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 |