Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2022-08-12 | 2022-08-12 |
Time Elapsed | 22 years, 7 months | 22 years, 7 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $328,003.13 | $444,603.64 |
CAGR % | 5.40% | 6.82% |
Max % Drawdown | (35.30%) | (54.82%) |
Standard Deviation | 3.03% | 4.37% |
Annualized Sharpe | 0.27 | 0.32 |
MAR Ratio | 0.15 | 0.12 |
Win Rate % | 77.3% | 0.0% |
Avg Win / Loss Ratio | 1.00 | — |
Expectancy | $0.55 | — |
Avg Win % | 9.43% | 0.00% |
Avg Loss % | (8.86%) | 0.00% |
Longest Drawdown Duration | 37.4 months | 73.5 months |
Avg Trades Per Year | 0.97 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $328,003.13 | $444,603.64 |
Open Equity | $0.00 | $344,603.64 |
Gross Profit | $293,209.03 | $0.00 |
Gross Loss | ($85,809.46) | $0.00 |
Net Profit | $207,399.57 | $0.00 |
Net Long Profit | $207,399.57 | $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 | $20,603.56 | $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 | 1,317.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.15 | 0.12 |
Calmar Ratio | 0.18 | 0.13 |
Modified Sharpe Ratio | 0.55 | 0.51 |
Robust Sharpe Ratio | 0.63 | 0.54 |
R-Squared | 0.9489 | 0.8391 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.40% | 6.82% |
RAR | 6.59% | 8.21% |
Profit Factor | 3.42 | 0.00 |
Percent Profit Factor | 3.62 | 0.00 |
Expectancy | $0.55 | — |
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 | (24.68%) | (35.55%) |
Avg Duration of Top-5 Longest Drawdowns | 22.4 months | 29.0 months |
Avg of All % Drawdowns | (1.70%) | (1.94%) |
Std Dev of All % Drawdowns | 4.36% | 5.52% |
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 | (12.71%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 5.84% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 77.3% | 0.0% |
Lose Rate % | 22.7% | 0.0% |
Winning Trades | 17 | 0 |
Losing Trades | 5 | 0 |
Total Trades | 22 | 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 | 37.79% | — |
Avg Win | $17,247.59 | $0.00 |
Avg Loss | ($17,161.89) | $0.00 |
Avg Win / Loss Ratio | 1.00 | — |
Avg Trade | $9,427.25 | $0.00 |
Avg Win % | 9.43% | 0.00% |
Avg Loss % | (8.86%) | 0.00% |
Avg Trade % | 5.27% | 0.00% |
Avg Risk % | (99.09%) | 0.00% |
Avg Trades Per Year | 0.97 | 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 % | 82.4% | 64.7% |
Losing Months % | 17.6% | 35.3% |
Winning Months | 224 | 176 |
Losing Months | 48 | 96 |
Total Months | 272 | 272 |
Max Consecutive Winning Months | 23 | 15 |
Max Consecutive Losing Months | 5 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 78.3% | 73.9% |
Losing Years % | 21.7% | 26.1% |
Winning Years | 18 | 17 |
Losing Years | 5 | 6 |
Total Years | 23 | 23 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 79.3% | 68.1% |
Rolling 6-Month Win Rate | 72.7% | 70.8% |
Rolling 12-Month Win Rate | 78.5% | 76.6% |
Rolling 3-Year Win Rate | 90.5% | 76.2% |
Rolling 5-Year Win Rate | 100.0% | 84.2% |
Rolling 10-Year Win Rate | 100.0% | 92.9% |
Rolling 3-Month Periods | 270 | 270 |
Rolling 6-Month Periods | 267 | 267 |
Rolling 12-Month Periods | 261 | 261 |
Rolling 3-Year Periods | 21 | 21 |
Rolling 5-Year Periods | 19 | 19 |
Rolling 10-Year Periods | 14 | 14 |