Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $290,924.46 | $489,797.08 |
CAGR % | 4.49% | 6.76% |
Max % Drawdown | (14.87%) | (10.05%) |
Standard Deviation | 1.42% | 1.93% |
Annualized Sharpe | 0.32 | 0.57 |
MAR Ratio | 0.30 | 0.67 |
Win Rate % | 68.8% | 51.1% |
Avg Win / Loss Ratio | 2.10 | 3.11 |
Expectancy | $1.13 | $1.10 |
Avg Win % | 11.80% | 4.42% |
Avg Loss % | (3.22%) | (1.02%) |
Longest Drawdown Duration | 39.5 months | 28.1 months |
Avg Trades Per Year | 0.66 | 3.87 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $290,924.46 | $489,797.08 |
Open Equity | ($14.70) | $28,075.52 |
Gross Profit | $221,289.47 | $484,561.20 |
Gross Loss | ($47,865.59) | ($149,474.86) |
Net Profit | $173,423.88 | $335,086.35 |
Net Long Profit | $173,423.88 | $335,086.35 |
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 | $17,515.28 | $26,635.21 |
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 | 3,917.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.30 | 0.67 |
Calmar Ratio | 0.33 | 0.74 |
Modified Sharpe Ratio | 0.92 | 1.01 |
Robust Sharpe Ratio | 1.05 | 0.96 |
R-Squared | 0.9488 | 0.9460 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.49% | 6.76% |
RAR | 5.18% | 6.42% |
Profit Factor | 4.62 | 3.24 |
Percent Profit Factor | 8.05 | 4.53 |
Expectancy | $1.13 | $1.10 |
Percentage Expectancy | 0.07 | 0.43 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (14.87%) | (10.05%) |
Longest Drawdown Duration | 39.5 months | 28.1 months |
Max Monthly % Drawdown | (13.69%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (9.87%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 21.4 months | 23.3 months |
Avg of All % Drawdowns | (0.88%) | (1.03%) |
Std Dev of All % Drawdowns | 1.48% | 1.72% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (10.49%) | (8.74%) |
Closed-Equity Max Monthly % Drawdown | (10.14%) | (8.74%) |
Closed-Equity Avg of All % Drawdown | (6.18%) | (2.91%) |
Closed-Equity Std Dev of All % Drawdown | 0.47% | 2.60% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 68.8% | 51.1% |
Lose Rate % | 31.2% | 48.9% |
Winning Trades | 11 | 48 |
Losing Trades | 5 | 46 |
Total Trades | 16 | 94 |
Max Consecutive Wins | 5 | 9 |
Max Consecutive Losses | 3 | 8 |
Avg Trade Duration | 417.7 days | 317.6 days |
Avg Winning Trade Duration | 555.5 days | 541.3 days |
Avg Losing Trade Duration | 114.6 days | 84.1 days |
Largest Winning Trade | $85,604.87 | $61,124.70 |
Largest Losing Trade | ($15,771.66) | ($8,254.00) |
Largest Win as % of Net Profit | 49.36% | 18.24% |
Avg Win | $20,117.22 | $10,095.03 |
Avg Loss | ($9,573.12) | ($3,249.45) |
Avg Win / Loss Ratio | 2.10 | 3.11 |
Avg Trade | $10,838.99 | $3,564.75 |
Avg Win % | 11.80% | 4.42% |
Avg Loss % | (3.22%) | (1.02%) |
Avg Trade % | 7.10% | 1.76% |
Avg Risk % | (99.94%) | (4.09%) |
Avg Trades Per Year | 0.66 | 3.87 |
Avg Trades Per Month | 0.05 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 69.2% | 68.2% |
Losing Months % | 30.8% | 31.8% |
Winning Months | 202 | 199 |
Losing Months | 90 | 93 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 12 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 68.0% | 80.0% |
Losing Years % | 32.0% | 20.0% |
Winning Years | 17 | 20 |
Losing Years | 8 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 8 |
Max Consecutive Losing Years | 4 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.7% | 68.6% |
Rolling 6-Month Win Rate | 70.0% | 73.9% |
Rolling 12-Month Win Rate | 74.7% | 80.4% |
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 | 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 |