| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2021-04-09 | 2021-04-09 |
| Time Elapsed | 21 years, 3 months | 21 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $356,297.05 | $320,514.75 |
| CAGR % | 6.16% | 5.63% |
| Max % Drawdown | (35.30%) | (28.57%) |
| Standard Deviation | 3.02% | 3.11% |
| Annualized Sharpe | 0.34 | 0.29 |
| MAR Ratio | 0.17 | 0.20 |
| Win Rate % | 80.0% | 33.3% |
| Avg Win / Loss Ratio | 1.05 | 4.72 |
| Expectancy | $0.64 | $0.91 |
| Avg Win % | 8.29% | 40.89% |
| Avg Loss % | (8.66%) | (5.48%) |
| Longest Drawdown Duration | 37.4 months | 48.9 months |
| Avg Trades Per Year | 0.94 | 0.71 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $356,297.05 | $320,514.75 |
| Open Equity | $72,841.01 | $63,719.94 |
| Gross Profit | $214,830.97 | $250,369.38 |
| Gross Loss | ($50,950.65) | ($106,100.45) |
| Net Profit | $163,880.32 | $144,268.93 |
| Net Long Profit | $163,880.32 | $144,268.93 |
| 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 | $19,575.72 | $12,525.89 |
| 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 | 1,239.0 | 540.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.20 |
| Calmar Ratio | 0.21 | 0.21 |
| Modified Sharpe Ratio | 0.62 | 0.56 |
| Robust Sharpe Ratio | 0.62 | 0.51 |
| R-Squared | 0.9410 | 0.7706 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.16% | 5.63% |
| RAR | 6.45% | 5.52% |
| Profit Factor | 4.22 | 2.36 |
| Percent Profit Factor | 3.83 | 3.73 |
| Expectancy | $0.64 | $0.91 |
| Percentage Expectancy | 0.05 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (35.30%) | (28.57%) |
| Longest Drawdown Duration | 37.4 months | 48.9 months |
| Max Monthly % Drawdown | (29.83%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (24.54%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 22.4 months | 37.9 months |
| Avg of All % Drawdowns | (1.75%) | (2.77%) |
| Std Dev of All % Drawdowns | 4.50% | 5.01% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (16.57%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (16.57%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (14.24%) | (10.55%) |
| Closed-Equity Std Dev of All % Drawdown | 3.29% | 6.43% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 80.0% | 33.3% |
| Lose Rate % | 20.0% | 66.7% |
| Winning Trades | 16 | 5 |
| Losing Trades | 4 | 10 |
| Total Trades | 20 | 15 |
| Max Consecutive Wins | 10 | 3 |
| Max Consecutive Losses | 2 | 3 |
| Avg Trade Duration | 181.2 days | 318.7 days |
| Avg Winning Trade Duration | 181.2 days | 742.0 days |
| Avg Losing Trade Duration | 181.0 days | 107.0 days |
| Largest Winning Trade | $30,372.72 | $126,225.36 |
| Largest Losing Trade | ($14,831.52) | ($32,828.35) |
| Largest Win as % of Net Profit | 18.53% | 87.49% |
| Avg Win | $13,426.94 | $50,073.88 |
| Avg Loss | ($12,737.66) | ($10,610.05) |
| Avg Win / Loss Ratio | 1.05 | 4.72 |
| Avg Trade | $8,194.02 | $9,617.93 |
| Avg Win % | 8.29% | 40.89% |
| Avg Loss % | (8.66%) | (5.48%) |
| Avg Trade % | 4.90% | 9.98% |
| Avg Risk % | (99.16%) | (98.19%) |
| Avg Trades Per Year | 0.94 | 0.71 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 82.8% | 72.7% |
| Losing Months % | 17.2% | 27.3% |
| Winning Months | 212 | 186 |
| Losing Months | 44 | 70 |
| Total Months | 256 | 256 |
| Max Consecutive Winning Months | 23 | 22 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.8% | 54.5% |
| Losing Years % | 18.2% | 45.5% |
| Winning Years | 18 | 12 |
| Losing Years | 4 | 10 |
| Total Years | 22 | 22 |
| Max Consecutive Winning Years | 9 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 80.7% | 68.9% |
| Rolling 6-Month Win Rate | 74.5% | 64.5% |
| Rolling 12-Month Win Rate | 79.2% | 59.2% |
| Rolling 3-Year Win Rate | 90.0% | 85.0% |
| Rolling 5-Year Win Rate | 100.0% | 77.8% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 254 | 254 |
| Rolling 6-Month Periods | 251 | 251 |
| Rolling 12-Month Periods | 245 | 245 |
| Rolling 3-Year Periods | 20 | 20 |
| Rolling 5-Year Periods | 18 | 18 |
| Rolling 10-Year Periods | 13 | 13 |
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