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 | $248,727.76 |
CAGR % | 5.33% | 3.82% |
Max % Drawdown | (28.57%) | (20.79%) |
Standard Deviation | 3.09% | 1.81% |
Annualized Sharpe | 0.26 | 0.16 |
MAR Ratio | 0.19 | 0.18 |
Win Rate % | 38.9% | 0.0% |
Avg Win / Loss Ratio | 4.44 | — |
Expectancy | $1.11 | — |
Avg Win % | 33.57% | 0.00% |
Avg Loss % | (5.29%) | 0.00% |
Longest Drawdown Duration | 48.9 months | 44.5 months |
Avg Trades Per Year | 0.74 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $352,833.49 | $248,727.76 |
Open Equity | $19,854.69 | $148,727.76 |
Gross Profit | $330,750.35 | $0.00 |
Gross Loss | ($117,116.58) | $0.00 |
Net Profit | $213,633.77 | $0.00 |
Net Long Profit | $213,633.77 | $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 | $19,345.03 | $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 | 637.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.19 | 0.18 |
Calmar Ratio | 0.20 | 0.19 |
Modified Sharpe Ratio | 0.54 | 0.63 |
Robust Sharpe Ratio | 0.49 | 0.63 |
R-Squared | 0.8135 | 0.9067 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.33% | 3.82% |
RAR | 5.23% | 3.96% |
Profit Factor | 2.82 | 0.00 |
Percent Profit Factor | 4.04 | 0.00 |
Expectancy | $1.11 | — |
Percentage Expectancy | 0.10 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (28.57%) | (20.79%) |
Longest Drawdown Duration | 48.9 months | 44.5 months |
Max Monthly % Drawdown | (26.50%) | (19.92%) |
Avg of Top-5 Max % Drawdowns | (21.46%) | (11.43%) |
Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 28.9 months |
Avg of All % Drawdowns | (2.72%) | (1.40%) |
Std Dev of All % Drawdowns | 4.74% | 1.95% |
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 | (8.06%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 5.71% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 38.9% | 0.0% |
Lose Rate % | 61.1% | 0.0% |
Winning Trades | 7 | 0 |
Losing Trades | 11 | 0 |
Total Trades | 18 | 0 |
Max Consecutive Wins | 3 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 311.1 days | 0.0 days |
Avg Winning Trade Duration | 642.9 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 | 59.08% | — |
Avg Win | $47,250.05 | $0.00 |
Avg Loss | ($10,646.96) | $0.00 |
Avg Win / Loss Ratio | 4.44 | — |
Avg Trade | $11,868.54 | $0.00 |
Avg Win % | 33.57% | 0.00% |
Avg Loss % | (5.29%) | 0.00% |
Avg Trade % | 9.82% | 0.00% |
Avg Risk % | (98.28%) | 0.00% |
Avg Trades Per Year | 0.74 | 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 % | 72.3% | 56.2% |
Losing Months % | 27.7% | 43.8% |
Winning Months | 211 | 164 |
Losing Months | 81 | 128 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 22 | 8 |
Max Consecutive Losing Months | 5 | 6 |
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 | 9 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 69.3% | 61.7% |
Rolling 6-Month Win Rate | 64.5% | 65.9% |
Rolling 12-Month Win Rate | 61.2% | 70.8% |
Rolling 3-Year Win Rate | 87.0% | 87.0% |
Rolling 5-Year Win Rate | 81.0% | 95.2% |
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 |