| 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 |
© Copyright 2013 - 2023
Extrategic Investing, LLC.
All rights reserved.
