Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-10-16 | 2024-10-16 |
Time Elapsed | 24 years, 9 months | 24 years, 9 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $704,124.25 | $502,563.74 |
CAGR % | 8.19% | 6.73% |
Max % Drawdown | (24.14%) | (14.90%) |
Standard Deviation | 2.92% | 1.97% |
Annualized Sharpe | 0.54 | 0.56 |
MAR Ratio | 0.34 | 0.45 |
Win Rate % | 58.8% | 46.7% |
Avg Win / Loss Ratio | 2.39 | 3.42 |
Expectancy | $0.00 | $1.06 |
Avg Win % | 24.30% | 4.32% |
Avg Loss % | (6.20%) | (0.93%) |
Longest Drawdown Duration | 32.9 months | 30.5 months |
Avg Trades Per Year | 0.69 | 4.24 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $704,124.25 | $502,563.74 |
Open Equity | $161,099.95 | $58,799.65 |
Gross Profit | $596,236.97 | $473,884.79 |
Gross Loss | ($174,306.09) | ($158,238.91) |
Net Profit | $421,930.88 | $315,645.88 |
Net Long Profit | $421,930.88 | $315,645.88 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | 100.0% | 100.0% |
Net Short Profit as % of Net Profit | 0.0% | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $21,093.42 | $28,118.21 |
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 | 1,112.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.34 | 0.45 |
Calmar Ratio | 0.38 | 0.62 |
Modified Sharpe Ratio | 0.83 | 0.99 |
Robust Sharpe Ratio | 0.82 | 0.88 |
R-Squared | 0.9808 | 0.9368 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 8.19% | 6.73% |
RAR | 8.34% | 6.00% |
Profit Factor | 3.42 | 2.99 |
Percent Profit Factor | 5.60 | 4.07 |
Expectancy | $0.00 | $1.06 |
Percentage Expectancy | 0.12 | 0.08 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (24.14%) | (14.90%) |
Longest Drawdown Duration | 32.9 months | 30.5 months |
Max Monthly % Drawdown | (21.48%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (18.46%) | (10.73%) |
Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 24.2 months |
Avg of All % Drawdowns | (1.66%) | (1.36%) |
Std Dev of All % Drawdowns | 3.03% | 2.10% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (12.79%) | (8.54%) |
Closed-Equity Max Monthly % Drawdown | (12.52%) | (8.54%) |
Closed-Equity Avg of All % Drawdown | (9.25%) | (2.80%) |
Closed-Equity Std Dev of All % Drawdown | 3.22% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 58.8% | 46.7% |
Lose Rate % | 41.2% | 53.3% |
Winning Trades | 10 | 49 |
Losing Trades | 7 | 56 |
Total Trades | 17 | 105 |
Max Consecutive Wins | 3 | 6 |
Max Consecutive Losses | 2 | 8 |
Avg Trade Duration | 372.8 days | 283.2 days |
Avg Winning Trade Duration | 599.9 days | 517.2 days |
Avg Losing Trade Duration | 48.4 days | 78.4 days |
Largest Winning Trade | $188,616.32 | $61,124.70 |
Largest Losing Trade | ($52,117.18) | ($9,079.40) |
Largest Win as % of Net Profit | 44.70% | 19.36% |
Avg Win | $59,623.70 | $9,671.12 |
Avg Loss | ($24,900.87) | ($2,825.69) |
Avg Win / Loss Ratio | 2.39 | 3.42 |
Avg Trade | $24,819.46 | $3,006.15 |
Avg Win % | 24.30% | 4.32% |
Avg Loss % | (6.20%) | (0.93%) |
Avg Trade % | 11.74% | 1.52% |
Avg Risk % | (99.25%) | (18.07%) |
Avg Trades Per Year | 0.69 | 4.24 |
Avg Trades Per Month | 0.06 | 0.35 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 75.8% | 65.8% |
Losing Months % | 24.2% | 34.2% |
Winning Months | 226 | 196 |
Losing Months | 72 | 102 |
Total Months | 298 | 298 |
Max Consecutive Winning Months | 21 | 11 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 84.0% |
Losing Years % | 24.0% | 16.0% |
Winning Years | 19 | 21 |
Losing Years | 6 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 8 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 75.3% | 67.2% |
Rolling 6-Month Win Rate | 75.8% | 75.1% |
Rolling 12-Month Win Rate | 73.9% | 78.0% |
Rolling 3-Year Win Rate | 100.0% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 296 | 296 |
Rolling 6-Month Periods | 293 | 293 |
Rolling 12-Month Periods | 287 | 287 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |