| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2023-03-17 | 2023-03-17 |
| Time Elapsed | 23 years, 2 months | 23 years, 2 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $144,613.83 | $320,059.42 |
| CAGR % | 1.60% | 5.14% |
| Max % Drawdown | (41.31%) | (28.57%) |
| Standard Deviation | 3.11% | 3.08% |
| Annualized Sharpe | (0.07) | 0.25 |
| MAR Ratio | 0.04 | 0.18 |
| Win Rate % | 73.9% | 35.3% |
| Avg Win / Loss Ratio | 0.58 | 5.01 |
| Expectancy | $0.16 | $1.12 |
| Avg Win % | 7.32% | 38.62% |
| Avg Loss % | (12.13%) | (5.29%) |
| Longest Drawdown Duration | 202.6 months | 48.9 months |
| Avg Trades Per Year | 0.99 | 0.73 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $144,613.83 | $320,059.42 |
| Open Equity | $0.00 | $411.67 |
| Gross Profit | $115,511.43 | $320,306.98 |
| Gross Loss | ($70,897.60) | ($117,116.58) |
| Net Profit | $44,613.83 | $203,190.40 |
| Net Long Profit | $44,613.83 | $203,190.40 |
| 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 | $16,457.35 |
| 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 | 814.0 | 603.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.04 | 0.18 |
| Calmar Ratio | 0.04 | 0.19 |
| Modified Sharpe Ratio | 0.20 | 0.52 |
| Robust Sharpe Ratio | 0.20 | 0.50 |
| R-Squared | 0.4965 | 0.7986 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 1.60% | 5.14% |
| RAR | 2.13% | 5.32% |
| Profit Factor | 1.63 | 2.73 |
| Percent Profit Factor | 1.71 | 3.98 |
| Expectancy | $0.16 | $1.12 |
| Percentage Expectancy | 0.02 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (28.57%) |
| Longest Drawdown Duration | 202.6 months | 48.9 months |
| Max Monthly % Drawdown | (38.17%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 48.9 months | 37.9 months |
| Avg of All % Drawdowns | (2.88%) | (2.68%) |
| Std Dev of All % Drawdowns | 6.67% | 4.84% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (29.90%) | (9.35%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 73.9% | 35.3% |
| Lose Rate % | 26.1% | 64.7% |
| Winning Trades | 17 | 6 |
| Losing Trades | 6 | 11 |
| Total Trades | 23 | 17 |
| Max Consecutive Wins | 10 | 3 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 183.0 days | 311.4 days |
| Avg Winning Trade Duration | 183.9 days | 699.2 days |
| Avg Losing Trade Duration | 184.0 days | 99.9 days |
| Largest Winning Trade | $18,641.80 | $126,225.36 |
| Largest Losing Trade | ($28,267.54) | ($32,828.35) |
| Largest Win as % of Net Profit | 41.78% | 62.12% |
| Avg Win | $6,794.79 | $53,384.50 |
| Avg Loss | ($11,816.27) | ($10,646.96) |
| Avg Win / Loss Ratio | 0.58 | 5.01 |
| Avg Trade | $1,939.73 | $11,952.38 |
| Avg Win % | 7.32% | 38.62% |
| Avg Loss % | (12.13%) | (5.29%) |
| Avg Trade % | 2.24% | 10.21% |
| Avg Risk % | (98.29%) | (98.29%) |
| Avg Trades Per Year | 0.99 | 0.73 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 79.9% | 72.4% |
| Losing Months % | 20.1% | 27.6% |
| Winning Months | 223 | 202 |
| Losing Months | 56 | 77 |
| Total Months | 279 | 279 |
| Max Consecutive Winning Months | 23 | 22 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 75.0% | 54.2% |
| Losing Years % | 25.0% | 45.8% |
| Winning Years | 18 | 13 |
| Losing Years | 6 | 11 |
| Total Years | 24 | 24 |
| Max Consecutive Winning Years | 10 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.3% | 69.0% |
| Rolling 6-Month Win Rate | 67.2% | 64.2% |
| Rolling 12-Month Win Rate | 70.5% | 59.3% |
| Rolling 3-Year Win Rate | 68.2% | 86.4% |
| Rolling 5-Year Win Rate | 70.0% | 80.0% |
| Rolling 10-Year Win Rate | 80.0% | 100.0% |
| Rolling 3-Month Periods | 277 | 277 |
| Rolling 6-Month Periods | 274 | 274 |
| Rolling 12-Month Periods | 268 | 268 |
| 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.
