Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $960,022.91 | $72,039.58 |
CAGR % | 9.76% | (1.34%) |
Max % Drawdown | (21.03%) | (48.93%) |
Standard Deviation | 3.55% | 3.37% |
Annualized Sharpe | 0.58 | (0.31) |
MAR Ratio | 0.46 | (0.03) |
Win Rate % | 58.8% | 58.3% |
Avg Win / Loss Ratio | 3.35 | 0.55 |
Expectancy | $1.56 | ($0.10) |
Avg Win % | 29.42% | 9.29% |
Avg Loss % | (4.34%) | (13.62%) |
Longest Drawdown Duration | 35.9 months | 190.0 months |
Avg Trades Per Year | 0.70 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $960,022.91 | $72,039.58 |
Open Equity | $66,284.09 | $0.00 |
Gross Profit | $933,870.76 | $92,861.85 |
Gross Loss | ($195,425.29) | ($120,822.26) |
Net Profit | $738,445.47 | ($27,960.42) |
Net Long Profit | $738,445.47 | ($27,960.42) |
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 | $55,293.35 | $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 | 360.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.46 | (0.03) |
Calmar Ratio | 0.46 | (0.03) |
Modified Sharpe Ratio | 0.82 | (0.06) |
Robust Sharpe Ratio | 0.78 | (0.04) |
R-Squared | 0.9196 | 0.0758 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.76% | (1.34%) |
RAR | 9.62% | (0.47%) |
Profit Factor | 4.78 | 0.77 |
Percent Profit Factor | 9.67 | 0.96 |
Expectancy | $1.56 | ($0.10) |
Percentage Expectancy | 0.16 | (0.00) |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (21.03%) | (48.93%) |
Longest Drawdown Duration | 35.9 months | 190.0 months |
Max Monthly % Drawdown | (21.03%) | (41.16%) |
Avg of Top-5 Max % Drawdowns | (16.69%) | (25.62%) |
Avg Duration of Top-5 Longest Drawdowns | 26.5 months | 71.7 months |
Avg of All % Drawdowns | (6.65%) | (17.84%) |
Std Dev of All % Drawdowns | 5.36% | 23.47% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (10.50%) | (38.72%) |
Closed-Equity Max Monthly % Drawdown | (10.42%) | (38.72%) |
Closed-Equity Avg of All % Drawdown | (6.50%) | (38.72%) |
Closed-Equity Std Dev of All % Drawdown | 4.03% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 58.8% | 58.3% |
Lose Rate % | 41.2% | 41.7% |
Winning Trades | 10 | 14 |
Losing Trades | 7 | 10 |
Total Trades | 17 | 24 |
Max Consecutive Wins | 3 | 5 |
Max Consecutive Losses | 3 | 3 |
Avg Trade Duration | 364.9 days | 183.0 days |
Avg Winning Trade Duration | 565.9 days | 183.7 days |
Avg Losing Trade Duration | 77.9 days | 184.3 days |
Largest Winning Trade | $216,040.20 | $18,925.42 |
Largest Losing Trade | ($55,980.54) | ($39,151.52) |
Largest Win as % of Net Profit | 29.26% | (67.69%) |
Avg Win | $93,387.08 | $6,632.99 |
Avg Loss | ($27,917.90) | ($12,082.23) |
Avg Win / Loss Ratio | 3.35 | 0.55 |
Avg Trade | $43,437.97 | ($1,165.02) |
Avg Win % | 29.42% | 9.29% |
Avg Loss % | (4.34%) | (13.62%) |
Avg Trade % | 15.52% | (0.25%) |
Avg Risk % | (99.51%) | (96.40%) |
Avg Trades Per Year | 0.70 | 0.99 |
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% | 73.6% |
Losing Months % | 25.3% | 26.4% |
Winning Months | 218 | 215 |
Losing Months | 74 | 77 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 18 | 14 |
Max Consecutive Losing Months | 3 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 64.0% | 60.0% |
Losing Years % | 36.0% | 40.0% |
Winning Years | 16 | 15 |
Losing Years | 9 | 10 |
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 | 70.7% | 65.2% |
Rolling 6-Month Win Rate | 71.4% | 52.6% |
Rolling 12-Month Win Rate | 74.4% | 56.6% |
Rolling 3-Year Win Rate | 91.3% | 52.2% |
Rolling 5-Year Win Rate | 100.0% | 33.3% |
Rolling 10-Year Win Rate | 100.0% | 31.2% |
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 |