Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-08-30 | 2024-08-30 |
Time Elapsed | 24 years, 8 months | 24 years, 8 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $972,345.43 | $392,045.87 |
CAGR % | 9.66% | 5.70% |
Max % Drawdown | (21.03%) | (28.57%) |
Standard Deviation | 3.58% | 3.07% |
Annualized Sharpe | 0.57 | 0.30 |
MAR Ratio | 0.46 | 0.20 |
Win Rate % | 55.6% | 38.9% |
Avg Win / Loss Ratio | 3.66 | 4.44 |
Expectancy | $1.59 | $1.11 |
Avg Win % | 29.42% | 33.57% |
Avg Loss % | (3.92%) | (5.29%) |
Longest Drawdown Duration | 35.9 months | 48.9 months |
Avg Trades Per Year | 0.73 | 0.73 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $972,345.43 | $392,045.87 |
Open Equity | $83,249.57 | $58,942.02 |
Gross Profit | $933,870.76 | $330,750.35 |
Gross Loss | ($203,958.92) | ($117,116.58) |
Net Profit | $729,911.84 | $213,633.77 |
Net Long Profit | $729,911.84 | $213,633.77 |
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 | $59,184.02 | $19,470.08 |
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 | 1,893.0 | 637.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.46 | 0.20 |
Calmar Ratio | 0.46 | 0.21 |
Modified Sharpe Ratio | 0.81 | 0.57 |
Robust Sharpe Ratio | 0.77 | 0.49 |
R-Squared | 0.9173 | 0.8195 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.66% | 5.70% |
RAR | 9.49% | 5.22% |
Profit Factor | 4.58 | 2.82 |
Percent Profit Factor | 9.38 | 4.04 |
Expectancy | $1.59 | $1.11 |
Percentage Expectancy | 0.15 | 0.10 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (21.03%) | (28.57%) |
Longest Drawdown Duration | 35.9 months | 48.9 months |
Max Monthly % Drawdown | (21.03%) | (26.50%) |
Avg of Top-5 Max % Drawdowns | (16.69%) | (21.46%) |
Avg Duration of Top-5 Longest Drawdowns | 27.4 months | 37.9 months |
Avg of All % Drawdowns | (6.65%) | (2.76%) |
Std Dev of All % Drawdowns | 5.36% | 4.69% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (10.50%) | (14.59%) |
Closed-Equity Max Monthly % Drawdown | (10.42%) | (14.59%) |
Closed-Equity Avg of All % Drawdown | (6.50%) | (8.06%) |
Closed-Equity Std Dev of All % Drawdown | 4.03% | 5.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 55.6% | 38.9% |
Lose Rate % | 44.4% | 61.1% |
Winning Trades | 10 | 7 |
Losing Trades | 8 | 11 |
Total Trades | 18 | 18 |
Max Consecutive Wins | 3 | 3 |
Max Consecutive Losses | 4 | 3 |
Avg Trade Duration | 353.1 days | 311.1 days |
Avg Winning Trade Duration | 565.9 days | 642.9 days |
Avg Losing Trade Duration | 87.1 days | 99.9 days |
Largest Winning Trade | $216,040.20 | $126,225.36 |
Largest Losing Trade | ($55,980.54) | ($32,828.35) |
Largest Win as % of Net Profit | 29.60% | 59.08% |
Avg Win | $93,387.08 | $47,250.05 |
Avg Loss | ($25,494.86) | ($10,646.96) |
Avg Win / Loss Ratio | 3.66 | 4.44 |
Avg Trade | $40,550.66 | $11,868.54 |
Avg Win % | 29.42% | 33.57% |
Avg Loss % | (3.92%) | (5.29%) |
Avg Trade % | 14.60% | 9.82% |
Avg Risk % | (99.52%) | (98.28%) |
Avg Trades Per Year | 0.73 | 0.73 |
Avg Trades Per Month | 0.06 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 74.7% | 72.3% |
Losing Months % | 25.3% | 27.7% |
Winning Months | 221 | 214 |
Losing Months | 75 | 82 |
Total Months | 296 | 296 |
Max Consecutive Winning Months | 18 | 22 |
Max Consecutive Losing Months | 3 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 68.0% | 56.0% |
Losing Years % | 32.0% | 44.0% |
Winning Years | 17 | 14 |
Losing Years | 8 | 11 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 5 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 70.1% | 69.4% |
Rolling 6-Month Win Rate | 70.8% | 64.9% |
Rolling 12-Month Win Rate | 74.0% | 61.8% |
Rolling 3-Year Win Rate | 91.3% | 87.0% |
Rolling 5-Year Win Rate | 100.0% | 81.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 294 | 294 |
Rolling 6-Month Periods | 291 | 291 |
Rolling 12-Month Periods | 285 | 285 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |