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 | $472,805.14 |
CAGR % | 3.45% | 6.44% |
Max % Drawdown | (60.26%) | (35.30%) |
Standard Deviation | 4.44% | 3.04% |
Annualized Sharpe | 0.11 | 0.36 |
MAR Ratio | 0.06 | 0.18 |
Win Rate % | 40.7% | 79.2% |
Avg Win / Loss Ratio | 2.24 | 1.21 |
Expectancy | $0.32 | $0.75 |
Avg Win % | 19.57% | 9.92% |
Avg Loss % | (6.60%) | (8.86%) |
Longest Drawdown Duration | 196.7 months | 37.4 months |
Avg Trades Per Year | 1.08 | 0.96 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $232,834.24 | $472,805.14 |
Open Equity | $0.00 | $24,287.90 |
Gross Profit | $303,703.87 | $393,024.35 |
Gross Loss | ($197,205.02) | ($85,809.46) |
Net Profit | $106,498.85 | $307,214.89 |
Net Long Profit | $106,498.85 | $307,214.89 |
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 | $41,302.35 |
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 | 1,201.0 | 1,396.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.06 | 0.18 |
Calmar Ratio | 0.06 | 0.22 |
Modified Sharpe Ratio | 0.30 | 0.65 |
Robust Sharpe Ratio | 0.07 | 0.64 |
R-Squared | 0.0973 | 0.9592 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.45% | 6.44% |
RAR | 1.01% | 6.71% |
Profit Factor | 1.54 | 4.58 |
Percent Profit Factor | 2.04 | 4.25 |
Expectancy | $0.32 | $0.75 |
Percentage Expectancy | 0.04 | 0.06 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.26%) | (35.30%) |
Longest Drawdown Duration | 196.7 months | 37.4 months |
Max Monthly % Drawdown | (58.84%) | (29.83%) |
Avg of Top-5 Max % Drawdowns | (30.52%) | (25.32%) |
Avg Duration of Top-5 Longest Drawdowns | 54.5 months | 24.5 months |
Avg of All % Drawdowns | (3.67%) | (1.69%) |
Std Dev of All % Drawdowns | 5.66% | 4.25% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (43.60%) | (16.57%) |
Closed-Equity Max Monthly % Drawdown | (43.56%) | (16.57%) |
Closed-Equity Avg of All % Drawdown | (18.63%) | (10.77%) |
Closed-Equity Std Dev of All % Drawdown | 17.80% | 4.83% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 40.7% | 79.2% |
Lose Rate % | 59.3% | 20.8% |
Winning Trades | 11 | 19 |
Losing Trades | 16 | 5 |
Total Trades | 27 | 24 |
Max Consecutive Wins | 4 | 10 |
Max Consecutive Losses | 7 | 2 |
Avg Trade Duration | 194.1 days | 181.3 days |
Avg Winning Trade Duration | 357.3 days | 181.3 days |
Avg Losing Trade Duration | 82.0 days | 181.2 days |
Largest Winning Trade | $106,576.40 | $78,378.06 |
Largest Losing Trade | ($34,666.80) | ($34,858.81) |
Largest Win as % of Net Profit | 100.07% | 25.51% |
Avg Win | $27,609.44 | $20,685.49 |
Avg Loss | ($12,325.31) | ($17,161.89) |
Avg Win / Loss Ratio | 2.24 | 1.21 |
Avg Trade | $3,944.40 | $12,800.62 |
Avg Win % | 19.57% | 9.92% |
Avg Loss % | (6.60%) | (8.86%) |
Avg Trade % | 4.06% | 6.00% |
Avg Risk % | (98.65%) | (99.06%) |
Avg Trades Per Year | 1.08 | 0.96 |
Avg Trades Per Month | 0.09 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 71.6% | 82.9% |
Losing Months % | 28.4% | 17.1% |
Winning Months | 214 | 248 |
Losing Months | 85 | 51 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 22 | 23 |
Max Consecutive Losing Months | 4 | 5 |
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 | 63.6% | 79.8% |
Rolling 6-Month Win Rate | 55.1% | 74.1% |
Rolling 12-Month Win Rate | 51.0% | 78.1% |
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 |