| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-12-08 | 2023-12-08 |
| Time Elapsed | 23 years, 11 months | 23 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $893,671.66 | $146,947.75 |
| CAGR % | 9.58% | 1.62% |
| Max % Drawdown | (21.03%) | (41.31%) |
| Standard Deviation | 3.52% | 3.11% |
| Annualized Sharpe | 0.57 | (0.07) |
| MAR Ratio | 0.46 | 0.04 |
| Win Rate % | 58.8% | 75.0% |
| Avg Win / Loss Ratio | 3.35 | 0.55 |
| Expectancy | $1.56 | $0.17 |
| Avg Win % | 29.42% | 7.00% |
| Avg Loss % | (4.34%) | (12.13%) |
| Longest Drawdown Duration | 35.9 months | 202.6 months |
| Avg Trades Per Year | 0.71 | 1.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $893,671.66 | $146,947.75 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $933,870.76 | $117,845.35 |
| Gross Loss | ($195,425.29) | ($70,897.60) |
| Net Profit | $738,445.47 | $46,947.75 |
| Net Long Profit | $738,445.47 | $46,947.75 |
| 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 | $55,226.20 | $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 | 830.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.46 | 0.04 |
| Calmar Ratio | 0.46 | 0.04 |
| Modified Sharpe Ratio | 0.81 | 0.20 |
| Robust Sharpe Ratio | 0.80 | 0.21 |
| R-Squared | 0.9209 | 0.5397 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.58% | 1.62% |
| RAR | 9.75% | 2.28% |
| Profit Factor | 4.78 | 1.66 |
| Percent Profit Factor | 9.67 | 1.73 |
| Expectancy | $1.56 | $0.17 |
| Percentage Expectancy | 0.16 | 0.02 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (41.31%) |
| Longest Drawdown Duration | 35.9 months | 202.6 months |
| Max Monthly % Drawdown | (21.03%) | (38.17%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (19.07%) |
| Avg Duration of Top-5 Longest Drawdowns | 25.7 months | 49.9 months |
| Avg of All % Drawdowns | (6.65%) | (3.06%) |
| Std Dev of All % Drawdowns | 5.36% | 6.75% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (29.90%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (29.90%) |
| Closed-Equity Avg of All % Drawdown | (6.50%) | (29.90%) |
| Closed-Equity Std Dev of All % Drawdown | 4.03% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 58.8% | 75.0% |
| Lose Rate % | 41.2% | 25.0% |
| Winning Trades | 10 | 18 |
| Losing Trades | 7 | 6 |
| Total Trades | 17 | 24 |
| Max Consecutive Wins | 3 | 10 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 364.9 days | 183.0 days |
| Avg Winning Trade Duration | 565.9 days | 183.9 days |
| Avg Losing Trade Duration | 77.9 days | 184.0 days |
| Largest Winning Trade | $216,040.20 | $18,641.80 |
| Largest Losing Trade | ($55,980.54) | ($28,267.54) |
| Largest Win as % of Net Profit | 29.26% | 39.71% |
| Avg Win | $93,387.08 | $6,546.96 |
| Avg Loss | ($27,917.90) | ($11,816.27) |
| Avg Win / Loss Ratio | 3.35 | 0.55 |
| Avg Trade | $43,437.97 | $1,956.16 |
| Avg Win % | 29.42% | 7.00% |
| Avg Loss % | (4.34%) | (12.13%) |
| Avg Trade % | 15.52% | 2.22% |
| Avg Risk % | (99.51%) | (98.31%) |
| Avg Trades Per Year | 0.71 | 1.00 |
| Avg Trades Per Month | 0.06 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.7% | 79.5% |
| Losing Months % | 25.3% | 20.5% |
| Winning Months | 215 | 229 |
| Losing Months | 73 | 59 |
| Total Months | 288 | 288 |
| Max Consecutive Winning Months | 18 | 23 |
| Max Consecutive Losing Months | 3 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 62.5% | 75.0% |
| Losing Years % | 37.5% | 25.0% |
| Winning Years | 15 | 18 |
| Losing Years | 9 | 6 |
| Total Years | 24 | 24 |
| Max Consecutive Winning Years | 7 | 10 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.6% | 72.7% |
| Rolling 6-Month Win Rate | 71.0% | 67.8% |
| Rolling 12-Month Win Rate | 74.0% | 70.8% |
| Rolling 3-Year Win Rate | 95.5% | 68.2% |
| Rolling 5-Year Win Rate | 100.0% | 70.0% |
| Rolling 10-Year Win Rate | 100.0% | 80.0% |
| Rolling 3-Month Periods | 286 | 286 |
| Rolling 6-Month Periods | 283 | 283 |
| Rolling 12-Month Periods | 277 | 277 |
| Rolling 3-Year Periods | 22 | 22 |
| Rolling 5-Year Periods | 20 | 20 |
| Rolling 10-Year Periods | 15 | 15 |
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