Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-07-19 | 2024-07-19 |
Time Elapsed | 24 years, 6 months | 24 years, 6 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $302,762.75 | $368,017.43 |
CAGR % | 4.62% | 5.45% |
Max % Drawdown | (14.87%) | (23.72%) |
Standard Deviation | 1.42% | 1.89% |
Annualized Sharpe | 0.34 | 0.39 |
MAR Ratio | 0.31 | 0.23 |
Win Rate % | 68.8% | 0.0% |
Avg Win / Loss Ratio | 2.10 | — |
Expectancy | $1.13 | — |
Avg Win % | 11.80% | 0.00% |
Avg Loss % | (3.22%) | 0.00% |
Longest Drawdown Duration | 42.5 months | 33.8 months |
Avg Trades Per Year | 0.65 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $302,762.75 | $368,017.43 |
Open Equity | $11,822.16 | $268,017.43 |
Gross Profit | $221,289.47 | $0.00 |
Gross Loss | ($47,865.59) | $0.00 |
Net Profit | $173,423.88 | $0.00 |
Net Long Profit | $173,423.88 | $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 | $17,516.71 | $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 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.31 | 0.23 |
Calmar Ratio | 0.34 | 0.25 |
Modified Sharpe Ratio | 0.94 | 0.84 |
Robust Sharpe Ratio | 1.04 | 0.87 |
R-Squared | 0.9450 | 0.9481 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.62% | 5.45% |
RAR | 5.12% | 5.69% |
Profit Factor | 4.62 | 0.00 |
Percent Profit Factor | 8.05 | 0.00 |
Expectancy | $1.13 | — |
Percentage Expectancy | 0.07 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (14.87%) | (23.72%) |
Longest Drawdown Duration | 42.5 months | 33.8 months |
Max Monthly % Drawdown | (13.69%) | (21.83%) |
Avg of Top-5 Max % Drawdowns | (9.87%) | (13.21%) |
Avg Duration of Top-5 Longest Drawdowns | 21.0 months | 16.4 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 | (10.49%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (10.14%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (6.18%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.47% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 68.8% | 0.0% |
Lose Rate % | 31.2% | 0.0% |
Winning Trades | 11 | 0 |
Losing Trades | 5 | 0 |
Total Trades | 16 | 0 |
Max Consecutive Wins | 5 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 417.7 days | 0.0 days |
Avg Winning Trade Duration | 555.5 days | 0.0 days |
Avg Losing Trade Duration | 114.6 days | 0.0 days |
Largest Winning Trade | $85,604.87 | $0.00 |
Largest Losing Trade | ($15,771.66) | $0.00 |
Largest Win as % of Net Profit | 49.36% | — |
Avg Win | $20,117.22 | $0.00 |
Avg Loss | ($9,573.12) | $0.00 |
Avg Win / Loss Ratio | 2.10 | — |
Avg Trade | $10,838.99 | $0.00 |
Avg Win % | 11.80% | 0.00% |
Avg Loss % | (3.22%) | 0.00% |
Avg Trade % | 7.10% | 0.00% |
Avg Risk % | (99.94%) | 0.00% |
Avg Trades Per Year | 0.65 | 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 % | 69.5% | 62.0% |
Losing Months % | 30.5% | 38.0% |
Winning Months | 205 | 183 |
Losing Months | 90 | 112 |
Total Months | 295 | 295 |
Max Consecutive Winning Months | 12 | 10 |
Max Consecutive Losing Months | 4 | 6 |
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 | 13 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.6% | 68.6% |
Rolling 6-Month Win Rate | 70.0% | 74.1% |
Rolling 12-Month Win Rate | 73.9% | 83.1% |
Rolling 3-Year Win Rate | 91.3% | 87.0% |
Rolling 5-Year Win Rate | 95.2% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 293 | 293 |
Rolling 6-Month Periods | 290 | 290 |
Rolling 12-Month Periods | 284 | 284 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |