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 | $433,017.62 |
CAGR % | 6.76% | 6.22% |
Max % Drawdown | (10.05%) | (35.30%) |
Standard Deviation | 1.93% | 3.08% |
Annualized Sharpe | 0.57 | 0.34 |
MAR Ratio | 0.67 | 0.18 |
Win Rate % | 51.1% | 78.3% |
Avg Win / Loss Ratio | 3.11 | 1.03 |
Expectancy | $1.10 | $0.59 |
Avg Win % | 4.42% | 9.32% |
Avg Loss % | (1.02%) | (8.86%) |
Longest Drawdown Duration | 28.1 months | 37.4 months |
Avg Trades Per Year | 3.87 | 0.95 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $489,797.08 | $433,017.62 |
Open Equity | $28,075.52 | $69,306.80 |
Gross Profit | $484,561.20 | $318,273.55 |
Gross Loss | ($149,474.86) | ($85,809.46) |
Net Profit | $335,086.35 | $232,464.09 |
Net Long Profit | $335,086.35 | $232,464.09 |
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 | $31,246.73 |
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 | 1,356.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.67 | 0.18 |
Calmar Ratio | 0.74 | 0.21 |
Modified Sharpe Ratio | 1.01 | 0.62 |
Robust Sharpe Ratio | 0.96 | 0.62 |
R-Squared | 0.9460 | 0.9570 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.76% | 6.22% |
RAR | 6.42% | 6.62% |
Profit Factor | 3.24 | 3.71 |
Percent Profit Factor | 4.53 | 3.79 |
Expectancy | $1.10 | $0.59 |
Percentage Expectancy | 0.43 | 0.05 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (10.05%) | (35.30%) |
Longest Drawdown Duration | 28.1 months | 37.4 months |
Max Monthly % Drawdown | (9.11%) | (29.83%) |
Avg of Top-5 Max % Drawdowns | (9.49%) | (25.32%) |
Avg Duration of Top-5 Longest Drawdowns | 23.3 months | 24.5 months |
Avg of All % Drawdowns | (1.03%) | (1.68%) |
Std Dev of All % Drawdowns | 1.72% | 4.27% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (8.74%) | (16.57%) |
Closed-Equity Max Monthly % Drawdown | (8.74%) | (16.57%) |
Closed-Equity Avg of All % Drawdown | (2.91%) | (10.77%) |
Closed-Equity Std Dev of All % Drawdown | 2.60% | 4.83% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 51.1% | 78.3% |
Lose Rate % | 48.9% | 21.7% |
Winning Trades | 48 | 18 |
Losing Trades | 46 | 5 |
Total Trades | 94 | 23 |
Max Consecutive Wins | 9 | 10 |
Max Consecutive Losses | 8 | 2 |
Avg Trade Duration | 317.6 days | 181.3 days |
Avg Winning Trade Duration | 541.3 days | 181.3 days |
Avg Losing Trade Duration | 84.1 days | 181.2 days |
Largest Winning Trade | $61,124.70 | $78,378.06 |
Largest Losing Trade | ($8,254.00) | ($34,858.81) |
Largest Win as % of Net Profit | 18.24% | 33.72% |
Avg Win | $10,095.03 | $17,681.86 |
Avg Loss | ($3,249.45) | ($17,161.89) |
Avg Win / Loss Ratio | 3.11 | 1.03 |
Avg Trade | $3,564.75 | $10,107.13 |
Avg Win % | 4.42% | 9.32% |
Avg Loss % | (1.02%) | (8.86%) |
Avg Trade % | 1.76% | 5.37% |
Avg Risk % | (4.09%) | (99.03%) |
Avg Trades Per Year | 3.87 | 0.95 |
Avg Trades Per Month | 0.32 | 0.08 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 68.2% | 82.5% |
Losing Months % | 31.8% | 17.5% |
Winning Months | 199 | 241 |
Losing Months | 93 | 51 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 23 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 80.0% |
Losing Years % | 20.0% | 20.0% |
Winning Years | 20 | 20 |
Losing Years | 5 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 9 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.6% | 80.0% |
Rolling 6-Month Win Rate | 73.9% | 73.9% |
Rolling 12-Month Win Rate | 80.4% | 77.6% |
Rolling 3-Year Win Rate | 100.0% | 91.3% |
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 |