 |
Expectancy | $1.10 | $0.33 |
Percentage Expectancy | 0.43 | 0.04 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (10.05%) | (60.26%) |
Longest Drawdown Duration | 28.1 months | 189.4 months |
Max Monthly % Drawdown | (9.11%) | (58.84%) |
Avg of Top-5 Max % Drawdowns | (9.49%) | (30.52%) |
Avg Duration of Top-5 Longest Drawdowns | 23.3 months | 53.0 months |
Avg of All % Drawdowns | (1.03%) | (3.67%) |
Std Dev of All % Drawdowns | 1.72% | 5.66% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (8.74%) | (43.60%) |
Closed-Equity Max Monthly % Drawdown | (8.74%) | (43.56%) |
Closed-Equity Avg of All % Drawdown | (2.91%) | (18.63%) |
Closed-Equity Std Dev of All % Drawdown | 2.60% | 17.80% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 51.1% | 38.5% |
Lose Rate % | 48.9% | 61.5% |
Winning Trades | 48 | 10 |
Losing Trades | 46 | 16 |
Total Trades | 94 | 26 |
Max Consecutive Wins | 9 | 4 |
Max Consecutive Losses | 8 | 7 |
Avg Trade Duration | 317.6 days | 193.3 days |
Avg Winning Trade Duration | 541.3 days | 371.5 days |
Avg Losing Trade Duration | 84.1 days | 82.0 days |
Largest Winning Trade | $61,124.70 | $106,576.40 |
Largest Losing Trade | ($8,254.00) | ($34,666.80) |
Largest Win as % of Net Profit | 18.24% | 101.97% |
Avg Win | $10,095.03 | $30,172.14 |
Avg Loss | ($3,249.45) | ($12,325.31) |
Avg Win / Loss Ratio | 3.11 | 2.45 |
Avg Trade | $3,564.75 | $4,019.86 |
Avg Win % | 4.42% | 21.44% |
Avg Loss % | (1.02%) | (6.60%) |
Avg Trade % | 1.76% | 4.19% |
Avg Risk % | (4.09%) | (98.62%) |
Avg Trades Per Year | 3.87 | 1.07 |
Avg Trades Per Month | 0.32 | 0.09 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 68.2% | 71.9% |
Losing Months % | 31.8% | 28.1% |
Winning Months | 199 | 210 |
Losing Months | 93 | 82 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 22 |
Max Consecutive Losing Months | 4 | 4 |
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 | 68.6% | 64.1% |
Rolling 6-Month Win Rate | 73.9% | 55.4% |
Rolling 12-Month Win Rate | 80.4% | 52.0% |
Rolling 3-Year Win Rate | 100.0% | 65.2% |
Rolling 5-Year Win Rate | 100.0% | 61.9% |
Rolling 10-Year Win Rate | 100.0% | 50.0% |
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 |