| 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 | $333,752.84 |
| CAGR % | 1.60% | 5.33% |
| Max % Drawdown | (41.31%) | (35.30%) |
| Standard Deviation | 3.11% | 3.05% |
| Annualized Sharpe | (0.07) | 0.26 |
| MAR Ratio | 0.04 | 0.15 |
| Win Rate % | 73.9% | 77.3% |
| Avg Win / Loss Ratio | 0.58 | 1.00 |
| Expectancy | $0.16 | $0.55 |
| Avg Win % | 7.32% | 9.43% |
| Avg Loss % | (12.13%) | (8.86%) |
| Longest Drawdown Duration | 202.6 months | 37.4 months |
| Avg Trades Per Year | 0.99 | 0.95 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $144,613.83 | $333,752.84 |
| Open Equity | $0.00 | $3,715.53 |
| Gross Profit | $115,511.43 | $293,209.03 |
| Gross Loss | ($70,897.60) | ($85,809.46) |
| Net Profit | $44,613.83 | $207,399.57 |
| Net Long Profit | $44,613.83 | $207,399.57 |
| 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 | $22,637.74 |
| 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 | 1,317.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.04 | 0.15 |
| Calmar Ratio | 0.04 | 0.18 |
| Modified Sharpe Ratio | 0.20 | 0.54 |
| Robust Sharpe Ratio | 0.20 | 0.62 |
| R-Squared | 0.4965 | 0.9519 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 1.60% | 5.33% |
| RAR | 2.13% | 6.57% |
| Profit Factor | 1.63 | 3.42 |
| Percent Profit Factor | 1.71 | 3.62 |
| Expectancy | $0.16 | $0.55 |
| Percentage Expectancy | 0.02 | 0.05 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (35.30%) |
| Longest Drawdown Duration | 202.6 months | 37.4 months |
| Max Monthly % Drawdown | (38.17%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (25.32%) |
| Avg Duration of Top-5 Longest Drawdowns | 48.9 months | 22.0 months |
| Avg of All % Drawdowns | (2.88%) | (1.70%) |
| Std Dev of All % Drawdowns | 6.67% | 4.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (29.90%) | (12.71%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.84% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 73.9% | 77.3% |
| Lose Rate % | 26.1% | 22.7% |
| Winning Trades | 17 | 17 |
| Losing Trades | 6 | 5 |
| Total Trades | 23 | 22 |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 183.0 days | 181.3 days |
| Avg Winning Trade Duration | 183.9 days | 181.3 days |
| Avg Losing Trade Duration | 184.0 days | 181.2 days |
| Largest Winning Trade | $18,641.80 | $78,378.06 |
| Largest Losing Trade | ($28,267.54) | ($34,858.81) |
| Largest Win as % of Net Profit | 41.78% | 37.79% |
| Avg Win | $6,794.79 | $17,247.59 |
| Avg Loss | ($11,816.27) | ($17,161.89) |
| Avg Win / Loss Ratio | 0.58 | 1.00 |
| Avg Trade | $1,939.73 | $9,427.25 |
| Avg Win % | 7.32% | 9.43% |
| Avg Loss % | (12.13%) | (8.86%) |
| Avg Trade % | 2.24% | 5.27% |
| Avg Risk % | (98.29%) | (99.09%) |
| Avg Trades Per Year | 0.99 | 0.95 |
| Avg Trades Per Month | 0.08 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 79.9% | 81.7% |
| Losing Months % | 20.1% | 18.3% |
| Winning Months | 223 | 228 |
| Losing Months | 56 | 51 |
| Total Months | 279 | 279 |
| Max Consecutive Winning Months | 23 | 23 |
| Max Consecutive Losing Months | 5 | 5 |
| 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 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.3% | 79.1% |
| Rolling 6-Month Win Rate | 67.2% | 72.6% |
| Rolling 12-Month Win Rate | 70.5% | 76.5% |
| Rolling 3-Year Win Rate | 68.2% | 90.9% |
| Rolling 5-Year Win Rate | 70.0% | 100.0% |
| 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 |
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