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 | $472,778.68 |
CAGR % | 3.77% | 6.60% |
Max % Drawdown | (60.26%) | (33.47%) |
Standard Deviation | 4.48% | 3.19% |
Annualized Sharpe | 0.12 | 0.37 |
MAR Ratio | 0.06 | 0.20 |
Win Rate % | 38.5% | 73.9% |
Avg Win / Loss Ratio | 2.45 | 1.04 |
Expectancy | $0.33 | $0.51 |
Avg Win % | 21.44% | 11.28% |
Avg Loss % | (6.60%) | (8.58%) |
Longest Drawdown Duration | 189.4 months | 41.8 months |
Avg Trades Per Year | 1.07 | 0.95 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $245,483.66 | $472,778.68 |
Open Equity | $16,906.50 | $60,708.30 |
Gross Profit | $301,721.37 | $418,210.11 |
Gross Loss | ($197,205.02) | ($142,169.87) |
Net Profit | $104,516.35 | $276,040.24 |
Net Long Profit | $104,516.35 | $276,040.24 |
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 | $24,060.81 | $36,030.14 |
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 | 862.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.06 | 0.20 |
Calmar Ratio | 0.06 | 0.25 |
Modified Sharpe Ratio | 0.32 | 0.63 |
Robust Sharpe Ratio | 0.06 | 0.59 |
R-Squared | 0.0742 | 0.9603 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.77% | 6.60% |
RAR | 0.90% | 6.51% |
Profit Factor | 1.53 | 2.94 |
Percent Profit Factor | 2.03 | 3.73 |
Expectancy | $0.33 | $0.51 |
Percentage Expectancy | 0.04 | 0.06 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.26%) | (33.47%) |
Longest Drawdown Duration | 189.4 months | 41.8 months |
Max Monthly % Drawdown | (58.84%) | (26.06%) |
Avg of Top-5 Max % Drawdowns | (30.52%) | (23.64%) |
Avg Duration of Top-5 Longest Drawdowns | 53.0 months | 24.3 months |
Avg of All % Drawdowns | (3.67%) | (2.28%) |
Std Dev of All % Drawdowns | 5.66% | 4.78% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (43.60%) | (15.43%) |
Closed-Equity Max Monthly % Drawdown | (43.56%) | (15.43%) |
Closed-Equity Avg of All % Drawdown | (18.63%) | (10.15%) |
Closed-Equity Std Dev of All % Drawdown | 17.80% | 5.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 38.5% | 73.9% |
Lose Rate % | 61.5% | 26.1% |
Winning Trades | 10 | 17 |
Losing Trades | 16 | 6 |
Total Trades | 26 | 23 |
Max Consecutive Wins | 4 | 6 |
Max Consecutive Losses | 7 | 2 |
Avg Trade Duration | 193.3 days | 181.3 days |
Avg Winning Trade Duration | 371.5 days | 181.2 days |
Avg Losing Trade Duration | 82.0 days | 181.3 days |
Largest Winning Trade | $106,576.40 | $81,648.82 |
Largest Losing Trade | ($34,666.80) | ($53,296.88) |
Largest Win as % of Net Profit | 101.97% | 29.58% |
Avg Win | $30,172.14 | $24,600.59 |
Avg Loss | ($12,325.31) | ($23,694.98) |
Avg Win / Loss Ratio | 2.45 | 1.04 |
Avg Trade | $4,019.86 | $12,001.75 |
Avg Win % | 21.44% | 11.28% |
Avg Loss % | (6.60%) | (8.58%) |
Avg Trade % | 4.19% | 6.10% |
Avg Risk % | (98.62%) | (98.70%) |
Avg Trades Per Year | 1.07 | 0.95 |
Avg Trades Per Month | 0.09 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 71.9% | 78.1% |
Losing Months % | 28.1% | 21.9% |
Winning Months | 210 | 228 |
Losing Months | 82 | 64 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 22 | 14 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 80.0% |
Losing Years % | 40.0% | 20.0% |
Winning Years | 15 | 20 |
Losing Years | 10 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 4 | 9 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 64.1% | 76.2% |
Rolling 6-Month Win Rate | 55.4% | 70.0% |
Rolling 12-Month Win Rate | 52.0% | 75.1% |
Rolling 3-Year Win Rate | 65.2% | 95.7% |
Rolling 5-Year Win Rate | 61.9% | 100.0% |
Rolling 10-Year Win Rate | 50.0% | 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 |