Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-08-30 | 2024-08-30 |
Time Elapsed | 24 years, 8 months | 24 years, 8 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $679,568.36 | $972,345.43 |
CAGR % | 8.08% | 9.66% |
Max % Drawdown | (24.14%) | (21.03%) |
Standard Deviation | 2.93% | 3.58% |
Annualized Sharpe | 0.53 | 0.57 |
MAR Ratio | 0.33 | 0.46 |
Win Rate % | 58.8% | 55.6% |
Avg Win / Loss Ratio | 2.39 | 3.66 |
Expectancy | $0.00 | $1.59 |
Avg Win % | 24.30% | 29.42% |
Avg Loss % | (6.20%) | (3.92%) |
Longest Drawdown Duration | 32.9 months | 35.9 months |
Avg Trades Per Year | 0.69 | 0.73 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $679,568.36 | $972,345.43 |
Open Equity | $136,547.40 | $83,249.57 |
Gross Profit | $596,236.97 | $933,870.76 |
Gross Loss | ($174,306.09) | ($203,958.92) |
Net Profit | $421,930.88 | $729,911.84 |
Net Long Profit | $421,930.88 | $729,911.84 |
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 | $21,090.08 | $59,184.02 |
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 | 1,893.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.33 | 0.46 |
Calmar Ratio | 0.38 | 0.46 |
Modified Sharpe Ratio | 0.82 | 0.81 |
Robust Sharpe Ratio | 0.82 | 0.77 |
R-Squared | 0.9805 | 0.9173 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 8.08% | 9.66% |
RAR | 8.34% | 9.49% |
Profit Factor | 3.42 | 4.58 |
Percent Profit Factor | 5.60 | 9.38 |
Expectancy | $0.00 | $1.59 |
Percentage Expectancy | 0.12 | 0.15 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (24.14%) | (21.03%) |
Longest Drawdown Duration | 32.9 months | 35.9 months |
Max Monthly % Drawdown | (21.48%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (18.46%) | (16.69%) |
Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 27.4 months |
Avg of All % Drawdowns | (1.66%) | (6.65%) |
Std Dev of All % Drawdowns | 3.03% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (12.79%) | (10.50%) |
Closed-Equity Max Monthly % Drawdown | (12.52%) | (10.42%) |
Closed-Equity Avg of All % Drawdown | (9.25%) | (6.50%) |
Closed-Equity Std Dev of All % Drawdown | 3.22% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 58.8% | 55.6% |
Lose Rate % | 41.2% | 44.4% |
Winning Trades | 10 | 10 |
Losing Trades | 7 | 8 |
Total Trades | 17 | 18 |
Max Consecutive Wins | 3 | 3 |
Max Consecutive Losses | 2 | 4 |
Avg Trade Duration | 372.8 days | 353.1 days |
Avg Winning Trade Duration | 599.9 days | 565.9 days |
Avg Losing Trade Duration | 48.4 days | 87.1 days |
Largest Winning Trade | $188,616.32 | $216,040.20 |
Largest Losing Trade | ($52,117.18) | ($55,980.54) |
Largest Win as % of Net Profit | 44.70% | 29.60% |
Avg Win | $59,623.70 | $93,387.08 |
Avg Loss | ($24,900.87) | ($25,494.86) |
Avg Win / Loss Ratio | 2.39 | 3.66 |
Avg Trade | $24,819.46 | $40,550.66 |
Avg Win % | 24.30% | 29.42% |
Avg Loss % | (6.20%) | (3.92%) |
Avg Trade % | 11.74% | 14.60% |
Avg Risk % | (99.25%) | (99.52%) |
Avg Trades Per Year | 0.69 | 0.73 |
Avg Trades Per Month | 0.06 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 75.7% | 74.7% |
Losing Months % | 24.3% | 25.3% |
Winning Months | 224 | 221 |
Losing Months | 72 | 75 |
Total Months | 296 | 296 |
Max Consecutive Winning Months | 21 | 18 |
Max Consecutive Losing Months | 4 | 3 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.0% | 68.0% |
Losing Years % | 24.0% | 32.0% |
Winning Years | 19 | 17 |
Losing Years | 6 | 8 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 7 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 75.2% | 70.1% |
Rolling 6-Month Win Rate | 75.6% | 70.8% |
Rolling 12-Month Win Rate | 73.7% | 74.0% |
Rolling 3-Year Win Rate | 100.0% | 91.3% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 294 | 294 |
Rolling 6-Month Periods | 291 | 291 |
Rolling 12-Month Periods | 285 | 285 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |