Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-29 | 2024-11-29 |
Time Elapsed | 24 years, 11 months | 24 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $232,834.24 | $1,018,323.73 |
CAGR % | 3.45% | 9.77% |
Max % Drawdown | (60.26%) | (21.03%) |
Standard Deviation | 4.44% | 3.58% |
Annualized Sharpe | 0.11 | 0.58 |
MAR Ratio | 0.06 | 0.46 |
Win Rate % | 40.7% | 55.6% |
Avg Win / Loss Ratio | 2.24 | 3.66 |
Expectancy | $0.32 | $1.59 |
Avg Win % | 19.57% | 29.42% |
Avg Loss % | (6.60%) | (3.92%) |
Longest Drawdown Duration | 196.7 months | 35.9 months |
Avg Trades Per Year | 1.08 | 0.72 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $232,834.24 | $1,018,323.73 |
Open Equity | $0.00 | $129,152.11 |
Gross Profit | $303,703.87 | $933,870.76 |
Gross Loss | ($197,205.02) | ($203,958.92) |
Net Profit | $106,498.85 | $729,911.84 |
Net Long Profit | $106,498.85 | $729,911.84 |
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 | $26,335.39 | $59,259.79 |
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 | 1,201.0 | 1,893.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.06 | 0.46 |
Calmar Ratio | 0.06 | 0.46 |
Modified Sharpe Ratio | 0.30 | 0.82 |
Robust Sharpe Ratio | 0.07 | 0.76 |
R-Squared | 0.0973 | 0.9175 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.45% | 9.77% |
RAR | 1.01% | 9.42% |
Profit Factor | 1.54 | 4.58 |
Percent Profit Factor | 2.04 | 9.38 |
Expectancy | $0.32 | $1.59 |
Percentage Expectancy | 0.04 | 0.15 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.26%) | (21.03%) |
Longest Drawdown Duration | 196.7 months | 35.9 months |
Max Monthly % Drawdown | (58.84%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (30.52%) | (16.69%) |
Avg Duration of Top-5 Longest Drawdowns | 54.5 months | 27.0 months |
Avg of All % Drawdowns | (3.67%) | (6.65%) |
Std Dev of All % Drawdowns | 5.66% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (43.60%) | (10.50%) |
Closed-Equity Max Monthly % Drawdown | (43.56%) | (10.42%) |
Closed-Equity Avg of All % Drawdown | (18.63%) | (6.50%) |
Closed-Equity Std Dev of All % Drawdown | 17.80% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 40.7% | 55.6% |
Lose Rate % | 59.3% | 44.4% |
Winning Trades | 11 | 10 |
Losing Trades | 16 | 8 |
Total Trades | 27 | 18 |
Max Consecutive Wins | 4 | 3 |
Max Consecutive Losses | 7 | 4 |
Avg Trade Duration | 194.1 days | 353.1 days |
Avg Winning Trade Duration | 357.3 days | 565.9 days |
Avg Losing Trade Duration | 82.0 days | 87.1 days |
Largest Winning Trade | $106,576.40 | $216,040.20 |
Largest Losing Trade | ($34,666.80) | ($55,980.54) |
Largest Win as % of Net Profit | 100.07% | 29.60% |
Avg Win | $27,609.44 | $93,387.08 |
Avg Loss | ($12,325.31) | ($25,494.86) |
Avg Win / Loss Ratio | 2.24 | 3.66 |
Avg Trade | $3,944.40 | $40,550.66 |
Avg Win % | 19.57% | 29.42% |
Avg Loss % | (6.60%) | (3.92%) |
Avg Trade % | 4.06% | 14.60% |
Avg Risk % | (98.65%) | (99.52%) |
Avg Trades Per Year | 1.08 | 0.72 |
Avg Trades Per Month | 0.09 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 71.6% | 74.6% |
Losing Months % | 28.4% | 25.4% |
Winning Months | 214 | 223 |
Losing Months | 85 | 76 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 22 | 18 |
Max Consecutive Losing Months | 4 | 3 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 68.0% |
Losing Years % | 40.0% | 32.0% |
Winning Years | 15 | 17 |
Losing Years | 10 | 8 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 4 | 7 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 63.6% | 70.0% |
Rolling 6-Month Win Rate | 55.1% | 71.1% |
Rolling 12-Month Win Rate | 51.0% | 74.3% |
Rolling 3-Year Win Rate | 65.2% | 91.3% |
Rolling 5-Year Win Rate | 61.9% | 100.0% |
Rolling 10-Year Win Rate | 50.0% | 100.0% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |