Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2025-04-21 | 2025-04-21 |
Time Elapsed | 25 years, 3 months | 25 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $229,863.92 | $129,801.52 |
CAGR % | 3.35% | 1.04% |
Max % Drawdown | (60.26%) | (88.50%) |
Standard Deviation | 4.43% | 6.52% |
Annualized Sharpe | 0.10 | 0.03 |
MAR Ratio | 0.06 | 0.01 |
Win Rate % | 40.7% | 0.0% |
Avg Win / Loss Ratio | 2.24 | — |
Expectancy | $0.32 | — |
Avg Win % | 19.57% | 0.00% |
Avg Loss % | (6.60%) | 0.00% |
Longest Drawdown Duration | 201.5 months | 201.5 months |
Avg Trades Per Year | 1.07 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $229,863.92 | $129,801.52 |
Open Equity | ($3,793.86) | $29,801.52 |
Gross Profit | $303,703.87 | $0.00 |
Gross Loss | ($197,205.02) | $0.00 |
Net Profit | $106,498.85 | $0.00 |
Net Long Profit | $106,498.85 | $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 | $27,158.93 | $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 | 1,201.0 | 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 | 0.29 | 0.16 |
Robust Sharpe Ratio | 0.07 | (0.11) |
R-Squared | 0.1123 | 0.2500 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.35% | 1.04% |
RAR | 1.07% | (2.55%) |
Profit Factor | 1.54 | 0.00 |
Percent Profit Factor | 2.04 | 0.00 |
Expectancy | $0.32 | — |
Percentage Expectancy | 0.04 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.26%) | (88.50%) |
Longest Drawdown Duration | 201.5 months | 201.5 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 | 55.4 months | 54.1 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 % | 40.7% | 0.0% |
Lose Rate % | 59.3% | 0.0% |
Winning Trades | 11 | 0 |
Losing Trades | 16 | 0 |
Total Trades | 27 | 0 |
Max Consecutive Wins | 4 | 0 |
Max Consecutive Losses | 7 | 0 |
Avg Trade Duration | 194.1 days | 0.0 days |
Avg Winning Trade Duration | 357.3 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 | 100.07% | — |
Avg Win | $27,609.44 | $0.00 |
Avg Loss | ($12,325.31) | $0.00 |
Avg Win / Loss Ratio | 2.24 | — |
Avg Trade | $3,944.40 | $0.00 |
Avg Win % | 19.57% | 0.00% |
Avg Loss % | (6.60%) | 0.00% |
Avg Trade % | 4.06% | 0.00% |
Avg Risk % | (98.65%) | 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 % | 71.4% | 55.6% |
Losing Months % | 28.6% | 44.4% |
Winning Months | 217 | 169 |
Losing Months | 87 | 135 |
Total Months | 304 | 304 |
Max Consecutive Winning Months | 22 | 8 |
Max Consecutive Losing Months | 4 | 8 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 57.7% | 57.7% |
Losing Years % | 42.3% | 42.3% |
Winning Years | 15 | 15 |
Losing Years | 11 | 11 |
Total Years | 26 | 26 |
Max Consecutive Winning Years | 4 | 4 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 63.9% | 56.3% |
Rolling 6-Month Win Rate | 55.2% | 58.2% |
Rolling 12-Month Win Rate | 51.5% | 53.9% |
Rolling 3-Year Win Rate | 62.5% | 62.5% |
Rolling 5-Year Win Rate | 63.6% | 45.5% |
Rolling 10-Year Win Rate | 52.9% | 41.2% |
Rolling 3-Month Periods | 302 | 302 |
Rolling 6-Month Periods | 299 | 299 |
Rolling 12-Month Periods | 293 | 293 |
Rolling 3-Year Periods | 24 | 24 |
Rolling 5-Year Periods | 22 | 22 |
Rolling 10-Year Periods | 17 | 17 |