Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $433,017.62 | $461,247.40 |
CAGR % | 6.22% | 6.50% |
Max % Drawdown | (35.30%) | (14.90%) |
Standard Deviation | 3.08% | 1.98% |
Annualized Sharpe | 0.34 | 0.52 |
MAR Ratio | 0.18 | 0.44 |
Win Rate % | 78.3% | 46.1% |
Avg Win / Loss Ratio | 1.03 | 3.56 |
Expectancy | $0.59 | $1.10 |
Avg Win % | 9.32% | 4.49% |
Avg Loss % | (8.86%) | (0.93%) |
Longest Drawdown Duration | 37.4 months | 30.5 months |
Avg Trades Per Year | 0.95 | 4.20 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $433,017.62 | $461,247.40 |
Open Equity | $69,306.80 | $17,987.93 |
Gross Profit | $318,273.55 | $471,807.94 |
Gross Loss | ($85,809.46) | ($155,281.16) |
Net Profit | $232,464.09 | $316,526.78 |
Net Long Profit | $232,464.09 | $316,526.78 |
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 | $31,246.73 | $26,732.70 |
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 | 1,069.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.44 |
Calmar Ratio | 0.21 | 0.60 |
Modified Sharpe Ratio | 0.62 | 0.95 |
Robust Sharpe Ratio | 0.62 | 0.88 |
R-Squared | 0.9570 | 0.9341 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.22% | 6.50% |
RAR | 6.62% | 6.03% |
Profit Factor | 3.71 | 3.04 |
Percent Profit Factor | 3.79 | 4.11 |
Expectancy | $0.59 | $1.10 |
Percentage Expectancy | 0.05 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (35.30%) | (14.90%) |
Longest Drawdown Duration | 37.4 months | 30.5 months |
Max Monthly % Drawdown | (29.83%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (25.32%) | (10.73%) |
Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 23.7 months |
Avg of All % Drawdowns | (1.68%) | (1.35%) |
Std Dev of All % Drawdowns | 4.27% | 2.07% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (16.57%) | (8.54%) |
Closed-Equity Max Monthly % Drawdown | (16.57%) | (8.54%) |
Closed-Equity Avg of All % Drawdown | (10.77%) | (2.79%) |
Closed-Equity Std Dev of All % Drawdown | 4.83% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 78.3% | 46.1% |
Lose Rate % | 21.7% | 53.9% |
Winning Trades | 18 | 47 |
Losing Trades | 5 | 55 |
Total Trades | 23 | 102 |
Max Consecutive Wins | 10 | 6 |
Max Consecutive Losses | 2 | 8 |
Avg Trade Duration | 181.3 days | 286.8 days |
Avg Winning Trade Duration | 181.3 days | 531.4 days |
Avg Losing Trade Duration | 181.2 days | 77.7 days |
Largest Winning Trade | $78,378.06 | $61,124.70 |
Largest Losing Trade | ($34,858.81) | ($9,079.40) |
Largest Win as % of Net Profit | 33.72% | 19.31% |
Avg Win | $17,681.86 | $10,038.47 |
Avg Loss | ($17,161.89) | ($2,823.29) |
Avg Win / Loss Ratio | 1.03 | 3.56 |
Avg Trade | $10,107.13 | $3,103.20 |
Avg Win % | 9.32% | 4.49% |
Avg Loss % | (8.86%) | (0.93%) |
Avg Trade % | 5.37% | 1.57% |
Avg Risk % | (99.03%) | (18.02%) |
Avg Trades Per Year | 0.95 | 4.20 |
Avg Trades Per Month | 0.08 | 0.35 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 82.5% | 65.4% |
Losing Months % | 17.5% | 34.6% |
Winning Months | 241 | 191 |
Losing Months | 51 | 101 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 23 | 11 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 84.0% |
Losing Years % | 20.0% | 16.0% |
Winning Years | 20 | 21 |
Losing Years | 5 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 8 |
Max Consecutive Losing Years | 1 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 80.0% | 66.6% |
Rolling 6-Month Win Rate | 73.9% | 74.6% |
Rolling 12-Month Win Rate | 77.6% | 77.6% |
Rolling 3-Year Win Rate | 91.3% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
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 |