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 | $882,800.86 |
CAGR % | 1.75% | 9.36% |
Max % Drawdown | (41.31%) | (69.65%) |
Standard Deviation | 3.09% | 6.34% |
Annualized Sharpe | (0.06) | 0.38 |
MAR Ratio | 0.04 | 0.13 |
Win Rate % | 75.0% | 0.0% |
Avg Win / Loss Ratio | 0.55 | — |
Expectancy | $0.17 | — |
Avg Win % | 7.00% | 0.00% |
Avg Loss % | (12.13%) | 0.00% |
Longest Drawdown Duration | 202.6 months | 63.2 months |
Avg Trades Per Year | 0.99 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $152,495.89 | $882,800.86 |
Open Equity | $5,548.14 | $782,800.86 |
Gross Profit | $117,845.35 | $0.00 |
Gross Loss | ($70,897.60) | $0.00 |
Net Profit | $46,947.75 | $0.00 |
Net Long Profit | $46,947.75 | $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 | 830.0 | 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 | 0.13 |
Calmar Ratio | 0.05 | 0.15 |
Modified Sharpe Ratio | 0.22 | 0.52 |
Robust Sharpe Ratio | 0.22 | 0.41 |
R-Squared | 0.5618 | 0.9140 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 1.75% | 9.36% |
RAR | 2.34% | 9.06% |
Profit Factor | 1.66 | 0.00 |
Percent Profit Factor | 1.73 | 0.00 |
Expectancy | $0.17 | — |
Percentage Expectancy | 0.02 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.31%) | (69.65%) |
Longest Drawdown Duration | 202.6 months | 63.2 months |
Max Monthly % Drawdown | (38.17%) | (63.75%) |
Avg of Top-5 Max % Drawdowns | (19.07%) | (43.71%) |
Avg Duration of Top-5 Longest Drawdowns | 50.0 months | 35.1 months |
Avg of All % Drawdowns | (3.06%) | (3.13%) |
Std Dev of All % Drawdowns | 6.75% | 7.77% |
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 % | 75.0% | 0.0% |
Lose Rate % | 25.0% | 0.0% |
Winning Trades | 18 | 0 |
Losing Trades | 6 | 0 |
Total Trades | 24 | 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 | 39.71% | — |
Avg Win | $6,546.96 | $0.00 |
Avg Loss | ($11,816.27) | $0.00 |
Avg Win / Loss Ratio | 0.55 | — |
Avg Trade | $1,956.16 | $0.00 |
Avg Win % | 7.00% | 0.00% |
Avg Loss % | (12.13%) | 0.00% |
Avg Trade % | 2.22% | 0.00% |
Avg Risk % | (98.31%) | 0.00% |
Avg Trades Per Year | 0.99 | 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% | 60.4% |
Losing Months % | 20.1% | 39.6% |
Winning Months | 234 | 177 |
Losing Months | 59 | 116 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 23 | 10 |
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 | 4 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 73.2% | 68.0% |
Rolling 6-Month Win Rate | 67.4% | 67.0% |
Rolling 12-Month Win Rate | 71.3% | 67.7% |
Rolling 3-Year Win Rate | 69.6% | 87.0% |
Rolling 5-Year Win Rate | 71.4% | 90.5% |
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 |