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 | $352,833.49 | $461,247.40 |
CAGR % | 5.33% | 6.50% |
Max % Drawdown | (28.57%) | (14.90%) |
Standard Deviation | 3.09% | 1.98% |
Annualized Sharpe | 0.26 | 0.52 |
MAR Ratio | 0.19 | 0.44 |
Win Rate % | 38.9% | 46.1% |
Avg Win / Loss Ratio | 4.44 | 3.56 |
Expectancy | $1.11 | $1.10 |
Avg Win % | 33.57% | 4.49% |
Avg Loss % | (5.29%) | (0.93%) |
Longest Drawdown Duration | 48.9 months | 30.5 months |
Avg Trades Per Year | 0.74 | 4.20 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $352,833.49 | $461,247.40 |
Open Equity | $19,854.69 | $17,987.93 |
Gross Profit | $330,750.35 | $471,807.94 |
Gross Loss | ($117,116.58) | ($155,281.16) |
Net Profit | $213,633.77 | $316,526.78 |
Net Long Profit | $213,633.77 | $316,526.78 |
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 | $19,345.03 | $26,732.70 |
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 | 637.0 | 1,069.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.19 | 0.44 |
Calmar Ratio | 0.20 | 0.60 |
Modified Sharpe Ratio | 0.54 | 0.95 |
Robust Sharpe Ratio | 0.49 | 0.88 |
R-Squared | 0.8135 | 0.9341 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.33% | 6.50% |
RAR | 5.23% | 6.03% |
Profit Factor | 2.82 | 3.04 |
Percent Profit Factor | 4.04 | 4.11 |
Expectancy | $1.11 | $1.10 |
Percentage Expectancy | 0.10 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (28.57%) | (14.90%) |
Longest Drawdown Duration | 48.9 months | 30.5 months |
Max Monthly % Drawdown | (26.50%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (21.46%) | (10.73%) |
Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 23.7 months |
Avg of All % Drawdowns | (2.72%) | (1.35%) |
Std Dev of All % Drawdowns | 4.74% | 2.07% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (14.59%) | (8.54%) |
Closed-Equity Max Monthly % Drawdown | (14.59%) | (8.54%) |
Closed-Equity Avg of All % Drawdown | (8.06%) | (2.79%) |
Closed-Equity Std Dev of All % Drawdown | 5.71% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 38.9% | 46.1% |
Lose Rate % | 61.1% | 53.9% |
Winning Trades | 7 | 47 |
Losing Trades | 11 | 55 |
Total Trades | 18 | 102 |
Max Consecutive Wins | 3 | 6 |
Max Consecutive Losses | 3 | 8 |
Avg Trade Duration | 311.1 days | 286.8 days |
Avg Winning Trade Duration | 642.9 days | 531.4 days |
Avg Losing Trade Duration | 99.9 days | 77.7 days |
Largest Winning Trade | $126,225.36 | $61,124.70 |
Largest Losing Trade | ($32,828.35) | ($9,079.40) |
Largest Win as % of Net Profit | 59.08% | 19.31% |
Avg Win | $47,250.05 | $10,038.47 |
Avg Loss | ($10,646.96) | ($2,823.29) |
Avg Win / Loss Ratio | 4.44 | 3.56 |
Avg Trade | $11,868.54 | $3,103.20 |
Avg Win % | 33.57% | 4.49% |
Avg Loss % | (5.29%) | (0.93%) |
Avg Trade % | 9.82% | 1.57% |
Avg Risk % | (98.28%) | (18.02%) |
Avg Trades Per Year | 0.74 | 4.20 |
Avg Trades Per Month | 0.06 | 0.35 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 72.3% | 65.4% |
Losing Months % | 27.7% | 34.6% |
Winning Months | 211 | 191 |
Losing Months | 81 | 101 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 22 | 11 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 56.0% | 84.0% |
Losing Years % | 44.0% | 16.0% |
Winning Years | 14 | 21 |
Losing Years | 11 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 5 | 8 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.3% | 66.6% |
Rolling 6-Month Win Rate | 64.5% | 74.6% |
Rolling 12-Month Win Rate | 61.2% | 77.6% |
Rolling 3-Year Win Rate | 87.0% | 100.0% |
Rolling 5-Year Win Rate | 81.0% | 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 |