| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2022-07-01 | 2022-07-01 |
| Time Elapsed | 22 years, 6 months | 22 years, 6 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $141,178.98 | $396,767.39 |
| CAGR % | 1.55% | 6.32% |
| Max % Drawdown | (41.31%) | (54.82%) |
| Standard Deviation | 3.01% | 4.35% |
| Annualized Sharpe | (0.08) | 0.29 |
| MAR Ratio | 0.04 | 0.12 |
| Win Rate % | 77.3% | 0.0% |
| Avg Win / Loss Ratio | 0.53 | — |
| Expectancy | $0.18 | — |
| Avg Win % | 7.32% | 0.00% |
| Avg Loss % | (13.63%) | 0.00% |
| Longest Drawdown Duration | 202.6 months | 73.5 months |
| Avg Trades Per Year | 0.98 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $141,178.98 | $396,767.39 |
| Open Equity | ($10,472.68) | $296,767.39 |
| Gross Profit | $115,511.43 | $0.00 |
| Gross Loss | ($63,859.77) | $0.00 |
| Net Profit | $51,651.66 | $0.00 |
| Net Long Profit | $51,651.66 | $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 | $0.00 | $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 | 797.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.04 | 0.12 |
| Calmar Ratio | 0.04 | 0.13 |
| Modified Sharpe Ratio | 0.20 | 0.48 |
| Robust Sharpe Ratio | 0.19 | 0.54 |
| R-Squared | 0.4496 | 0.8366 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 1.55% | 6.32% |
| RAR | 1.97% | 8.17% |
| Profit Factor | 1.81 | 0.00 |
| Percent Profit Factor | 1.83 | 0.00 |
| Expectancy | $0.18 | — |
| Percentage Expectancy | 0.03 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (54.82%) |
| Longest Drawdown Duration | 202.6 months | 73.5 months |
| Max Monthly % Drawdown | (38.17%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (17.21%) | (35.55%) |
| Avg Duration of Top-5 Longest Drawdowns | 47.6 months | 29.7 months |
| Avg of All % Drawdowns | (2.62%) | (1.94%) |
| Std Dev of All % Drawdowns | 6.52% | 5.52% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (29.90%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 77.3% | 0.0% |
| Lose Rate % | 22.7% | 0.0% |
| Winning Trades | 17 | 0 |
| Losing Trades | 5 | 0 |
| Total Trades | 22 | 0 |
| Max Consecutive Wins | 10 | 0 |
| Max Consecutive Losses | 3 | 0 |
| Avg Trade Duration | 184.0 days | 0.0 days |
| Avg Winning Trade Duration | 183.9 days | 0.0 days |
| Avg Losing Trade Duration | 184.2 days | 0.0 days |
| Largest Winning Trade | $18,641.80 | $0.00 |
| Largest Losing Trade | ($28,267.54) | $0.00 |
| Largest Win as % of Net Profit | 36.09% | — |
| Avg Win | $6,794.79 | $0.00 |
| Avg Loss | ($12,771.95) | $0.00 |
| Avg Win / Loss Ratio | 0.53 | — |
| Avg Trade | $2,347.80 | $0.00 |
| Avg Win % | 7.32% | 0.00% |
| Avg Loss % | (13.63%) | 0.00% |
| Avg Trade % | 2.56% | 0.00% |
| Avg Risk % | (98.33%) | 0.00% |
| Avg Trades Per Year | 0.98 | 0.00 |
| Avg Trades Per Month | 0.08 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.1% | 64.6% |
| Losing Months % | 19.9% | 35.4% |
| Winning Months | 217 | 175 |
| Losing Months | 54 | 96 |
| Total Months | 271 | 271 |
| Max Consecutive Winning Months | 23 | 15 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.9% | 73.9% |
| Losing Years % | 26.1% | 26.1% |
| Winning Years | 17 | 17 |
| Losing Years | 6 | 6 |
| Total Years | 23 | 23 |
| Max Consecutive Winning Years | 10 | 9 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.6% | 67.7% |
| Rolling 6-Month Win Rate | 68.0% | 71.1% |
| Rolling 12-Month Win Rate | 72.3% | 76.9% |
| Rolling 3-Year Win Rate | 66.7% | 76.2% |
| Rolling 5-Year Win Rate | 68.4% | 84.2% |
| Rolling 10-Year Win Rate | 78.6% | 92.9% |
| Rolling 3-Month Periods | 269 | 269 |
| Rolling 6-Month Periods | 266 | 266 |
| Rolling 12-Month Periods | 260 | 260 |
| Rolling 3-Year Periods | 21 | 21 |
| Rolling 5-Year Periods | 19 | 19 |
| Rolling 10-Year Periods | 14 | 14 |
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