Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2023-12-08 | 2023-12-08 |
Time Elapsed | 23 years, 11 months | 23 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $146,947.75 | $399,414.67 |
CAGR % | 1.62% | 5.96% |
Max % Drawdown | (41.31%) | (35.30%) |
Standard Deviation | 3.11% | 3.05% |
Annualized Sharpe | (0.07) | 0.32 |
MAR Ratio | 0.04 | 0.17 |
Win Rate % | 75.0% | 78.3% |
Avg Win / Loss Ratio | 0.55 | 1.03 |
Expectancy | $0.17 | $0.59 |
Avg Win % | 7.00% | 9.32% |
Avg Loss % | (12.13%) | (8.86%) |
Longest Drawdown Duration | 202.6 months | 37.4 months |
Avg Trades Per Year | 1.00 | 0.96 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $146,947.75 | $399,414.67 |
Open Equity | $0.00 | $35,720.40 |
Gross Profit | $117,845.35 | $318,273.55 |
Gross Loss | ($70,897.60) | ($85,809.46) |
Net Profit | $46,947.75 | $232,464.09 |
Net Long Profit | $46,947.75 | $232,464.09 |
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 | $31,230.18 |
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 | 1,356.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.04 | 0.17 |
Calmar Ratio | 0.04 | 0.20 |
Modified Sharpe Ratio | 0.20 | 0.60 |
Robust Sharpe Ratio | 0.21 | 0.62 |
R-Squared | 0.5397 | 0.9559 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 1.62% | 5.96% |
RAR | 2.28% | 6.57% |
Profit Factor | 1.66 | 3.71 |
Percent Profit Factor | 1.73 | 3.79 |
Expectancy | $0.17 | $0.59 |
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 | 49.9 months | 24.5 months |
Avg of All % Drawdowns | (3.06%) | (1.74%) |
Std Dev of All % Drawdowns | 6.75% | 4.43% |
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%) | (10.77%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.83% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 78.3% |
Lose Rate % | 25.0% | 21.7% |
Winning Trades | 18 | 18 |
Losing Trades | 6 | 5 |
Total Trades | 24 | 23 |
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 | 39.71% | 33.72% |
Avg Win | $6,546.96 | $17,681.86 |
Avg Loss | ($11,816.27) | ($17,161.89) |
Avg Win / Loss Ratio | 0.55 | 1.03 |
Avg Trade | $1,956.16 | $10,107.13 |
Avg Win % | 7.00% | 9.32% |
Avg Loss % | (12.13%) | (8.86%) |
Avg Trade % | 2.22% | 5.37% |
Avg Risk % | (98.31%) | (99.03%) |
Avg Trades Per Year | 1.00 | 0.96 |
Avg Trades Per Month | 0.08 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 79.5% | 82.6% |
Losing Months % | 20.5% | 17.4% |
Winning Months | 229 | 238 |
Losing Months | 59 | 50 |
Total Months | 288 | 288 |
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 | 72.7% | 79.7% |
Rolling 6-Month Win Rate | 67.8% | 73.5% |
Rolling 12-Month Win Rate | 70.8% | 77.3% |
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 | 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 |