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 | $369,380.23 |
CAGR % | 6.16% | 6.34% |
Max % Drawdown | (35.30%) | (33.47%) |
Standard Deviation | 3.02% | 3.15% |
Annualized Sharpe | 0.34 | 0.35 |
MAR Ratio | 0.17 | 0.19 |
Win Rate % | 80.0% | 75.0% |
Avg Win / Loss Ratio | 1.05 | 0.95 |
Expectancy | $0.64 | $0.46 |
Avg Win % | 8.29% | 9.37% |
Avg Loss % | (8.66%) | (7.59%) |
Longest Drawdown Duration | 37.4 months | 41.8 months |
Avg Trades Per Year | 0.94 | 0.94 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $356,297.05 | $369,380.23 |
Open Equity | $72,841.01 | $77,280.68 |
Gross Profit | $214,830.97 | $260,544.85 |
Gross Loss | ($50,950.65) | ($91,667.39) |
Net Profit | $163,880.32 | $168,877.45 |
Net Long Profit | $163,880.32 | $168,877.45 |
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 | $23,222.09 |
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 | 750.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.17 | 0.19 |
Calmar Ratio | 0.21 | 0.24 |
Modified Sharpe Ratio | 0.62 | 0.62 |
Robust Sharpe Ratio | 0.62 | 0.62 |
R-Squared | 0.9410 | 0.9564 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.16% | 6.34% |
RAR | 6.45% | 6.78% |
Profit Factor | 4.22 | 2.84 |
Percent Profit Factor | 3.83 | 3.70 |
Expectancy | $0.64 | $0.46 |
Percentage Expectancy | 0.05 | 0.05 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (35.30%) | (33.47%) |
Longest Drawdown Duration | 37.4 months | 41.8 months |
Max Monthly % Drawdown | (29.83%) | (26.06%) |
Avg of Top-5 Max % Drawdowns | (24.54%) | (23.60%) |
Avg Duration of Top-5 Longest Drawdowns | 22.4 months | 22.7 months |
Avg of All % Drawdowns | (1.75%) | (2.38%) |
Std Dev of All % Drawdowns | 4.50% | 4.98% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (16.57%) | (15.43%) |
Closed-Equity Max Monthly % Drawdown | (16.57%) | (15.43%) |
Closed-Equity Avg of All % Drawdown | (14.24%) | (11.52%) |
Closed-Equity Std Dev of All % Drawdown | 3.29% | 4.32% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 80.0% | 75.0% |
Lose Rate % | 20.0% | 25.0% |
Winning Trades | 16 | 15 |
Losing Trades | 4 | 5 |
Total Trades | 20 | 20 |
Max Consecutive Wins | 10 | 6 |
Max Consecutive Losses | 2 | 2 |
Avg Trade Duration | 181.2 days | 181.2 days |
Avg Winning Trade Duration | 181.2 days | 181.2 days |
Avg Losing Trade Duration | 181.0 days | 181.2 days |
Largest Winning Trade | $30,372.72 | $34,455.58 |
Largest Losing Trade | ($14,831.52) | ($53,296.88) |
Largest Win as % of Net Profit | 18.53% | 20.40% |
Avg Win | $13,426.94 | $17,369.66 |
Avg Loss | ($12,737.66) | ($18,333.48) |
Avg Win / Loss Ratio | 1.05 | 0.95 |
Avg Trade | $8,194.02 | $8,443.87 |
Avg Win % | 8.29% | 9.37% |
Avg Loss % | (8.66%) | (7.59%) |
Avg Trade % | 4.90% | 5.13% |
Avg Risk % | (99.16%) | (98.60%) |
Avg Trades Per Year | 0.94 | 0.94 |
Avg Trades Per Month | 0.08 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 82.8% | 77.7% |
Losing Months % | 17.2% | 22.3% |
Winning Months | 212 | 199 |
Losing Months | 44 | 57 |
Total Months | 256 | 256 |
Max Consecutive Winning Months | 23 | 14 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 81.8% | 81.8% |
Losing Years % | 18.2% | 18.2% |
Winning Years | 18 | 18 |
Losing Years | 4 | 4 |
Total Years | 22 | 22 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 1 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 80.7% | 76.4% |
Rolling 6-Month Win Rate | 74.5% | 70.5% |
Rolling 12-Month Win Rate | 79.2% | 75.5% |
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 | 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 |