| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-12-01 | 2023-12-01 |
| Time Elapsed | 23 years, 11 months | 23 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $146,947.75 | $446,922.07 |
| CAGR % | 1.62% | 6.46% |
| Max % Drawdown | (41.31%) | (14.90%) |
| Standard Deviation | 3.11% | 1.97% |
| Annualized Sharpe | (0.07) | 0.52 |
| MAR Ratio | 0.04 | 0.43 |
| Win Rate % | 75.0% | 46.5% |
| Avg Win / Loss Ratio | 0.55 | 3.63 |
| Expectancy | $0.17 | $1.15 |
| Avg Win % | 7.00% | 4.49% |
| Avg Loss % | (12.13%) | (0.93%) |
| Longest Drawdown Duration | 202.6 months | 30.5 months |
| Avg Trades Per Year | 1.00 | 4.22 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $146,947.75 | $446,922.07 |
| Open Equity | $0.00 | ($1,267.60) |
| Gross Profit | $117,845.35 | $471,807.94 |
| Gross Loss | ($70,897.60) | ($149,508.16) |
| Net Profit | $46,947.75 | $322,299.78 |
| Net Long Profit | $46,947.75 | $322,299.78 |
| 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 | $0.00 | $25,889.90 |
| 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 | 830.0 | 1,044.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.04 | 0.43 |
| Calmar Ratio | 0.04 | 0.60 |
| Modified Sharpe Ratio | 0.20 | 0.95 |
| Robust Sharpe Ratio | 0.21 | 0.89 |
| R-Squared | 0.5387 | 0.9323 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 1.62% | 6.46% |
| RAR | 2.28% | 6.06% |
| Profit Factor | 1.66 | 3.16 |
| Percent Profit Factor | 1.73 | 4.21 |
| Expectancy | $0.17 | $1.15 |
| Percentage Expectancy | 0.02 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (14.90%) |
| Longest Drawdown Duration | 202.6 months | 30.5 months |
| Max Monthly % Drawdown | (38.17%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 49.9 months | 22.7 months |
| Avg of All % Drawdowns | (3.06%) | (1.35%) |
| Std Dev of All % Drawdowns | 6.75% | 2.07% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (29.90%) | (2.79%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 75.0% | 46.5% |
| Lose Rate % | 25.0% | 53.5% |
| Winning Trades | 18 | 47 |
| Losing Trades | 6 | 54 |
| Total Trades | 24 | 101 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 183.0 days | 288.1 days |
| Avg Winning Trade Duration | 183.9 days | 531.4 days |
| Avg Losing Trade Duration | 184.0 days | 76.3 days |
| Largest Winning Trade | $18,641.80 | $61,124.70 |
| Largest Losing Trade | ($28,267.54) | ($9,079.40) |
| Largest Win as % of Net Profit | 39.71% | 18.97% |
| Avg Win | $6,546.96 | $10,038.47 |
| Avg Loss | ($11,816.27) | ($2,768.67) |
| Avg Win / Loss Ratio | 0.55 | 3.63 |
| Avg Trade | $1,956.16 | $3,191.09 |
| Avg Win % | 7.00% | 4.49% |
| Avg Loss % | (12.13%) | (0.93%) |
| Avg Trade % | 2.22% | 1.59% |
| Avg Risk % | (98.31%) | (18.01%) |
| Avg Trades Per Year | 1.00 | 4.22 |
| Avg Trades Per Month | 0.08 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 79.5% | 65.6% |
| Losing Months % | 20.5% | 34.4% |
| Winning Months | 229 | 189 |
| Losing Months | 59 | 99 |
| Total Months | 288 | 288 |
| Max Consecutive Winning Months | 23 | 11 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 75.0% | 79.2% |
| Losing Years % | 25.0% | 20.8% |
| Winning Years | 18 | 19 |
| Losing Years | 6 | 5 |
| Total Years | 24 | 24 |
| Max Consecutive Winning Years | 10 | 8 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 72.7% | 65.7% |
| Rolling 6-Month Win Rate | 67.8% | 74.6% |
| Rolling 12-Month Win Rate | 70.8% | 76.9% |
| Rolling 3-Year Win Rate | 68.2% | 100.0% |
| Rolling 5-Year Win Rate | 70.0% | 100.0% |
| Rolling 10-Year Win Rate | 80.0% | 100.0% |
| 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 |
© Copyright 2013 - 2023
Extrategic Investing, LLC.
All rights reserved.
