| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-05-26 | 2023-05-26 |
| Time Elapsed | 23 years, 5 months | 23 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $889,668.91 | $841,909.52 |
| CAGR % | 9.79% | 9.54% |
| Max % Drawdown | (21.03%) | (68.13%) |
| Standard Deviation | 3.56% | 5.75% |
| Annualized Sharpe | 0.58 | 0.41 |
| MAR Ratio | 0.47 | 0.14 |
| Win Rate % | 62.5% | 0.0% |
| Avg Win / Loss Ratio | 3.04 | — |
| Expectancy | $1.52 | — |
| Avg Win % | 29.42% | 0.00% |
| Avg Loss % | (4.87%) | 0.00% |
| Longest Drawdown Duration | 35.9 months | 71.1 months |
| Avg Trades Per Year | 0.68 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $889,668.91 | $841,909.52 |
| Open Equity | $0.00 | $741,909.52 |
| Gross Profit | $933,870.76 | $0.00 |
| Gross Loss | ($184,581.73) | $0.00 |
| Net Profit | $749,289.03 | $0.00 |
| Net Long Profit | $749,289.03 | $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 | $40,379.88 | $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 | 1,690.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.47 | 0.14 |
| Calmar Ratio | 0.47 | 0.14 |
| Modified Sharpe Ratio | 0.82 | 0.56 |
| Robust Sharpe Ratio | 0.81 | 0.46 |
| R-Squared | 0.9244 | 0.9004 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.79% | 9.54% |
| RAR | 9.96% | 9.13% |
| Profit Factor | 5.06 | 0.00 |
| Percent Profit Factor | 10.08 | 0.00 |
| Expectancy | $1.52 | — |
| Percentage Expectancy | 0.17 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (68.13%) |
| Longest Drawdown Duration | 35.9 months | 71.1 months |
| Max Monthly % Drawdown | (21.03%) | (68.13%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (30.44%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.4 months | 25.6 months |
| Avg of All % Drawdowns | (6.65%) | (9.27%) |
| Std Dev of All % Drawdowns | 5.36% | 13.71% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (6.50%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 4.03% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 62.5% | 0.0% |
| Lose Rate % | 37.5% | 0.0% |
| Winning Trades | 10 | 0 |
| Losing Trades | 6 | 0 |
| Total Trades | 16 | 0 |
| Max Consecutive Wins | 3 | 0 |
| Max Consecutive Losses | 2 | 0 |
| Avg Trade Duration | 384.0 days | 0.0 days |
| Avg Winning Trade Duration | 565.9 days | 0.0 days |
| Avg Losing Trade Duration | 80.8 days | 0.0 days |
| Largest Winning Trade | $216,040.20 | $0.00 |
| Largest Losing Trade | ($55,980.54) | $0.00 |
| Largest Win as % of Net Profit | 28.83% | — |
| Avg Win | $93,387.08 | $0.00 |
| Avg Loss | ($30,763.62) | $0.00 |
| Avg Win / Loss Ratio | 3.04 | — |
| Avg Trade | $46,830.56 | $0.00 |
| Avg Win % | 29.42% | 0.00% |
| Avg Loss % | (4.87%) | 0.00% |
| Avg Trade % | 16.57% | 0.00% |
| Avg Risk % | (99.53%) | 0.00% |
| Avg Trades Per Year | 0.68 | 0.00 |
| Avg Trades Per Month | 0.06 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.4% | 64.1% |
| Losing Months % | 25.6% | 35.9% |
| Winning Months | 209 | 180 |
| Losing Months | 72 | 101 |
| Total Months | 281 | 281 |
| Max Consecutive Winning Months | 18 | 14 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 62.5% | 79.2% |
| Losing Years % | 37.5% | 20.8% |
| Winning Years | 15 | 19 |
| Losing Years | 9 | 5 |
| Total Years | 24 | 24 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 71.0% | 66.7% |
| Rolling 6-Month Win Rate | 71.0% | 72.8% |
| Rolling 12-Month Win Rate | 75.9% | 78.1% |
| Rolling 3-Year Win Rate | 95.5% | 86.4% |
| Rolling 5-Year Win Rate | 100.0% | 85.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 279 | 279 |
| Rolling 6-Month Periods | 276 | 276 |
| Rolling 12-Month Periods | 270 | 270 |
| Rolling 3-Year Periods | 22 | 22 |
| Rolling 5-Year Periods | 20 | 20 |
| Rolling 10-Year Periods | 15 | 15 |
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