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 | $310,925.18 |
CAGR % | 5.70% | 4.71% |
Max % Drawdown | (28.57%) | (14.87%) |
Standard Deviation | 3.07% | 1.42% |
Annualized Sharpe | 0.30 | 0.36 |
MAR Ratio | 0.20 | 0.32 |
Win Rate % | 38.9% | 68.8% |
Avg Win / Loss Ratio | 4.44 | 2.10 |
Expectancy | $1.11 | $1.13 |
Avg Win % | 33.57% | 11.80% |
Avg Loss % | (5.29%) | (3.22%) |
Longest Drawdown Duration | 48.9 months | 43.8 months |
Avg Trades Per Year | 0.73 | 0.65 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $392,045.87 | $310,925.18 |
Open Equity | $58,942.02 | $19,983.95 |
Gross Profit | $330,750.35 | $221,289.47 |
Gross Loss | ($117,116.58) | ($47,865.59) |
Net Profit | $213,633.77 | $173,423.88 |
Net Long Profit | $213,633.77 | $173,423.88 |
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 | $17,517.35 |
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 | 12,205.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.32 |
Calmar Ratio | 0.21 | 0.34 |
Modified Sharpe Ratio | 0.57 | 0.96 |
Robust Sharpe Ratio | 0.49 | 1.04 |
R-Squared | 0.8195 | 0.9438 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.70% | 4.71% |
RAR | 5.22% | 5.10% |
Profit Factor | 2.82 | 4.62 |
Percent Profit Factor | 4.04 | 8.05 |
Expectancy | $1.11 | $1.13 |
Percentage Expectancy | 0.10 | 0.07 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (28.57%) | (14.87%) |
Longest Drawdown Duration | 48.9 months | 43.8 months |
Max Monthly % Drawdown | (26.50%) | (13.69%) |
Avg of Top-5 Max % Drawdowns | (21.46%) | (9.87%) |
Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 22.2 months |
Avg of All % Drawdowns | (2.76%) | (0.88%) |
Std Dev of All % Drawdowns | 4.69% | 1.48% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (14.59%) | (10.49%) |
Closed-Equity Max Monthly % Drawdown | (14.59%) | (10.14%) |
Closed-Equity Avg of All % Drawdown | (8.06%) | (6.18%) |
Closed-Equity Std Dev of All % Drawdown | 5.71% | 0.47% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 38.9% | 68.8% |
Lose Rate % | 61.1% | 31.2% |
Winning Trades | 7 | 11 |
Losing Trades | 11 | 5 |
Total Trades | 18 | 16 |
Max Consecutive Wins | 3 | 5 |
Max Consecutive Losses | 3 | 3 |
Avg Trade Duration | 311.1 days | 417.7 days |
Avg Winning Trade Duration | 642.9 days | 555.5 days |
Avg Losing Trade Duration | 99.9 days | 114.6 days |
Largest Winning Trade | $126,225.36 | $85,604.87 |
Largest Losing Trade | ($32,828.35) | ($15,771.66) |
Largest Win as % of Net Profit | 59.08% | 49.36% |
Avg Win | $47,250.05 | $20,117.22 |
Avg Loss | ($10,646.96) | ($9,573.12) |
Avg Win / Loss Ratio | 4.44 | 2.10 |
Avg Trade | $11,868.54 | $10,838.99 |
Avg Win % | 33.57% | 11.80% |
Avg Loss % | (5.29%) | (3.22%) |
Avg Trade % | 9.82% | 7.10% |
Avg Risk % | (98.28%) | (99.94%) |
Avg Trades Per Year | 0.73 | 0.65 |
Avg Trades Per Month | 0.06 | 0.05 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 72.3% | 69.6% |
Losing Months % | 27.7% | 30.4% |
Winning Months | 214 | 206 |
Losing Months | 82 | 90 |
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% | 72.0% |
Losing Years % | 44.0% | 28.0% |
Winning Years | 14 | 18 |
Losing Years | 11 | 7 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 5 | 7 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.4% | 69.7% |
Rolling 6-Month Win Rate | 64.9% | 70.1% |
Rolling 12-Month Win Rate | 61.8% | 74.4% |
Rolling 3-Year Win Rate | 87.0% | 91.3% |
Rolling 5-Year Win Rate | 81.0% | 95.2% |
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 |