Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2021-04-09 | 2021-04-09 |
Time Elapsed | 21 years, 3 months | 21 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $553,441.44 | $420,663.71 |
CAGR % | 8.38% | 6.99% |
Max % Drawdown | (21.49%) | (54.82%) |
Standard Deviation | 2.83% | 4.32% |
Annualized Sharpe | 0.57 | 0.33 |
MAR Ratio | 0.39 | 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 | 0.61 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $553,441.44 | $420,663.71 |
Open Equity | $150,321.28 | $320,663.71 |
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 | 0.39 | 0.13 |
Calmar Ratio | 0.46 | 0.14 |
Modified Sharpe Ratio | 0.87 | 0.53 |
Robust Sharpe Ratio | 0.86 | 0.50 |
R-Squared | 0.9764 | 0.8156 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 8.38% | 6.99% |
RAR | 8.41% | 7.54% |
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 | (1.63%) | (2.04%) |
Std Dev of All % Drawdowns | 2.82% | 5.84% |
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 | 0.61 | 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 % | 76.6% | 64.8% |
Losing Months % | 23.4% | 35.2% |
Winning Months | 196 | 166 |
Losing Months | 60 | 90 |
Total Months | 256 | 256 |
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 | 76.0% | 68.5% |
Rolling 6-Month Win Rate | 77.7% | 71.3% |
Rolling 12-Month Win Rate | 75.9% | 76.7% |
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 | 254 | 254 |
Rolling 6-Month Periods | 251 | 251 |
Rolling 12-Month Periods | 245 | 245 |
Rolling 3-Year Periods | 20 | 20 |
Rolling 5-Year Periods | 18 | 18 |
Rolling 10-Year Periods | 13 | 13 |