| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2021-10-15 | 2021-10-15 |
| Time Elapsed | 21 years, 9 months | 21 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $603,142.56 | $458,716.13 |
| CAGR % | 8.60% | 7.24% |
| Max % Drawdown | (21.49%) | (54.82%) |
| Standard Deviation | 2.84% | 4.30% |
| Annualized Sharpe | 0.59 | 0.35 |
| MAR Ratio | 0.40 | 0.13 |
| Win Rate % | 61.5% | 0.0% |
| Avg Win / Loss Ratio | 2.61 | — |
| Expectancy | $1.22 | — |
| Avg Win % | 23.97% | 0.00% |
| Avg Loss % | (5.82%) | 0.00% |
| Longest Drawdown Duration | 32.9 months | 73.5 months |
| Avg Trades Per Year | 0.60 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $603,142.56 | $458,716.13 |
| Open Equity | $200,022.40 | $358,716.13 |
| Gross Profit | $384,582.33 | $0.00 |
| Gross Loss | ($92,047.61) | $0.00 |
| Net Profit | $292,534.72 | $0.00 |
| Net Long Profit | $292,534.72 | $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 | $10,585.44 | $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 | 1,089.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.40 | 0.13 |
| Calmar Ratio | 0.47 | 0.14 |
| Modified Sharpe Ratio | 0.89 | 0.54 |
| Robust Sharpe Ratio | 0.86 | 0.53 |
| R-Squared | 0.9774 | 0.8239 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.60% | 7.24% |
| RAR | 8.49% | 7.84% |
| Profit Factor | 4.18 | 0.00 |
| Percent Profit Factor | 6.59 | 0.00 |
| Expectancy | $1.22 | — |
| Percentage Expectancy | 0.13 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.49%) | (54.82%) |
| Longest Drawdown Duration | 32.9 months | 73.5 months |
| Max Monthly % Drawdown | (18.20%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (15.64%) | (33.54%) |
| Avg Duration of Top-5 Longest Drawdowns | 25.5 months | 29.7 months |
| Avg of All % Drawdowns | (1.59%) | (1.96%) |
| Std Dev of All % Drawdowns | 2.75% | 5.63% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (11.84%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (11.74%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (8.07%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.99% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.5% | 0.0% |
| Lose Rate % | 38.5% | 0.0% |
| Winning Trades | 8 | 0 |
| Losing Trades | 5 | 0 |
| Total Trades | 13 | 0 |
| Max Consecutive Wins | 3 | 0 |
| Max Consecutive Losses | 2 | 0 |
| Avg Trade Duration | 412.5 days | 0.0 days |
| Avg Winning Trade Duration | 636.0 days | 0.0 days |
| Avg Losing Trade Duration | 55.0 days | 0.0 days |
| Largest Winning Trade | $131,720.32 | $0.00 |
| Largest Losing Trade | ($49,759.11) | $0.00 |
| Largest Win as % of Net Profit | 45.03% | — |
| Avg Win | $48,072.79 | $0.00 |
| Avg Loss | ($18,409.52) | $0.00 |
| Avg Win / Loss Ratio | 2.61 | — |
| Avg Trade | $22,502.67 | $0.00 |
| Avg Win % | 23.97% | 0.00% |
| Avg Loss % | (5.82%) | 0.00% |
| Avg Trade % | 12.51% | 0.00% |
| Avg Risk % | (99.43%) | 0.00% |
| Avg Trades Per Year | 0.60 | 0.00 |
| Avg Trades Per Month | 0.05 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 76.7% | 65.3% |
| Losing Months % | 23.3% | 34.7% |
| Winning Months | 201 | 171 |
| Losing Months | 61 | 91 |
| Total Months | 262 | 262 |
| Max Consecutive Winning Months | 21 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 77.3% | 77.3% |
| Losing Years % | 22.7% | 22.7% |
| Winning Years | 17 | 17 |
| Losing Years | 5 | 5 |
| Total Years | 22 | 22 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.5% | 69.2% |
| Rolling 6-Month Win Rate | 78.2% | 72.0% |
| Rolling 12-Month Win Rate | 76.5% | 77.3% |
| Rolling 3-Year Win Rate | 100.0% | 75.0% |
| Rolling 5-Year Win Rate | 100.0% | 83.3% |
| Rolling 10-Year Win Rate | 100.0% | 92.3% |
| Rolling 3-Month Periods | 260 | 260 |
| Rolling 6-Month Periods | 257 | 257 |
| Rolling 12-Month Periods | 251 | 251 |
| Rolling 3-Year Periods | 20 | 20 |
| Rolling 5-Year Periods | 18 | 18 |
| Rolling 10-Year Periods | 13 | 13 |
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