Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-12 | 2024-04-12 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $960,019.33 | $909,506.40 |
CAGR % | 9.77% | 9.52% |
Max % Drawdown | (21.03%) | (68.13%) |
Standard Deviation | 3.55% | 5.75% |
Annualized Sharpe | 0.58 | 0.41 |
MAR Ratio | 0.46 | 0.14 |
Win Rate % | 58.8% | 0.0% |
Avg Win / Loss Ratio | 3.35 | — |
Expectancy | $1.56 | — |
Avg Win % | 29.42% | 0.00% |
Avg Loss % | (4.34%) | 0.00% |
Longest Drawdown Duration | 35.9 months | 71.1 months |
Avg Trades Per Year | 0.70 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $960,019.33 | $909,506.40 |
Open Equity | $66,284.09 | $809,506.40 |
Gross Profit | $933,870.76 | $0.00 |
Gross Loss | ($195,425.29) | $0.00 |
Net Profit | $738,445.47 | $0.00 |
Net Long Profit | $738,445.47 | $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 | $55,289.78 | $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 | 1,791.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.46 | 0.14 |
Calmar Ratio | 0.46 | 0.14 |
Modified Sharpe Ratio | 0.82 | 0.56 |
Robust Sharpe Ratio | 0.78 | 0.45 |
R-Squared | 0.9196 | 0.9010 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.77% | 9.52% |
RAR | 9.63% | 8.89% |
Profit Factor | 4.78 | 0.00 |
Percent Profit Factor | 9.67 | 0.00 |
Expectancy | $1.56 | — |
Percentage Expectancy | 0.16 | 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%) | (31.07%) |
Avg Duration of Top-5 Longest Drawdowns | 26.5 months | 27.7 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 % | 58.8% | 0.0% |
Lose Rate % | 41.2% | 0.0% |
Winning Trades | 10 | 0 |
Losing Trades | 7 | 0 |
Total Trades | 17 | 0 |
Max Consecutive Wins | 3 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 364.9 days | 0.0 days |
Avg Winning Trade Duration | 565.9 days | 0.0 days |
Avg Losing Trade Duration | 77.9 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 | 29.26% | — |
Avg Win | $93,387.08 | $0.00 |
Avg Loss | ($27,917.90) | $0.00 |
Avg Win / Loss Ratio | 3.35 | — |
Avg Trade | $43,437.97 | $0.00 |
Avg Win % | 29.42% | 0.00% |
Avg Loss % | (4.34%) | 0.00% |
Avg Trade % | 15.52% | 0.00% |
Avg Risk % | (99.51%) | 0.00% |
Avg Trades Per Year | 0.70 | 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 % | 74.7% | 63.7% |
Losing Months % | 25.3% | 36.3% |
Winning Months | 218 | 186 |
Losing Months | 74 | 106 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 18 | 14 |
Max Consecutive Losing Months | 3 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 64.0% | 76.0% |
Losing Years % | 36.0% | 24.0% |
Winning Years | 16 | 19 |
Losing Years | 9 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 9 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 70.7% | 66.9% |
Rolling 6-Month Win Rate | 71.4% | 72.5% |
Rolling 12-Month Win Rate | 74.4% | 76.5% |
Rolling 3-Year Win Rate | 91.3% | 82.6% |
Rolling 5-Year Win Rate | 100.0% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 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 |