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 |