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Best Six Months US Equities — 2000 to 2017

Last Update: Nov. 18, 2017 6:10 p.m. (5 days, 14 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Brief Description
The Best Six Months US Equities Program is the Best Six Months Model paired with the ^SP-500 Instrument Porfolio and the following parameters:
Start Date 2000-01-01
End Date 2017-11-17
Starting Equity $100,000.00
Timeframe Monthly
Cash Earns Interest? Yes
Inverted Logic? No

For comparison purposes, we use the Buy and Hold US Equities Program as its benchmark.


Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns Distribution

Percent Returns Heatmap

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2017-11-17 2017-11-17
Time Elapsed 17 years, 10 months 17 years, 10 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $259,179.43 $246,805.83
CAGR % 5.47% 5.19%
Max % Drawdown (35.30%) (54.82%)
Standard Deviation 2.70% 4.15%
Annualized Sharpe 0.30 0.22
MAR Ratio 0.16 0.09
Win Rate % 82.4% 0.0%
Avg Win / Loss Ratio 1.07
Expectancy $0.70
Avg Win % 8.54% 0.00%
Avg Loss % (9.89%) 0.00%
Longest Drawdown Duration 37.4 months 73.5 months
Avg Trades Per Year 0.95 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $259,179.43 $246,805.83
Open Equity ($1.02) $146,805.83
Gross Profit $180,033.02 $0.00
Gross Loss ($36,119.13) $0.00
Net Profit $143,913.89 $0.00
Net Long Profit $143,913.89 $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 $15,266.56 $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 1,090.0 0.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.16 0.09
Calmar Ratio 0.18 0.10
Modified Sharpe Ratio 0.62 0.42
Robust Sharpe Ratio 0.66 0.42
R-Squared 0.9065 0.6993
Profit Expectation
Model Benchmark
CAGR % 5.47% 5.19%
RAR 6.15% 5.99%
Profit Factor 4.98 0.00
Percent Profit Factor 4.03 0.00
Expectancy $0.70
Percentage Expectancy 0.05 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (35.30%) (54.82%)
Longest Drawdown Duration 37.4 months 73.5 months
Max Monthly % Drawdown (29.83%) (50.54%)
Avg of Top-5 Max % Drawdowns (17.22%) (27.05%)
Avg Duration of Top-5 Longest Drawdowns 20.6 months 29.1 months
Avg of All % Drawdowns (1.68%) (2.09%)
Std Dev of All % Drawdowns 3.92% 6.22%
Closed Equity Drawdowns
Model Benchmark
Closed-Equity Max % Drawdown (16.57%) 0.00%
Closed-Equity Max Monthly % Drawdown (16.57%) 0.00%
Closed-Equity Avg of All % Drawdown (14.24%) 0.00%
Closed-Equity Std Dev of All % Drawdown 3.29% 0.00%
Trades
Model Benchmark
Win Rate % 82.4% 0.0%
Lose Rate % 17.6% 0.0%
Winning Trades 14 0
Losing Trades 3 0
Total Trades 17 0
Max Consecutive Wins 8 0
Max Consecutive Losses 2 0
Avg Trade Duration 181.2 days 0.0 days
Avg Winning Trade Duration 181.3 days 0.0 days
Avg Losing Trade Duration 180.7 days 0.0 days
Largest Winning Trade $30,372.72 $0.00
Largest Losing Trade ($12,967.90) $0.00
Largest Win as % of Net Profit 21.10%
Avg Win $12,859.50 $0.00
Avg Loss ($12,039.71) $0.00
Avg Win / Loss Ratio 1.07
Avg Trade $8,465.52 $0.00
Avg Win % 8.54% 0.00%
Avg Loss % (9.89%) 0.00%
Avg Trade % 5.29% 0.00%
Avg Risk % (99.14%) 0.00%
Avg Trades Per Year 0.95 0.00
Avg Trades Per Month 0.08 0.00
Avg Trades Per Day 0.00 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 83.7% 63.7%
Losing Months % 16.3% 36.3%
Winning Months 180 137
Losing Months 35 78
Total Months 215 215
Max Consecutive Winning Months 21 13
Max Consecutive Losing Months 5 5
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 83.3% 77.8%
Losing Years % 16.7% 22.2%
Winning Years 15 14
Losing Years 3 4
Total Years 18 18
Max Consecutive Winning Years 9 9
Max Consecutive Losing Years 1 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 81.2% 66.7%
Rolling 6-Month Win Rate 75.2% 69.5%
Rolling 12-Month Win Rate 79.9% 73.5%
Rolling 3-Year Win Rate 87.5% 68.8%
Rolling 5-Year Win Rate 100.0% 78.6%
Rolling 10-Year Win Rate 100.0% 88.9%
Rolling 3-Month Periods 213 213
Rolling 6-Month Periods 210 210
Rolling 12-Month Periods 204 204
Rolling 3-Year Periods 16 16
Rolling 5-Year Periods 14 14
Rolling 10-Year Periods 9 9
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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New Open Orders

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