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 | $594,677.95 |
CAGR % | 6.76% | 7.62% |
Max % Drawdown | (10.05%) | (24.14%) |
Standard Deviation | 1.93% | 2.94% |
Annualized Sharpe | 0.57 | 0.48 |
MAR Ratio | 0.67 | 0.32 |
Win Rate % | 51.1% | 58.8% |
Avg Win / Loss Ratio | 3.11 | 2.39 |
Expectancy | $1.10 | $0.00 |
Avg Win % | 4.42% | 24.30% |
Avg Loss % | (1.02%) | (6.20%) |
Longest Drawdown Duration | 28.1 months | 32.9 months |
Avg Trades Per Year | 3.87 | 0.70 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $489,797.08 | $594,677.95 |
Open Equity | $28,075.52 | $51,667.55 |
Gross Profit | $484,561.20 | $596,236.97 |
Gross Loss | ($149,474.86) | ($174,306.09) |
Net Profit | $335,086.35 | $421,930.88 |
Net Long Profit | $335,086.35 | $421,930.88 |
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 | $21,079.52 |
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 | 1,335.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.67 | 0.32 |
Calmar Ratio | 0.74 | 0.35 |
Modified Sharpe Ratio | 1.01 | 0.77 |
Robust Sharpe Ratio | 0.96 | 0.82 |
R-Squared | 0.9460 | 0.9797 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.76% | 7.62% |
RAR | 6.42% | 8.34% |
Profit Factor | 3.24 | 3.42 |
Percent Profit Factor | 4.53 | 5.60 |
Expectancy | $1.10 | $0.00 |
Percentage Expectancy | 0.43 | 0.12 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (10.05%) | (24.14%) |
Longest Drawdown Duration | 28.1 months | 32.9 months |
Max Monthly % Drawdown | (9.11%) | (21.48%) |
Avg of Top-5 Max % Drawdowns | (9.49%) | (18.46%) |
Avg Duration of Top-5 Longest Drawdowns | 23.3 months | 27.2 months |
Avg of All % Drawdowns | (1.03%) | (1.59%) |
Std Dev of All % Drawdowns | 1.72% | 2.71% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (8.74%) | (12.79%) |
Closed-Equity Max Monthly % Drawdown | (8.74%) | (12.52%) |
Closed-Equity Avg of All % Drawdown | (2.91%) | (9.25%) |
Closed-Equity Std Dev of All % Drawdown | 2.60% | 3.22% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 51.1% | 58.8% |
Lose Rate % | 48.9% | 41.2% |
Winning Trades | 48 | 10 |
Losing Trades | 46 | 7 |
Total Trades | 94 | 17 |
Max Consecutive Wins | 9 | 3 |
Max Consecutive Losses | 8 | 2 |
Avg Trade Duration | 317.6 days | 372.8 days |
Avg Winning Trade Duration | 541.3 days | 599.9 days |
Avg Losing Trade Duration | 84.1 days | 48.4 days |
Largest Winning Trade | $61,124.70 | $188,616.32 |
Largest Losing Trade | ($8,254.00) | ($52,117.18) |
Largest Win as % of Net Profit | 18.24% | 44.70% |
Avg Win | $10,095.03 | $59,623.70 |
Avg Loss | ($3,249.45) | ($24,900.87) |
Avg Win / Loss Ratio | 3.11 | 2.39 |
Avg Trade | $3,564.75 | $24,819.46 |
Avg Win % | 4.42% | 24.30% |
Avg Loss % | (1.02%) | (6.20%) |
Avg Trade % | 1.76% | 11.74% |
Avg Risk % | (4.09%) | (99.25%) |
Avg Trades Per Year | 3.87 | 0.70 |
Avg Trades Per Month | 0.32 | 0.06 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 68.2% | 75.3% |
Losing Months % | 31.8% | 24.7% |
Winning Months | 199 | 220 |
Losing Months | 93 | 72 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 21 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 76.0% |
Losing Years % | 20.0% | 24.0% |
Winning Years | 20 | 19 |
Losing Years | 5 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 7 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.6% | 74.8% |
Rolling 6-Month Win Rate | 73.9% | 75.3% |
Rolling 12-Month Win Rate | 80.4% | 73.3% |
Rolling 3-Year Win Rate | 100.0% | 95.7% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 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 |