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 | $482,220.55 |
CAGR % | 1.75% | 6.67% |
Max % Drawdown | (41.31%) | (33.47%) |
Standard Deviation | 3.09% | 3.18% |
Annualized Sharpe | (0.06) | 0.37 |
MAR Ratio | 0.04 | 0.20 |
Win Rate % | 75.0% | 75.0% |
Avg Win / Loss Ratio | 0.55 | 1.14 |
Expectancy | $0.17 | $0.61 |
Avg Win % | 7.00% | 11.59% |
Avg Loss % | (12.13%) | (8.58%) |
Longest Drawdown Duration | 202.6 months | 41.8 months |
Avg Trades Per Year | 0.99 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $152,495.89 | $482,220.55 |
Open Equity | $5,548.14 | $0.00 |
Gross Profit | $117,845.35 | $487,722.84 |
Gross Loss | ($70,897.60) | ($142,169.87) |
Net Profit | $46,947.75 | $345,552.96 |
Net Long Profit | $46,947.75 | $345,552.96 |
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 | $36,667.59 |
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 | 905.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.04 | 0.20 |
Calmar Ratio | 0.05 | 0.26 |
Modified Sharpe Ratio | 0.22 | 0.64 |
Robust Sharpe Ratio | 0.22 | 0.59 |
R-Squared | 0.5618 | 0.9605 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 1.75% | 6.67% |
RAR | 2.34% | 6.51% |
Profit Factor | 1.66 | 3.43 |
Percent Profit Factor | 1.73 | 4.05 |
Expectancy | $0.17 | $0.61 |
Percentage Expectancy | 0.02 | 0.07 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.31%) | (33.47%) |
Longest Drawdown Duration | 202.6 months | 41.8 months |
Max Monthly % Drawdown | (38.17%) | (26.06%) |
Avg of Top-5 Max % Drawdowns | (19.07%) | (23.64%) |
Avg Duration of Top-5 Longest Drawdowns | 50.0 months | 24.3 months |
Avg of All % Drawdowns | (3.06%) | (2.28%) |
Std Dev of All % Drawdowns | 6.75% | 4.78% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (29.90%) | (15.43%) |
Closed-Equity Max Monthly % Drawdown | (29.90%) | (15.43%) |
Closed-Equity Avg of All % Drawdown | (29.90%) | (10.15%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 75.0% |
Lose Rate % | 25.0% | 25.0% |
Winning Trades | 18 | 18 |
Losing Trades | 6 | 6 |
Total Trades | 24 | 24 |
Max Consecutive Wins | 10 | 6 |
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 | 181.3 days |
Largest Winning Trade | $18,641.80 | $81,648.82 |
Largest Losing Trade | ($28,267.54) | ($53,296.88) |
Largest Win as % of Net Profit | 39.71% | 23.63% |
Avg Win | $6,546.96 | $27,095.71 |
Avg Loss | ($11,816.27) | ($23,694.98) |
Avg Win / Loss Ratio | 0.55 | 1.14 |
Avg Trade | $1,956.16 | $14,398.04 |
Avg Win % | 7.00% | 11.59% |
Avg Loss % | (12.13%) | (8.58%) |
Avg Trade % | 2.22% | 6.55% |
Avg Risk % | (98.31%) | (98.67%) |
Avg Trades Per Year | 0.99 | 0.99 |
Avg Trades Per Month | 0.08 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 79.9% | 77.8% |
Losing Months % | 20.1% | 22.2% |
Winning Months | 234 | 228 |
Losing Months | 59 | 65 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 23 | 14 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 80.0% |
Losing Years % | 24.0% | 20.0% |
Winning Years | 19 | 20 |
Losing Years | 6 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 10 | 9 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 73.2% | 76.3% |
Rolling 6-Month Win Rate | 67.4% | 70.1% |
Rolling 12-Month Win Rate | 71.3% | 75.2% |
Rolling 3-Year Win Rate | 69.6% | 95.7% |
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 |