| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-04-12 | 2024-04-12 |
| Time Elapsed | 24 years, 3 months | 24 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $446,545.54 | $546,780.40 |
| CAGR % | 6.36% | 7.25% |
| Max % Drawdown | (35.30%) | (54.82%) |
| Standard Deviation | 3.06% | 4.41% |
| Annualized Sharpe | 0.36 | 0.34 |
| 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 | $446,545.54 | $546,780.40 |
| Open Equity | $82,835.60 | $446,780.40 |
| 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 | $31,245.85 | $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 | 0.21 | 0.14 |
| Modified Sharpe Ratio | 0.63 | 0.53 |
| Robust Sharpe Ratio | 0.62 | 0.56 |
| R-Squared | 0.9570 | 0.8692 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.36% | 7.25% |
| RAR | 6.62% | 8.60% |
| 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 | 4.27% | 5.54% |
| 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 % | 82.5% | 64.4% |
| Losing Months % | 17.5% | 35.6% |
| Winning Months | 241 | 188 |
| Losing Months | 51 | 104 |
| Total Months | 292 | 292 |
| 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 | 80.0% | 68.3% |
| Rolling 6-Month Win Rate | 73.9% | 71.4% |
| Rolling 12-Month Win Rate | 77.6% | 75.8% |
| 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 | 290 | 290 |
| Rolling 6-Month Periods | 287 | 287 |
| Rolling 12-Month Periods | 281 | 281 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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