Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-08-30 | 2024-08-30 |
Time Elapsed | 24 years, 8 months | 24 years, 8 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $310,925.18 | $923,031.97 |
CAGR % | 4.71% | 9.43% |
Max % Drawdown | (14.87%) | (33.73%) |
Standard Deviation | 1.42% | 3.46% |
Annualized Sharpe | 0.36 | 0.57 |
MAR Ratio | 0.32 | 0.28 |
Win Rate % | 68.8% | 54.8% |
Avg Win / Loss Ratio | 2.10 | 2.64 |
Expectancy | $1.13 | $0.00 |
Avg Win % | 11.80% | 19.22% |
Avg Loss % | (3.22%) | (3.99%) |
Longest Drawdown Duration | 43.8 months | 36.7 months |
Avg Trades Per Year | 0.65 | 1.26 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $310,925.18 | $923,031.97 |
Open Equity | $19,983.95 | $183,718.32 |
Gross Profit | $221,289.47 | $927,259.98 |
Gross Loss | ($47,865.59) | ($288,990.67) |
Net Profit | $173,423.88 | $638,269.31 |
Net Long Profit | $173,423.88 | $638,269.31 |
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 | $17,517.35 | $1,044.34 |
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 | 12,205.0 | 9,127.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.32 | 0.28 |
Calmar Ratio | 0.34 | 0.43 |
Modified Sharpe Ratio | 0.96 | 0.81 |
Robust Sharpe Ratio | 1.04 | 0.80 |
R-Squared | 0.9438 | 0.9515 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.71% | 9.43% |
RAR | 5.10% | 9.58% |
Profit Factor | 4.62 | 3.21 |
Percent Profit Factor | 8.05 | 5.84 |
Expectancy | $1.13 | $0.00 |
Percentage Expectancy | 0.07 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (14.87%) | (33.73%) |
Longest Drawdown Duration | 43.8 months | 36.7 months |
Max Monthly % Drawdown | (13.69%) | (22.15%) |
Avg of Top-5 Max % Drawdowns | (9.87%) | (22.87%) |
Avg Duration of Top-5 Longest Drawdowns | 22.2 months | 24.0 months |
Avg of All % Drawdowns | (0.88%) | (2.04%) |
Std Dev of All % Drawdowns | 1.48% | 4.32% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (10.49%) | (15.75%) |
Closed-Equity Max Monthly % Drawdown | (10.14%) | (15.75%) |
Closed-Equity Avg of All % Drawdown | (6.18%) | (9.46%) |
Closed-Equity Std Dev of All % Drawdown | 0.47% | 4.54% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 68.8% | 54.8% |
Lose Rate % | 31.2% | 45.2% |
Winning Trades | 11 | 17 |
Losing Trades | 5 | 14 |
Total Trades | 16 | 31 |
Max Consecutive Wins | 5 | 4 |
Max Consecutive Losses | 3 | 3 |
Avg Trade Duration | 417.7 days | 280.8 days |
Avg Winning Trade Duration | 555.5 days | 382.8 days |
Avg Losing Trade Duration | 114.6 days | 156.9 days |
Largest Winning Trade | $85,604.87 | $255,900.48 |
Largest Losing Trade | ($15,771.66) | ($51,833.25) |
Largest Win as % of Net Profit | 49.36% | 40.09% |
Avg Win | $20,117.22 | $54,544.70 |
Avg Loss | ($9,573.12) | ($20,642.19) |
Avg Win / Loss Ratio | 2.10 | 2.64 |
Avg Trade | $10,838.99 | $20,589.33 |
Avg Win % | 11.80% | 19.22% |
Avg Loss % | (3.22%) | (3.99%) |
Avg Trade % | 7.10% | 8.73% |
Avg Risk % | (99.94%) | (99.51%) |
Avg Trades Per Year | 0.65 | 1.26 |
Avg Trades Per Month | 0.05 | 0.10 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 69.6% | 65.9% |
Losing Months % | 30.4% | 34.1% |
Winning Months | 206 | 195 |
Losing Months | 90 | 101 |
Total Months | 296 | 296 |
Max Consecutive Winning Months | 12 | 15 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 80.0% |
Losing Years % | 28.0% | 20.0% |
Winning Years | 18 | 20 |
Losing Years | 7 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 7 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.7% | 69.4% |
Rolling 6-Month Win Rate | 70.1% | 72.2% |
Rolling 12-Month Win Rate | 74.4% | 75.8% |
Rolling 3-Year Win Rate | 91.3% | 100.0% |
Rolling 5-Year Win Rate | 95.2% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 294 | 294 |
Rolling 6-Month Periods | 291 | 291 |
Rolling 12-Month Periods | 285 | 285 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |