Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-08-30 | 2024-08-30 |
Time Elapsed | 24 years, 8 months | 24 years, 8 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $392,045.87 | $515,111.06 |
CAGR % | 5.70% | 6.87% |
Max % Drawdown | (28.57%) | (10.05%) |
Standard Deviation | 3.07% | 1.93% |
Annualized Sharpe | 0.30 | 0.59 |
MAR Ratio | 0.20 | 0.68 |
Win Rate % | 38.9% | 50.5% |
Avg Win / Loss Ratio | 4.44 | 3.16 |
Expectancy | $1.11 | $1.10 |
Avg Win % | 33.57% | 4.42% |
Avg Loss % | (5.29%) | (1.00%) |
Longest Drawdown Duration | 48.9 months | 28.1 months |
Avg Trades Per Year | 0.73 | 3.85 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $392,045.87 | $515,111.06 |
Open Equity | $58,942.02 | $53,782.63 |
Gross Profit | $330,750.35 | $484,561.20 |
Gross Loss | ($117,116.58) | ($150,311.49) |
Net Profit | $213,633.77 | $334,249.72 |
Net Long Profit | $213,633.77 | $334,249.72 |
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 | $19,470.08 | $27,078.72 |
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 | 3,927.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.68 |
Calmar Ratio | 0.21 | 0.75 |
Modified Sharpe Ratio | 0.57 | 1.03 |
Robust Sharpe Ratio | 0.49 | 0.96 |
R-Squared | 0.8195 | 0.9473 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.70% | 6.87% |
RAR | 5.22% | 6.39% |
Profit Factor | 2.82 | 3.22 |
Percent Profit Factor | 4.04 | 4.52 |
Expectancy | $1.11 | $1.10 |
Percentage Expectancy | 0.10 | 0.42 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (28.57%) | (10.05%) |
Longest Drawdown Duration | 48.9 months | 28.1 months |
Max Monthly % Drawdown | (26.50%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (21.46%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 23.8 months |
Avg of All % Drawdowns | (2.76%) | (1.06%) |
Std Dev of All % Drawdowns | 4.69% | 1.80% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (14.59%) | (8.74%) |
Closed-Equity Max Monthly % Drawdown | (14.59%) | (8.74%) |
Closed-Equity Avg of All % Drawdown | (8.06%) | (2.91%) |
Closed-Equity Std Dev of All % Drawdown | 5.71% | 2.60% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 38.9% | 50.5% |
Lose Rate % | 61.1% | 49.5% |
Winning Trades | 7 | 48 |
Losing Trades | 11 | 47 |
Total Trades | 18 | 95 |
Max Consecutive Wins | 3 | 9 |
Max Consecutive Losses | 3 | 8 |
Avg Trade Duration | 311.1 days | 315.8 days |
Avg Winning Trade Duration | 642.9 days | 541.3 days |
Avg Losing Trade Duration | 99.9 days | 85.5 days |
Largest Winning Trade | $126,225.36 | $61,124.70 |
Largest Losing Trade | ($32,828.35) | ($8,254.00) |
Largest Win as % of Net Profit | 59.08% | 18.29% |
Avg Win | $47,250.05 | $10,095.03 |
Avg Loss | ($10,646.96) | ($3,198.12) |
Avg Win / Loss Ratio | 4.44 | 3.16 |
Avg Trade | $11,868.54 | $3,518.42 |
Avg Win % | 33.57% | 4.42% |
Avg Loss % | (5.29%) | (1.00%) |
Avg Trade % | 9.82% | 1.74% |
Avg Risk % | (98.28%) | (4.09%) |
Avg Trades Per Year | 0.73 | 3.85 |
Avg Trades Per Month | 0.06 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 72.3% | 68.6% |
Losing Months % | 27.7% | 31.4% |
Winning Months | 214 | 203 |
Losing Months | 82 | 93 |
Total Months | 296 | 296 |
Max Consecutive Winning Months | 22 | 12 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 56.0% | 80.0% |
Losing Years % | 44.0% | 20.0% |
Winning Years | 14 | 20 |
Losing Years | 11 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 5 | 8 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.4% | 68.7% |
Rolling 6-Month Win Rate | 64.9% | 74.2% |
Rolling 12-Month Win Rate | 61.8% | 80.7% |
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 | 294 | 294 |
Rolling 6-Month Periods | 291 | 291 |
Rolling 12-Month Periods | 285 | 285 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |