Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-30 | 2024-04-30 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $492,857.07 | $537,582.12 |
CAGR % | 6.78% | 7.16% |
Max % Drawdown | (10.05%) | (54.82%) |
Standard Deviation | 1.93% | 4.42% |
Annualized Sharpe | 0.57 | 0.34 |
MAR Ratio | 0.67 | 0.13 |
Win Rate % | 51.1% | 0.0% |
Avg Win / Loss Ratio | 3.11 | — |
Expectancy | $1.10 | — |
Avg Win % | 4.42% | 0.00% |
Avg Loss % | (1.02%) | 0.00% |
Longest Drawdown Duration | 28.1 months | 73.5 months |
Avg Trades Per Year | 3.86 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $492,857.07 | $537,582.12 |
Open Equity | $31,134.19 | $437,582.12 |
Gross Profit | $484,561.20 | $0.00 |
Gross Loss | ($149,474.86) | $0.00 |
Net Profit | $335,086.35 | $0.00 |
Net Long Profit | $335,086.35 | $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 | $26,636.53 | $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 | 3,917.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.67 | 0.13 |
Calmar Ratio | 0.74 | 0.14 |
Modified Sharpe Ratio | 1.02 | 0.53 |
Robust Sharpe Ratio | 0.96 | 0.56 |
R-Squared | 0.9461 | 0.8698 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.78% | 7.16% |
RAR | 6.42% | 8.62% |
Profit Factor | 3.24 | 0.00 |
Percent Profit Factor | 4.53 | 0.00 |
Expectancy | $1.10 | — |
Percentage Expectancy | 0.43 | 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 | 23.4 months | 33.2 months |
Avg of All % Drawdowns | (1.03%) | (1.97%) |
Std Dev of All % Drawdowns | 1.72% | 5.54% |
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 % | 51.1% | 0.0% |
Lose Rate % | 48.9% | 0.0% |
Winning Trades | 48 | 0 |
Losing Trades | 46 | 0 |
Total Trades | 94 | 0 |
Max Consecutive Wins | 9 | 0 |
Max Consecutive Losses | 8 | 0 |
Avg Trade Duration | 317.6 days | 0.0 days |
Avg Winning Trade Duration | 541.3 days | 0.0 days |
Avg Losing Trade Duration | 84.1 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 | $10,095.03 | $0.00 |
Avg Loss | ($3,249.45) | $0.00 |
Avg Win / Loss Ratio | 3.11 | — |
Avg Trade | $3,564.75 | $0.00 |
Avg Win % | 4.42% | 0.00% |
Avg Loss % | (1.02%) | 0.00% |
Avg Trade % | 1.76% | 0.00% |
Avg Risk % | (4.09%) | 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 % | 68.2% | 64.4% |
Losing Months % | 31.8% | 35.6% |
Winning Months | 199 | 188 |
Losing Months | 93 | 104 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 15 |
Max Consecutive Losing Months | 4 | 5 |
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 | 9 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.6% | 68.3% |
Rolling 6-Month Win Rate | 73.9% | 71.4% |
Rolling 12-Month Win Rate | 80.4% | 75.8% |
Rolling 3-Year Win Rate | 100.0% | 78.3% |
Rolling 5-Year Win Rate | 100.0% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 93.8% |
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 |