Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-03-22 | 2024-03-22 |
Time Elapsed | 24 years, 2 months | 24 years, 2 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $455,867.31 | $558,202.79 |
CAGR % | 6.47% | 7.36% |
Max % Drawdown | (35.30%) | (54.82%) |
Standard Deviation | 3.06% | 4.42% |
Annualized Sharpe | 0.37 | 0.35 |
MAR Ratio | 0.18 | 0.13 |
Win Rate % | 78.3% | 0.0% |
Avg Win / Loss Ratio | 1.03 | — |
Expectancy | $0.59 | — |
Avg Win % | 9.32% | 0.00% |
Avg Loss % | (8.86%) | 0.00% |
Longest Drawdown Duration | 37.4 months | 73.5 months |
Avg Trades Per Year | 0.95 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $455,867.31 | $558,202.79 |
Open Equity | $92,160.00 | $458,202.79 |
Gross Profit | $318,273.55 | $0.00 |
Gross Loss | ($85,809.46) | $0.00 |
Net Profit | $232,464.09 | $0.00 |
Net Long Profit | $232,464.09 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | 100.0% | — |
Net Short Profit as % of Net Profit | 0.0% | — |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $31,243.22 | $0.00 |
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 | 1,356.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.13 |
Calmar Ratio | 0.22 | 0.15 |
Modified Sharpe Ratio | 0.64 | 0.54 |
Robust Sharpe Ratio | 0.62 | 0.56 |
R-Squared | 0.9569 | 0.8684 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.47% | 7.36% |
RAR | 6.61% | 8.58% |
Profit Factor | 3.71 | 0.00 |
Percent Profit Factor | 3.79 | 0.00 |
Expectancy | $0.59 | — |
Percentage Expectancy | 0.05 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (35.30%) | (54.82%) |
Longest Drawdown Duration | 37.4 months | 73.5 months |
Max Monthly % Drawdown | (29.83%) | (50.54%) |
Avg of Top-5 Max % Drawdowns | (25.32%) | (35.85%) |
Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 33.2 months |
Avg of All % Drawdowns | (1.68%) | (1.97%) |
Std Dev of All % Drawdowns | 4.28% | 5.55% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (16.57%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (16.57%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (10.77%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 4.83% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 78.3% | 0.0% |
Lose Rate % | 21.7% | 0.0% |
Winning Trades | 18 | 0 |
Losing Trades | 5 | 0 |
Total Trades | 23 | 0 |
Max Consecutive Wins | 10 | 0 |
Max Consecutive Losses | 2 | 0 |
Avg Trade Duration | 181.3 days | 0.0 days |
Avg Winning Trade Duration | 181.3 days | 0.0 days |
Avg Losing Trade Duration | 181.2 days | 0.0 days |
Largest Winning Trade | $78,378.06 | $0.00 |
Largest Losing Trade | ($34,858.81) | $0.00 |
Largest Win as % of Net Profit | 33.72% | — |
Avg Win | $17,681.86 | $0.00 |
Avg Loss | ($17,161.89) | $0.00 |
Avg Win / Loss Ratio | 1.03 | — |
Avg Trade | $10,107.13 | $0.00 |
Avg Win % | 9.32% | 0.00% |
Avg Loss % | (8.86%) | 0.00% |
Avg Trade % | 5.37% | 0.00% |
Avg Risk % | (99.03%) | 0.00% |
Avg Trades Per Year | 0.95 | 0.00 |
Avg Trades Per Month | 0.08 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 82.8% | 64.6% |
Losing Months % | 17.2% | 35.4% |
Winning Months | 241 | 188 |
Losing Months | 50 | 103 |
Total Months | 291 | 291 |
Max Consecutive Winning Months | 23 | 15 |
Max Consecutive Losing Months | 5 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 76.0% |
Losing Years % | 20.0% | 24.0% |
Winning Years | 20 | 19 |
Losing Years | 5 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 79.9% | 68.2% |
Rolling 6-Month Win Rate | 73.8% | 71.3% |
Rolling 12-Month Win Rate | 77.5% | 75.7% |
Rolling 3-Year Win Rate | 91.3% | 78.3% |
Rolling 5-Year Win Rate | 100.0% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 93.8% |
Rolling 3-Month Periods | 289 | 289 |
Rolling 6-Month Periods | 286 | 286 |
Rolling 12-Month Periods | 280 | 280 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |