| 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 | $373,748.37 |
| CAGR % | 6.10% | 6.26% |
| Max % Drawdown | (35.30%) | (33.47%) |
| Standard Deviation | 3.00% | 3.12% |
| Annualized Sharpe | 0.34 | 0.34 |
| MAR Ratio | 0.17 | 0.19 |
| Win Rate % | 81.0% | 76.2% |
| Avg Win / Loss Ratio | 1.35 | 1.17 |
| Expectancy | $0.91 | $0.65 |
| Avg Win % | 9.43% | 10.53% |
| Avg Loss % | (8.66%) | (7.59%) |
| Longest Drawdown Duration | 37.4 months | 41.8 months |
| Avg Trades Per Year | 0.97 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $361,834.10 | $373,748.37 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $293,209.03 | $342,193.67 |
| Gross Loss | ($50,950.65) | ($91,667.39) |
| Net Profit | $242,258.38 | $250,526.28 |
| Net Long Profit | $242,258.38 | $250,526.28 |
| 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 | 1,280.0 | 787.0 |
| 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 | 0.20 | 0.24 |
| Modified Sharpe Ratio | 0.62 | 0.62 |
| Robust Sharpe Ratio | 0.63 | 0.62 |
| R-Squared | 0.9433 | 0.9587 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.10% | 6.26% |
| RAR | 6.54% | 6.76% |
| Profit Factor | 5.75 | 3.73 |
| Percent Profit Factor | 4.62 | 4.44 |
| Expectancy | $0.91 | $0.65 |
| Percentage Expectancy | 0.06 | 0.06 |
| 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 | (1.72%) | (2.36%) |
| Std Dev of All % Drawdowns | 4.45% | 4.96% |
| 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 | (11.15%) | (9.31%) |
| Closed-Equity Std Dev of All % Drawdown | 5.84% | 5.39% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 81.0% | 76.2% |
| Lose Rate % | 19.0% | 23.8% |
| Winning Trades | 17 | 16 |
| Losing Trades | 4 | 5 |
| Total Trades | 21 | 21 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 2 | 2 |
| Avg Trade Duration | 181.2 days | 181.2 days |
| Avg Winning Trade Duration | 181.3 days | 181.2 days |
| Avg Losing Trade Duration | 181.0 days | 181.2 days |
| Largest Winning Trade | $78,378.06 | $81,648.82 |
| Largest Losing Trade | ($14,831.52) | ($53,296.88) |
| Largest Win as % of Net Profit | 32.35% | 32.59% |
| Avg Win | $17,247.59 | $21,387.10 |
| Avg Loss | ($12,737.66) | ($18,333.48) |
| Avg Win / Loss Ratio | 1.35 | 1.17 |
| Avg Trade | $11,536.11 | $11,929.82 |
| Avg Win % | 9.43% | 10.53% |
| Avg Loss % | (8.66%) | (7.59%) |
| Avg Trade % | 5.98% | 6.22% |
| Avg Risk % | (99.11%) | (98.64%) |
| Avg Trades Per Year | 0.97 | 0.97 |
| Avg Trades Per Month | 0.08 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 83.1% | 78.2% |
| Losing Months % | 16.9% | 21.8% |
| Winning Months | 217 | 204 |
| Losing Months | 44 | 57 |
| Total Months | 261 | 261 |
| 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 | 81.1% | 76.8% |
| Rolling 6-Month Win Rate | 75.0% | 71.1% |
| Rolling 12-Month Win Rate | 79.6% | 76.0% |
| 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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