Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-29 | 2024-11-29 |
Time Elapsed | 24 years, 11 months | 24 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $167,694.84 | $106,627.58 |
CAGR % | 2.10% | 0.26% |
Max % Drawdown | (41.31%) | (42.03%) |
Standard Deviation | 3.07% | 2.33% |
Annualized Sharpe | (0.03) | (0.29) |
MAR Ratio | 0.05 | 0.01 |
Win Rate % | 76.0% | 77.3% |
Avg Win / Loss Ratio | 0.62 | 0.33 |
Expectancy | $0.23 | $0.02 |
Avg Win % | 7.37% | 0.99% |
Avg Loss % | (12.13%) | (2.82%) |
Longest Drawdown Duration | 202.6 months | 278.8 months |
Avg Trades Per Year | 1.00 | 3.89 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $167,694.84 | $106,627.58 |
Open Equity | $0.00 | $80.16 |
Gross Profit | $138,592.44 | $66,233.45 |
Gross Loss | ($70,897.60) | ($59,686.04) |
Net Profit | $67,694.84 | $6,547.42 |
Net Long Profit | $67,694.84 | $6,547.42 |
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 | $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 | 843.0 | 1,814.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.05 | 0.01 |
Calmar Ratio | 0.05 | 0.01 |
Modified Sharpe Ratio | 0.25 | 0.07 |
Robust Sharpe Ratio | 0.23 | 0.02 |
R-Squared | 0.5903 | 0.0201 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 2.10% | 0.26% |
RAR | 2.46% | 0.20% |
Profit Factor | 1.95 | 1.11 |
Percent Profit Factor | 1.93 | 1.19 |
Expectancy | $0.23 | $0.02 |
Percentage Expectancy | 0.03 | 0.01 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.31%) | (42.03%) |
Longest Drawdown Duration | 202.6 months | 278.8 months |
Max Monthly % Drawdown | (38.17%) | (40.26%) |
Avg of Top-5 Max % Drawdowns | (19.07%) | (9.14%) |
Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 57.5 months |
Avg of All % Drawdowns | (2.91%) | (2.74%) |
Std Dev of All % Drawdowns | 6.31% | 10.13% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (29.90%) | (29.59%) |
Closed-Equity Max Monthly % Drawdown | (29.90%) | (29.59%) |
Closed-Equity Avg of All % Drawdown | (17.27%) | (17.44%) |
Closed-Equity Std Dev of All % Drawdown | 17.86% | 17.18% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 76.0% | 77.3% |
Lose Rate % | 24.0% | 22.7% |
Winning Trades | 19 | 75 |
Losing Trades | 6 | 22 |
Total Trades | 25 | 97 |
Max Consecutive Wins | 10 | 13 |
Max Consecutive Losses | 3 | 4 |
Avg Trade Duration | 183.0 days | 141.9 days |
Avg Winning Trade Duration | 183.9 days | 83.4 days |
Avg Losing Trade Duration | 184.0 days | 341.3 days |
Largest Winning Trade | $20,747.09 | $3,296.90 |
Largest Losing Trade | ($28,267.54) | ($7,363.83) |
Largest Win as % of Net Profit | 30.65% | 50.35% |
Avg Win | $7,294.34 | $883.11 |
Avg Loss | ($11,816.27) | ($2,713.00) |
Avg Win / Loss Ratio | 0.62 | 0.33 |
Avg Trade | $2,707.79 | $67.50 |
Avg Win % | 7.37% | 0.99% |
Avg Loss % | (12.13%) | (2.82%) |
Avg Trade % | 2.69% | 0.12% |
Avg Risk % | (98.25%) | (18.97%) |
Avg Trades Per Year | 1.00 | 3.89 |
Avg Trades Per Month | 0.08 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 79.9% | 65.6% |
Losing Months % | 20.1% | 34.4% |
Winning Months | 239 | 196 |
Losing Months | 60 | 103 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 23 | 23 |
Max Consecutive Losing Months | 5 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 60.0% |
Losing Years % | 24.0% | 40.0% |
Winning Years | 19 | 15 |
Losing Years | 6 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 10 | 4 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 73.7% | 68.0% |
Rolling 6-Month Win Rate | 68.0% | 68.7% |
Rolling 12-Month Win Rate | 71.9% | 61.8% |
Rolling 3-Year Win Rate | 69.6% | 69.6% |
Rolling 5-Year Win Rate | 71.4% | 61.9% |
Rolling 10-Year Win Rate | 81.2% | 43.8% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |