Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2023-09-22 | 2023-09-22 |
Time Elapsed | 23 years, 9 months | 23 years, 9 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $150,864.71 | $373,951.15 |
CAGR % | 1.75% | 5.72% |
Max % Drawdown | (41.31%) | (61.39%) |
Standard Deviation | 3.12% | 6.08% |
Annualized Sharpe | (0.06) | 0.23 |
MAR Ratio | 0.04 | 0.09 |
Win Rate % | 73.9% | 0.0% |
Avg Win / Loss Ratio | 0.58 | — |
Expectancy | $0.16 | — |
Avg Win % | 7.32% | 0.00% |
Avg Loss % | (12.13%) | 0.00% |
Longest Drawdown Duration | 202.6 months | 115.4 months |
Avg Trades Per Year | 0.97 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $150,864.71 | $373,951.15 |
Open Equity | $6,250.88 | $273,951.15 |
Gross Profit | $115,511.43 | $0.00 |
Gross Loss | ($70,897.60) | $0.00 |
Net Profit | $44,613.83 | $0.00 |
Net Long Profit | $44,613.83 | $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 | 814.0 | 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 | 0.09 |
Calmar Ratio | 0.05 | 0.09 |
Modified Sharpe Ratio | 0.22 | 0.37 |
Robust Sharpe Ratio | 0.21 | 0.38 |
R-Squared | 0.5279 | 0.7835 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 1.75% | 5.72% |
RAR | 2.24% | 8.04% |
Profit Factor | 1.63 | 0.00 |
Percent Profit Factor | 1.71 | 0.00 |
Expectancy | $0.16 | — |
Percentage Expectancy | 0.02 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.31%) | (61.39%) |
Longest Drawdown Duration | 202.6 months | 115.4 months |
Max Monthly % Drawdown | (38.17%) | (61.39%) |
Avg of Top-5 Max % Drawdowns | (19.07%) | (39.09%) |
Avg Duration of Top-5 Longest Drawdowns | 49.7 months | 46.1 months |
Avg of All % Drawdowns | (3.06%) | (5.83%) |
Std Dev of All % Drawdowns | 6.75% | 13.32% |
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 % | 73.9% | 0.0% |
Lose Rate % | 26.1% | 0.0% |
Winning Trades | 17 | 0 |
Losing Trades | 6 | 0 |
Total Trades | 23 | 0 |
Max Consecutive Wins | 10 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 183.0 days | 0.0 days |
Avg Winning Trade Duration | 183.9 days | 0.0 days |
Avg Losing Trade Duration | 184.0 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 | 41.78% | — |
Avg Win | $6,794.79 | $0.00 |
Avg Loss | ($11,816.27) | $0.00 |
Avg Win / Loss Ratio | 0.58 | — |
Avg Trade | $1,939.73 | $0.00 |
Avg Win % | 7.32% | 0.00% |
Avg Loss % | (12.13%) | 0.00% |
Avg Trade % | 2.24% | 0.00% |
Avg Risk % | (98.29%) | 0.00% |
Avg Trades Per Year | 0.97 | 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 % | 79.6% | 56.8% |
Losing Months % | 20.4% | 43.2% |
Winning Months | 227 | 162 |
Losing Months | 58 | 123 |
Total Months | 285 | 285 |
Max Consecutive Winning Months | 23 | 12 |
Max Consecutive Losing Months | 5 | 6 |
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 | 73.5% | 58.3% |
Rolling 6-Month Win Rate | 67.9% | 58.9% |
Rolling 12-Month Win Rate | 70.4% | 62.4% |
Rolling 3-Year Win Rate | 68.2% | 63.6% |
Rolling 5-Year Win Rate | 70.0% | 85.0% |
Rolling 10-Year Win Rate | 80.0% | 100.0% |
Rolling 3-Month Periods | 283 | 283 |
Rolling 6-Month Periods | 280 | 280 |
Rolling 12-Month Periods | 274 | 274 |
Rolling 3-Year Periods | 22 | 22 |
Rolling 5-Year Periods | 20 | 20 |
Rolling 10-Year Periods | 15 | 15 |