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 | $72,039.58 |
CAGR % | 4.49% | (1.34%) |
Max % Drawdown | (14.87%) | (48.93%) |
Standard Deviation | 1.42% | 3.37% |
Annualized Sharpe | 0.32 | (0.31) |
MAR Ratio | 0.30 | (0.03) |
Win Rate % | 68.8% | 58.3% |
Avg Win / Loss Ratio | 2.10 | 0.55 |
Expectancy | $1.13 | ($0.10) |
Avg Win % | 11.80% | 9.29% |
Avg Loss % | (3.22%) | (13.62%) |
Longest Drawdown Duration | 39.5 months | 190.0 months |
Avg Trades Per Year | 0.66 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $290,924.46 | $72,039.58 |
Open Equity | ($14.70) | $0.00 |
Gross Profit | $221,289.47 | $92,861.85 |
Gross Loss | ($47,865.59) | ($120,822.26) |
Net Profit | $173,423.88 | ($27,960.42) |
Net Long Profit | $173,423.88 | ($27,960.42) |
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 | $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 | 12,205.0 | 360.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.30 | (0.03) |
Calmar Ratio | 0.33 | (0.03) |
Modified Sharpe Ratio | 0.92 | (0.06) |
Robust Sharpe Ratio | 1.05 | (0.04) |
R-Squared | 0.9488 | 0.0758 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.49% | (1.34%) |
RAR | 5.18% | (0.47%) |
Profit Factor | 4.62 | 0.77 |
Percent Profit Factor | 8.05 | 0.96 |
Expectancy | $1.13 | ($0.10) |
Percentage Expectancy | 0.07 | (0.00) |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (14.87%) | (48.93%) |
Longest Drawdown Duration | 39.5 months | 190.0 months |
Max Monthly % Drawdown | (13.69%) | (41.16%) |
Avg of Top-5 Max % Drawdowns | (9.87%) | (25.62%) |
Avg Duration of Top-5 Longest Drawdowns | 21.4 months | 71.7 months |
Avg of All % Drawdowns | (0.88%) | (17.84%) |
Std Dev of All % Drawdowns | 1.48% | 23.47% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (10.49%) | (38.72%) |
Closed-Equity Max Monthly % Drawdown | (10.14%) | (38.72%) |
Closed-Equity Avg of All % Drawdown | (6.18%) | (38.72%) |
Closed-Equity Std Dev of All % Drawdown | 0.47% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 68.8% | 58.3% |
Lose Rate % | 31.2% | 41.7% |
Winning Trades | 11 | 14 |
Losing Trades | 5 | 10 |
Total Trades | 16 | 24 |
Max Consecutive Wins | 5 | 5 |
Max Consecutive Losses | 3 | 3 |
Avg Trade Duration | 417.7 days | 183.0 days |
Avg Winning Trade Duration | 555.5 days | 183.7 days |
Avg Losing Trade Duration | 114.6 days | 184.3 days |
Largest Winning Trade | $85,604.87 | $18,925.42 |
Largest Losing Trade | ($15,771.66) | ($39,151.52) |
Largest Win as % of Net Profit | 49.36% | (67.69%) |
Avg Win | $20,117.22 | $6,632.99 |
Avg Loss | ($9,573.12) | ($12,082.23) |
Avg Win / Loss Ratio | 2.10 | 0.55 |
Avg Trade | $10,838.99 | ($1,165.02) |
Avg Win % | 11.80% | 9.29% |
Avg Loss % | (3.22%) | (13.62%) |
Avg Trade % | 7.10% | (0.25%) |
Avg Risk % | (99.94%) | (96.40%) |
Avg Trades Per Year | 0.66 | 0.99 |
Avg Trades Per Month | 0.05 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 69.2% | 73.6% |
Losing Months % | 30.8% | 26.4% |
Winning Months | 202 | 215 |
Losing Months | 90 | 77 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 14 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 68.0% | 60.0% |
Losing Years % | 32.0% | 40.0% |
Winning Years | 17 | 15 |
Losing Years | 8 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 5 |
Max Consecutive Losing Years | 4 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.7% | 65.2% |
Rolling 6-Month Win Rate | 70.0% | 52.6% |
Rolling 12-Month Win Rate | 74.7% | 56.6% |
Rolling 3-Year Win Rate | 91.3% | 52.2% |
Rolling 5-Year Win Rate | 95.2% | 33.3% |
Rolling 10-Year Win Rate | 100.0% | 31.2% |
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 |