Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2023-01-31 | 2023-01-31 |
Time Elapsed | 23 years, 1 month | 23 years, 1 month |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $517,649.36 | $426,852.90 |
CAGR % | 7.38% | 6.49% |
Max % Drawdown | (21.87%) | (54.82%) |
Standard Deviation | 2.91% | 4.44% |
Annualized Sharpe | 0.47 | 0.29 |
MAR Ratio | 0.34 | 0.12 |
Win Rate % | 56.2% | 0.0% |
Avg Win / Loss Ratio | 2.56 | — |
Expectancy | $1.00 | — |
Avg Win % | 26.51% | 0.00% |
Avg Loss % | (6.20%) | 0.00% |
Longest Drawdown Duration | 32.9 months | 73.5 months |
Avg Trades Per Year | 0.69 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $517,649.36 | $426,852.90 |
Open Equity | $0.00 | $326,852.90 |
Gross Profit | $573,198.65 | $0.00 |
Gross Loss | ($174,306.09) | $0.00 |
Net Profit | $398,892.56 | $0.00 |
Net Long Profit | $398,892.56 | $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 | $18,756.80 | $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 | 1,276.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.34 | 0.12 |
Calmar Ratio | 0.37 | 0.13 |
Modified Sharpe Ratio | 0.76 | 0.49 |
Robust Sharpe Ratio | 0.84 | 0.54 |
R-Squared | 0.9792 | 0.8486 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 7.38% | 6.49% |
RAR | 8.49% | 8.30% |
Profit Factor | 3.29 | 0.00 |
Percent Profit Factor | 5.49 | 0.00 |
Expectancy | $1.00 | — |
Percentage Expectancy | 0.12 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (21.87%) | (54.82%) |
Longest Drawdown Duration | 32.9 months | 73.5 months |
Max Monthly % Drawdown | (20.21%) | (50.54%) |
Avg of Top-5 Max % Drawdowns | (18.01%) | (35.85%) |
Avg Duration of Top-5 Longest Drawdowns | 25.5 months | 31.1 months |
Avg of All % Drawdowns | (1.59%) | (1.94%) |
Std Dev of All % Drawdowns | 2.71% | 5.52% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (12.79%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (12.52%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (9.25%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 3.22% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 56.2% | 0.0% |
Lose Rate % | 43.8% | 0.0% |
Winning Trades | 9 | 0 |
Losing Trades | 7 | 0 |
Total Trades | 16 | 0 |
Max Consecutive Wins | 3 | 0 |
Max Consecutive Losses | 2 | 0 |
Avg Trade Duration | 379.1 days | 0.0 days |
Avg Winning Trade Duration | 636.2 days | 0.0 days |
Avg Losing Trade Duration | 48.4 days | 0.0 days |
Largest Winning Trade | $188,616.32 | $0.00 |
Largest Losing Trade | ($52,117.18) | $0.00 |
Largest Win as % of Net Profit | 47.28% | — |
Avg Win | $63,688.74 | $0.00 |
Avg Loss | ($24,900.87) | $0.00 |
Avg Win / Loss Ratio | 2.56 | — |
Avg Trade | $24,930.79 | $0.00 |
Avg Win % | 26.51% | 0.00% |
Avg Loss % | (6.20%) | 0.00% |
Avg Trade % | 12.20% | 0.00% |
Avg Risk % | (99.27%) | 0.00% |
Avg Trades Per Year | 0.69 | 0.00 |
Avg Trades Per Month | 0.06 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 75.8% | 64.3% |
Losing Months % | 24.2% | 35.7% |
Winning Months | 210 | 178 |
Losing Months | 67 | 99 |
Total Months | 277 | 277 |
Max Consecutive Winning Months | 21 | 15 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 75.0% | 75.0% |
Losing Years % | 25.0% | 25.0% |
Winning Years | 18 | 18 |
Losing Years | 6 | 6 |
Total Years | 24 | 24 |
Max Consecutive Winning Years | 7 | 9 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 74.9% | 67.6% |
Rolling 6-Month Win Rate | 76.1% | 69.9% |
Rolling 12-Month Win Rate | 74.1% | 75.2% |
Rolling 3-Year Win Rate | 100.0% | 77.3% |
Rolling 5-Year Win Rate | 100.0% | 85.0% |
Rolling 10-Year Win Rate | 100.0% | 93.3% |
Rolling 3-Month Periods | 275 | 275 |
Rolling 6-Month Periods | 272 | 272 |
Rolling 12-Month Periods | 266 | 266 |
Rolling 3-Year Periods | 22 | 22 |
Rolling 5-Year Periods | 20 | 20 |
Rolling 10-Year Periods | 15 | 15 |