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 | $245,483.66 | $135,386.20 |
CAGR % | 3.77% | 1.25% |
Max % Drawdown | (60.26%) | (88.50%) |
Standard Deviation | 4.48% | 6.62% |
Annualized Sharpe | 0.12 | 0.04 |
MAR Ratio | 0.06 | 0.01 |
Win Rate % | 38.5% | 0.0% |
Avg Win / Loss Ratio | 2.45 | — |
Expectancy | $0.33 | — |
Avg Win % | 21.44% | 0.00% |
Avg Loss % | (6.60%) | 0.00% |
Longest Drawdown Duration | 189.4 months | 189.4 months |
Avg Trades Per Year | 1.07 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $245,483.66 | $135,386.20 |
Open Equity | $16,906.50 | $35,386.20 |
Gross Profit | $301,721.37 | $0.00 |
Gross Loss | ($197,205.02) | $0.00 |
Net Profit | $104,516.35 | $0.00 |
Net Long Profit | $104,516.35 | $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 | $24,060.81 | $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 | 1,136.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.06 | 0.01 |
Calmar Ratio | 0.06 | 0.01 |
Modified Sharpe Ratio | 0.32 | 0.17 |
Robust Sharpe Ratio | 0.06 | (0.12) |
R-Squared | 0.0742 | 0.2744 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.77% | 1.25% |
RAR | 0.90% | (2.84%) |
Profit Factor | 1.53 | 0.00 |
Percent Profit Factor | 2.03 | 0.00 |
Expectancy | $0.33 | — |
Percentage Expectancy | 0.04 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.26%) | (88.50%) |
Longest Drawdown Duration | 189.4 months | 189.4 months |
Max Monthly % Drawdown | (58.84%) | (87.18%) |
Avg of Top-5 Max % Drawdowns | (30.52%) | (40.24%) |
Avg Duration of Top-5 Longest Drawdowns | 53.0 months | 51.7 months |
Avg of All % Drawdowns | (3.67%) | (4.19%) |
Std Dev of All % Drawdowns | 5.66% | 6.80% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (43.60%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (43.56%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (18.63%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 17.80% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 38.5% | 0.0% |
Lose Rate % | 61.5% | 0.0% |
Winning Trades | 10 | 0 |
Losing Trades | 16 | 0 |
Total Trades | 26 | 0 |
Max Consecutive Wins | 4 | 0 |
Max Consecutive Losses | 7 | 0 |
Avg Trade Duration | 193.3 days | 0.0 days |
Avg Winning Trade Duration | 371.5 days | 0.0 days |
Avg Losing Trade Duration | 82.0 days | 0.0 days |
Largest Winning Trade | $106,576.40 | $0.00 |
Largest Losing Trade | ($34,666.80) | $0.00 |
Largest Win as % of Net Profit | 101.97% | — |
Avg Win | $30,172.14 | $0.00 |
Avg Loss | ($12,325.31) | $0.00 |
Avg Win / Loss Ratio | 2.45 | — |
Avg Trade | $4,019.86 | $0.00 |
Avg Win % | 21.44% | 0.00% |
Avg Loss % | (6.60%) | 0.00% |
Avg Trade % | 4.19% | 0.00% |
Avg Risk % | (98.62%) | 0.00% |
Avg Trades Per Year | 1.07 | 0.00 |
Avg Trades Per Month | 0.09 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 71.9% | 55.8% |
Losing Months % | 28.1% | 44.2% |
Winning Months | 210 | 163 |
Losing Months | 82 | 129 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 22 | 8 |
Max Consecutive Losing Months | 4 | 8 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 60.0% |
Losing Years % | 40.0% | 40.0% |
Winning Years | 15 | 15 |
Losing Years | 10 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 4 | 4 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 64.1% | 56.2% |
Rolling 6-Month Win Rate | 55.4% | 58.2% |
Rolling 12-Month Win Rate | 52.0% | 53.4% |
Rolling 3-Year Win Rate | 65.2% | 60.9% |
Rolling 5-Year Win Rate | 61.9% | 42.9% |
Rolling 10-Year Win Rate | 50.0% | 37.5% |
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 |