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Best Six Months US Equities with Inverted Logic — 2000 to 2024

Last Update: Nov. 30, 2024 8:55 p.m. (4 days, 22 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

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 $1,003,020.87
CAGR % 2.10% 9.70%
Max % Drawdown (41.31%) (54.70%)
Standard Deviation 3.07% 5.13%
Annualized Sharpe (0.03) 0.45
MAR Ratio 0.05 0.18
Win Rate % 76.0% 0.0%
Avg Win / Loss Ratio 0.62
Expectancy $0.23
Avg Win % 7.37% 0.00%
Avg Loss % (12.13%) 0.00%
Longest Drawdown Duration 202.6 months 46.3 months
Avg Trades Per Year 1.00 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $167,694.84 $1,003,020.87
Open Equity $0.00 $903,020.87
Gross Profit $138,592.44 $0.00
Gross Loss ($70,897.60) $0.00
Net Profit $67,694.84 $0.00
Net Long Profit $67,694.84 $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 843.0 0.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.05 0.18
Calmar Ratio 0.05 0.19
Modified Sharpe Ratio 0.25 0.61
Robust Sharpe Ratio 0.23 0.56
R-Squared 0.5903 0.9405
Profit Expectation
Model Benchmark
CAGR % 2.10% 9.70%
RAR 2.46% 10.00%
Profit Factor 1.95 0.00
Percent Profit Factor 1.93 0.00
Expectancy $0.23
Percentage Expectancy 0.03 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (41.31%) (54.70%)
Longest Drawdown Duration 202.6 months 46.3 months
Max Monthly % Drawdown (38.17%) (50.27%)
Avg of Top-5 Max % Drawdowns (19.07%) (37.39%)
Avg Duration of Top-5 Longest Drawdowns 51.2 months 27.8 months
Avg of All % Drawdowns (2.91%) (3.25%)
Std Dev of All % Drawdowns 6.31% 6.46%
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 (17.27%) 0.00%
Closed-Equity Std Dev of All % Drawdown 17.86% 0.00%
Trades
Model Benchmark
Win Rate % 76.0% 0.0%
Lose Rate % 24.0% 0.0%
Winning Trades 19 0
Losing Trades 6 0
Total Trades 25 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 $20,747.09 $0.00
Largest Losing Trade ($28,267.54) $0.00
Largest Win as % of Net Profit 30.65%
Avg Win $7,294.34 $0.00
Avg Loss ($11,816.27) $0.00
Avg Win / Loss Ratio 0.62
Avg Trade $2,707.79 $0.00
Avg Win % 7.37% 0.00%
Avg Loss % (12.13%) 0.00%
Avg Trade % 2.69% 0.00%
Avg Risk % (98.25%) 0.00%
Avg Trades Per Year 1.00 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 % 79.9% 62.5%
Losing Months % 20.1% 37.5%
Winning Months 239 187
Losing Months 60 112
Total Months 299 299
Max Consecutive Winning Months 23 8
Max Consecutive Losing Months 5 6
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 76.0% 72.0%
Losing Years % 24.0% 28.0%
Winning Years 19 18
Losing Years 6 7
Total Years 25 25
Max Consecutive Winning Years 10 6
Max Consecutive Losing Years 3 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 73.7% 66.7%
Rolling 6-Month Win Rate 68.0% 71.8%
Rolling 12-Month Win Rate 71.9% 72.6%
Rolling 3-Year Win Rate 69.6% 82.6%
Rolling 5-Year Win Rate 71.4% 100.0%
Rolling 10-Year Win Rate 81.2% 100.0%
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
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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