| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2022-08-12 | 2022-08-12 |
| Time Elapsed | 22 years, 7 months | 22 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $313,536.46 | $351,182.44 |
| CAGR % | 5.19% | 5.71% |
| Max % Drawdown | (14.87%) | (18.26%) |
| Standard Deviation | 1.39% | 1.74% |
| Annualized Sharpe | 0.46 | 0.46 |
| MAR Ratio | 0.35 | 0.31 |
| Win Rate % | 78.6% | 0.0% |
| Avg Win / Loss Ratio | 3.55 | — |
| Expectancy | $2.58 | — |
| Avg Win % | 11.80% | 0.00% |
| Avg Loss % | (2.07%) | 0.00% |
| Longest Drawdown Duration | 32.4 months | 12.9 months |
| Avg Trades Per Year | 0.62 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $313,536.46 | $351,182.44 |
| Open Equity | $0.00 | $251,182.44 |
| Gross Profit | $221,289.47 | $0.00 |
| Gross Loss | ($16,996.05) | $0.00 |
| Net Profit | $204,293.42 | $0.00 |
| Net Long Profit | $204,293.42 | $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 | $9,243.04 | $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 | 10,698.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.35 | 0.31 |
| Calmar Ratio | 0.74 | 0.35 |
| Modified Sharpe Ratio | 1.08 | 0.95 |
| Robust Sharpe Ratio | 1.16 | 1.03 |
| R-Squared | 0.9693 | 0.9741 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.19% | 5.71% |
| RAR | 5.58% | 6.22% |
| Profit Factor | 13.02 | 0.00 |
| Percent Profit Factor | 20.93 | 0.00 |
| Expectancy | $2.58 | — |
| Percentage Expectancy | 0.09 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (18.26%) |
| Longest Drawdown Duration | 32.4 months | 12.9 months |
| Max Monthly % Drawdown | (6.97%) | (16.39%) |
| Avg of Top-5 Max % Drawdowns | (8.46%) | (12.12%) |
| Avg Duration of Top-5 Longest Drawdowns | 17.3 months | 11.8 months |
| Avg of All % Drawdowns | (0.88%) | (0.91%) |
| Std Dev of All % Drawdowns | 1.48% | 1.62% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (3.11%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (3.11%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (2.49%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 78.6% | 0.0% |
| Lose Rate % | 21.4% | 0.0% |
| Winning Trades | 11 | 0 |
| Losing Trades | 3 | 0 |
| Total Trades | 14 | 0 |
| Max Consecutive Wins | 5 | 0 |
| Max Consecutive Losses | 1 | 0 |
| Avg Trade Duration | 462.4 days | 0.0 days |
| Avg Winning Trade Duration | 555.5 days | 0.0 days |
| Avg Losing Trade Duration | 121.0 days | 0.0 days |
| Largest Winning Trade | $85,604.87 | $0.00 |
| Largest Losing Trade | ($10,018.67) | $0.00 |
| Largest Win as % of Net Profit | 41.90% | — |
| Avg Win | $20,117.22 | $0.00 |
| Avg Loss | ($5,665.35) | $0.00 |
| Avg Win / Loss Ratio | 3.55 | — |
| Avg Trade | $14,592.39 | $0.00 |
| Avg Win % | 11.80% | 0.00% |
| Avg Loss % | (2.07%) | 0.00% |
| Avg Trade % | 8.83% | 0.00% |
| Avg Risk % | (99.95%) | 0.00% |
| Avg Trades Per Year | 0.62 | 0.00 |
| Avg Trades Per Month | 0.05 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 70.2% | 62.9% |
| Losing Months % | 29.8% | 37.1% |
| Winning Months | 191 | 171 |
| Losing Months | 81 | 101 |
| Total Months | 272 | 272 |
| Max Consecutive Winning Months | 10 | 10 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.9% | 78.3% |
| Losing Years % | 26.1% | 21.7% |
| Winning Years | 17 | 18 |
| Losing Years | 6 | 5 |
| Total Years | 23 | 23 |
| Max Consecutive Winning Years | 7 | 13 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 71.9% | 70.0% |
| Rolling 6-Month Win Rate | 72.7% | 75.7% |
| Rolling 12-Month Win Rate | 80.1% | 85.1% |
| Rolling 3-Year Win Rate | 95.2% | 95.2% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 270 | 270 |
| Rolling 6-Month Periods | 267 | 267 |
| Rolling 12-Month Periods | 261 | 261 |
| Rolling 3-Year Periods | 21 | 21 |
| Rolling 5-Year Periods | 19 | 19 |
| Rolling 10-Year Periods | 14 | 14 |
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