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 |