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Best Six Months US Equities — 2000 to 2021

Last Update: Sept. 18, 2021 7 p.m. (6 days, 16 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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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 with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2021-09-17 2021-09-17
Time Elapsed 21 years, 8 months 21 years, 8 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $361,834.10 $992,351.89
CAGR % 6.10% 11.15%
Max % Drawdown (35.30%) (21.03%)
Standard Deviation 3.00% 3.52%
Annualized Sharpe 0.34 0.69
MAR Ratio 0.17 0.53
Win Rate % 81.0% 69.2%
Avg Win / Loss Ratio 1.35 3.53
Expectancy $0.91 $2.13
Avg Win % 9.43% 29.64%
Avg Loss % (8.66%) (4.84%)
Longest Drawdown Duration 37.4 months 35.9 months
Avg Trades Per Year 0.97 0.60
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $361,834.10 $992,351.89
Open Equity $0.00 $242,062.37
Gross Profit $293,209.03 $727,992.55
Gross Loss ($50,950.65) ($91,746.79)
Net Profit $242,258.38 $636,245.76
Net Long Profit $242,258.38 $636,245.76
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 $14,043.75
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 1,280.0 1,408.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.17 0.53
Calmar Ratio 0.20 0.53
Modified Sharpe Ratio 0.62 0.93
Robust Sharpe Ratio 0.63 0.86
R-Squared 0.9433 0.9248
Profit Expectation
Model Benchmark
CAGR % 6.10% 11.15%
RAR 6.54% 10.47%
Profit Factor 5.75 7.93
Percent Profit Factor 4.62 13.78
Expectancy $0.91 $2.13
Percentage Expectancy 0.06 0.19
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (35.30%) (21.03%)
Longest Drawdown Duration 37.4 months 35.9 months
Max Monthly % Drawdown (29.83%) (21.03%)
Avg of Top-5 Max % Drawdowns (24.54%) (15.07%)
Avg Duration of Top-5 Longest Drawdowns 22.4 months 23.8 months
Avg of All % Drawdowns (1.72%) (6.92%)
Std Dev of All % Drawdowns 4.45% 5.46%
Closed Equity Drawdowns
Model Benchmark
Closed-Equity Max % Drawdown (16.57%) (10.50%)
Closed-Equity Max Monthly % Drawdown (16.57%) (10.42%)
Closed-Equity Avg of All % Drawdown (11.15%) (4.84%)
Closed-Equity Std Dev of All % Drawdown 5.84% 4.03%
Trades
Model Benchmark
Win Rate % 81.0% 69.2%
Lose Rate % 19.0% 30.8%
Winning Trades 17 9
Losing Trades 4 4
Total Trades 21 13
Max Consecutive Wins 10 3
Max Consecutive Losses 2 1
Avg Trade Duration 181.2 days 433.1 days
Avg Winning Trade Duration 181.3 days 578.2 days
Avg Losing Trade Duration 181.0 days 106.5 days
Largest Winning Trade $78,378.06 $216,040.20
Largest Losing Trade ($14,831.52) ($34,296.08)
Largest Win as % of Net Profit 32.35% 33.96%
Avg Win $17,247.59 $80,888.06
Avg Loss ($12,737.66) ($22,936.70)
Avg Win / Loss Ratio 1.35 3.53
Avg Trade $11,536.11 $48,941.98
Avg Win % 9.43% 29.64%
Avg Loss % (8.66%) (4.84%)
Avg Trade % 5.98% 19.03%
Avg Risk % (99.11%) (99.56%)
Avg Trades Per Year 0.97 0.60
Avg Trades Per Month 0.08 0.05
Avg Trades Per Day 0.00 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 83.1% 74.7%
Losing Months % 16.9% 25.3%
Winning Months 217 195
Losing Months 44 66
Total Months 261 261
Max Consecutive Winning Months 23 18
Max Consecutive Losing Months 5 3
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 81.8% 68.2%
Losing Years % 18.2% 31.8%
Winning Years 18 15
Losing Years 4 7
Total Years 22 22
Max Consecutive Winning Years 9 7
Max Consecutive Losing Years 1 2
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 81.1% 72.6%
Rolling 6-Month Win Rate 75.0% 73.0%
Rolling 12-Month Win Rate 79.6% 78.8%
Rolling 3-Year Win Rate 90.0% 95.0%
Rolling 5-Year Win Rate 100.0% 100.0%
Rolling 10-Year Win Rate 100.0% 100.0%
Rolling 3-Month Periods 259 259
Rolling 6-Month Periods 256 256
Rolling 12-Month Periods 250 250
Rolling 3-Year Periods 20 20
Rolling 5-Year Periods 18 18
Rolling 10-Year Periods 13 13
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Trade By Trade Chart
Instrument


Profit % Distribution

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