Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-01 | 2024-11-01 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $690,626.15 | $615,675.38 |
CAGR % | 8.09% | 7.60% |
Max % Drawdown | (24.14%) | (54.82%) |
Standard Deviation | 2.92% | 4.38% |
Annualized Sharpe | 0.53 | 0.36 |
MAR Ratio | 0.34 | 0.14 |
Win Rate % | 58.8% | 0.0% |
Avg Win / Loss Ratio | 2.39 | — |
Expectancy | $0.00 | — |
Avg Win % | 24.30% | 0.00% |
Avg Loss % | (6.20%) | 0.00% |
Longest Drawdown Duration | 32.9 months | 73.5 months |
Avg Trades Per Year | 0.68 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $690,626.15 | $615,675.38 |
Open Equity | $147,600.75 | $515,675.38 |
Gross Profit | $596,236.97 | $0.00 |
Gross Loss | ($174,306.09) | $0.00 |
Net Profit | $421,930.88 | $0.00 |
Net Long Profit | $421,930.88 | $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 | $21,094.52 | $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 | 1,335.0 | 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 | 0.14 |
Calmar Ratio | 0.38 | 0.15 |
Modified Sharpe Ratio | 0.82 | 0.56 |
Robust Sharpe Ratio | 0.83 | 0.58 |
R-Squared | 0.9809 | 0.8763 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 8.09% | 7.60% |
RAR | 8.34% | 8.80% |
Profit Factor | 3.42 | 0.00 |
Percent Profit Factor | 5.60 | 0.00 |
Expectancy | $0.00 | — |
Percentage Expectancy | 0.12 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (24.14%) | (54.82%) |
Longest Drawdown Duration | 32.9 months | 73.5 months |
Max Monthly % Drawdown | (21.48%) | (50.54%) |
Avg of Top-5 Max % Drawdowns | (18.46%) | (35.85%) |
Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 33.2 months |
Avg of All % Drawdowns | (1.66%) | (1.94%) |
Std Dev of All % Drawdowns | 3.02% | 5.42% |
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 % | 58.8% | 0.0% |
Lose Rate % | 41.2% | 0.0% |
Winning Trades | 10 | 0 |
Losing Trades | 7 | 0 |
Total Trades | 17 | 0 |
Max Consecutive Wins | 3 | 0 |
Max Consecutive Losses | 2 | 0 |
Avg Trade Duration | 372.8 days | 0.0 days |
Avg Winning Trade Duration | 599.9 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 | 44.70% | — |
Avg Win | $59,623.70 | $0.00 |
Avg Loss | ($24,900.87) | $0.00 |
Avg Win / Loss Ratio | 2.39 | — |
Avg Trade | $24,819.46 | $0.00 |
Avg Win % | 24.30% | 0.00% |
Avg Loss % | (6.20%) | 0.00% |
Avg Trade % | 11.74% | 0.00% |
Avg Risk % | (99.25%) | 0.00% |
Avg Trades Per Year | 0.68 | 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 % | 75.6% | 64.9% |
Losing Months % | 24.4% | 35.1% |
Winning Months | 226 | 194 |
Losing Months | 73 | 105 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 21 | 15 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 76.0% |
Losing Years % | 24.0% | 24.0% |
Winning Years | 19 | 19 |
Losing Years | 6 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 9 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 75.4% | 69.0% |
Rolling 6-Month Win Rate | 75.9% | 72.1% |
Rolling 12-Month Win Rate | 74.0% | 76.4% |
Rolling 3-Year Win Rate | 100.0% | 78.3% |
Rolling 5-Year Win Rate | 100.0% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 93.8% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |