Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-10 | 2024-05-10 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $152,495.89 | $470,008.91 |
CAGR % | 1.75% | 6.56% |
Max % Drawdown | (41.31%) | (14.90%) |
Standard Deviation | 3.09% | 1.98% |
Annualized Sharpe | (0.06) | 0.53 |
MAR Ratio | 0.04 | 0.44 |
Win Rate % | 75.0% | 46.2% |
Avg Win / Loss Ratio | 0.55 | 3.49 |
Expectancy | $0.17 | $1.07 |
Avg Win % | 7.00% | 4.40% |
Avg Loss % | (12.13%) | (0.93%) |
Longest Drawdown Duration | 202.6 months | 30.5 months |
Avg Trades Per Year | 0.99 | 4.27 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $152,495.89 | $470,008.91 |
Open Equity | $5,548.14 | $28,219.63 |
Gross Profit | $117,845.35 | $473,061.29 |
Gross Loss | ($70,897.60) | ($158,238.91) |
Net Profit | $46,947.75 | $314,822.38 |
Net Long Profit | $46,947.75 | $314,822.38 |
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 | $26,966.90 |
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 | 1,085.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.04 | 0.44 |
Calmar Ratio | 0.05 | 0.61 |
Modified Sharpe Ratio | 0.22 | 0.96 |
Robust Sharpe Ratio | 0.22 | 0.88 |
R-Squared | 0.5618 | 0.9343 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 1.75% | 6.56% |
RAR | 2.34% | 6.03% |
Profit Factor | 1.66 | 2.99 |
Percent Profit Factor | 1.73 | 4.06 |
Expectancy | $0.17 | $1.07 |
Percentage Expectancy | 0.02 | 0.08 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.31%) | (14.90%) |
Longest Drawdown Duration | 202.6 months | 30.5 months |
Max Monthly % Drawdown | (38.17%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (19.07%) | (10.73%) |
Avg Duration of Top-5 Longest Drawdowns | 50.0 months | 23.8 months |
Avg of All % Drawdowns | (3.06%) | (1.35%) |
Std Dev of All % Drawdowns | 6.75% | 2.07% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (29.90%) | (8.54%) |
Closed-Equity Max Monthly % Drawdown | (29.90%) | (8.54%) |
Closed-Equity Avg of All % Drawdown | (29.90%) | (2.80%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 46.2% |
Lose Rate % | 25.0% | 53.8% |
Winning Trades | 18 | 48 |
Losing Trades | 6 | 56 |
Total Trades | 24 | 104 |
Max Consecutive Wins | 10 | 6 |
Max Consecutive Losses | 3 | 8 |
Avg Trade Duration | 183.0 days | 283.9 days |
Avg Winning Trade Duration | 183.9 days | 523.5 days |
Avg Losing Trade Duration | 184.0 days | 78.4 days |
Largest Winning Trade | $18,641.80 | $61,124.70 |
Largest Losing Trade | ($28,267.54) | ($9,079.40) |
Largest Win as % of Net Profit | 39.71% | 19.42% |
Avg Win | $6,546.96 | $9,855.44 |
Avg Loss | ($11,816.27) | ($2,825.69) |
Avg Win / Loss Ratio | 0.55 | 3.49 |
Avg Trade | $1,956.16 | $3,027.14 |
Avg Win % | 7.00% | 4.40% |
Avg Loss % | (12.13%) | (0.93%) |
Avg Trade % | 2.22% | 1.53% |
Avg Risk % | (98.31%) | (18.05%) |
Avg Trades Per Year | 0.99 | 4.27 |
Avg Trades Per Month | 0.08 | 0.36 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 79.9% | 65.5% |
Losing Months % | 20.1% | 34.5% |
Winning Months | 234 | 192 |
Losing Months | 59 | 101 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 23 | 11 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 84.0% |
Losing Years % | 24.0% | 16.0% |
Winning Years | 19 | 21 |
Losing Years | 6 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 10 | 8 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 73.2% | 66.7% |
Rolling 6-Month Win Rate | 67.4% | 74.7% |
Rolling 12-Month Win Rate | 71.3% | 77.7% |
Rolling 3-Year Win Rate | 69.6% | 100.0% |
Rolling 5-Year Win Rate | 71.4% | 100.0% |
Rolling 10-Year Win Rate | 81.2% | 100.0% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |