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 | $316,768.63 | $216,199.41 |
CAGR % | 5.23% | 3.47% |
Max % Drawdown | (28.57%) | (60.11%) |
Standard Deviation | 3.07% | 4.78% |
Annualized Sharpe | 0.25 | 0.11 |
MAR Ratio | 0.18 | 0.06 |
Win Rate % | 35.3% | 0.0% |
Avg Win / Loss Ratio | 5.01 | — |
Expectancy | $1.12 | — |
Avg Win % | 38.62% | 0.00% |
Avg Loss % | (5.29%) | 0.00% |
Longest Drawdown Duration | 48.9 months | 75.7 months |
Avg Trades Per Year | 0.75 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $316,768.63 | $216,199.41 |
Open Equity | $0.00 | $116,199.41 |
Gross Profit | $320,306.98 | $0.00 |
Gross Loss | ($117,116.58) | $0.00 |
Net Profit | $203,190.40 | $0.00 |
Net Long Profit | $203,190.40 | $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 | $13,578.24 | $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 | 603.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.06 |
Calmar Ratio | 0.20 | 0.06 |
Modified Sharpe Ratio | 0.53 | 0.29 |
Robust Sharpe Ratio | 0.51 | 0.33 |
R-Squared | 0.7925 | 0.8021 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.23% | 3.47% |
RAR | 5.40% | 5.42% |
Profit Factor | 2.73 | 0.00 |
Percent Profit Factor | 3.98 | 0.00 |
Expectancy | $1.12 | — |
Percentage Expectancy | 0.10 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (28.57%) | (60.11%) |
Longest Drawdown Duration | 48.9 months | 75.7 months |
Max Monthly % Drawdown | (26.50%) | (56.36%) |
Avg of Top-5 Max % Drawdowns | (21.46%) | (38.15%) |
Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 39.5 months |
Avg of All % Drawdowns | (2.68%) | (3.42%) |
Std Dev of All % Drawdowns | 4.84% | 8.85% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (14.59%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (14.59%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (9.35%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 5.83% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 35.3% | 0.0% |
Lose Rate % | 64.7% | 0.0% |
Winning Trades | 6 | 0 |
Losing Trades | 11 | 0 |
Total Trades | 17 | 0 |
Max Consecutive Wins | 3 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 311.4 days | 0.0 days |
Avg Winning Trade Duration | 699.2 days | 0.0 days |
Avg Losing Trade Duration | 99.9 days | 0.0 days |
Largest Winning Trade | $126,225.36 | $0.00 |
Largest Losing Trade | ($32,828.35) | $0.00 |
Largest Win as % of Net Profit | 62.12% | — |
Avg Win | $53,384.50 | $0.00 |
Avg Loss | ($10,646.96) | $0.00 |
Avg Win / Loss Ratio | 5.01 | — |
Avg Trade | $11,952.38 | $0.00 |
Avg Win % | 38.62% | 0.00% |
Avg Loss % | (5.29%) | 0.00% |
Avg Trade % | 10.21% | 0.00% |
Avg Risk % | (98.29%) | 0.00% |
Avg Trades Per Year | 0.75 | 0.00 |
Avg Trades Per Month | 0.06 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 72.8% | 57.4% |
Losing Months % | 27.2% | 42.6% |
Winning Months | 198 | 156 |
Losing Months | 74 | 116 |
Total Months | 272 | 272 |
Max Consecutive Winning Months | 22 | 13 |
Max Consecutive Losing Months | 5 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 52.2% | 60.9% |
Losing Years % | 47.8% | 39.1% |
Winning Years | 12 | 14 |
Losing Years | 11 | 9 |
Total Years | 23 | 23 |
Max Consecutive Winning Years | 5 | 5 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 68.5% | 57.4% |
Rolling 6-Month Win Rate | 63.7% | 61.0% |
Rolling 12-Month Win Rate | 59.8% | 60.9% |
Rolling 3-Year Win Rate | 85.7% | 71.4% |
Rolling 5-Year Win Rate | 78.9% | 84.2% |
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 |