Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-10 | 2024-05-10 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $492,186.18 | $152,495.89 |
CAGR % | 6.76% | 1.75% |
Max % Drawdown | (10.05%) | (41.31%) |
Standard Deviation | 1.94% | 3.09% |
Annualized Sharpe | 0.57 | (0.06) |
MAR Ratio | 0.67 | 0.04 |
Win Rate % | 50.5% | 75.0% |
Avg Win / Loss Ratio | 3.16 | 0.55 |
Expectancy | $1.10 | $0.17 |
Avg Win % | 4.42% | 7.00% |
Avg Loss % | (1.00%) | (12.13%) |
Longest Drawdown Duration | 28.1 months | 202.6 months |
Avg Trades Per Year | 3.90 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $492,186.18 | $152,495.89 |
Open Equity | $31,186.53 | $5,548.14 |
Gross Profit | $484,561.20 | $117,845.35 |
Gross Loss | ($150,311.49) | ($70,897.60) |
Net Profit | $334,249.72 | $46,947.75 |
Net Long Profit | $334,249.72 | $46,947.75 |
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 | $26,749.93 | $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 | 3,927.0 | 830.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.67 | 0.04 |
Calmar Ratio | 0.74 | 0.05 |
Modified Sharpe Ratio | 1.01 | 0.22 |
Robust Sharpe Ratio | 0.96 | 0.22 |
R-Squared | 0.9462 | 0.5618 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.76% | 1.75% |
RAR | 6.42% | 2.34% |
Profit Factor | 3.22 | 1.66 |
Percent Profit Factor | 4.52 | 1.73 |
Expectancy | $1.10 | $0.17 |
Percentage Expectancy | 0.42 | 0.02 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (10.05%) | (41.31%) |
Longest Drawdown Duration | 28.1 months | 202.6 months |
Max Monthly % Drawdown | (9.11%) | (38.17%) |
Avg of Top-5 Max % Drawdowns | (9.49%) | (19.07%) |
Avg Duration of Top-5 Longest Drawdowns | 23.4 months | 50.0 months |
Avg of All % Drawdowns | (1.03%) | (3.06%) |
Std Dev of All % Drawdowns | 1.72% | 6.75% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (8.74%) | (29.90%) |
Closed-Equity Max Monthly % Drawdown | (8.74%) | (29.90%) |
Closed-Equity Avg of All % Drawdown | (2.91%) | (29.90%) |
Closed-Equity Std Dev of All % Drawdown | 2.60% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 50.5% | 75.0% |
Lose Rate % | 49.5% | 25.0% |
Winning Trades | 48 | 18 |
Losing Trades | 47 | 6 |
Total Trades | 95 | 24 |
Max Consecutive Wins | 9 | 10 |
Max Consecutive Losses | 8 | 3 |
Avg Trade Duration | 315.8 days | 183.0 days |
Avg Winning Trade Duration | 541.3 days | 183.9 days |
Avg Losing Trade Duration | 85.5 days | 184.0 days |
Largest Winning Trade | $61,124.70 | $18,641.80 |
Largest Losing Trade | ($8,254.00) | ($28,267.54) |
Largest Win as % of Net Profit | 18.29% | 39.71% |
Avg Win | $10,095.03 | $6,546.96 |
Avg Loss | ($3,198.12) | ($11,816.27) |
Avg Win / Loss Ratio | 3.16 | 0.55 |
Avg Trade | $3,518.42 | $1,956.16 |
Avg Win % | 4.42% | 7.00% |
Avg Loss % | (1.00%) | (12.13%) |
Avg Trade % | 1.74% | 2.22% |
Avg Risk % | (4.09%) | (98.31%) |
Avg Trades Per Year | 3.90 | 0.99 |
Avg Trades Per Month | 0.33 | 0.08 |
Avg Trades Per Day | 0.01 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 68.3% | 79.9% |
Losing Months % | 31.7% | 20.1% |
Winning Months | 200 | 234 |
Losing Months | 93 | 59 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 12 | 23 |
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 | 10 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.7% | 73.2% |
Rolling 6-Month Win Rate | 74.0% | 67.4% |
Rolling 12-Month Win Rate | 80.5% | 71.3% |
Rolling 3-Year Win Rate | 100.0% | 69.6% |
Rolling 5-Year Win Rate | 100.0% | 71.4% |
Rolling 10-Year Win Rate | 100.0% | 81.2% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |