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 | $245,483.66 |
CAGR % | 6.22% | 3.77% |
Max % Drawdown | (35.30%) | (60.26%) |
Standard Deviation | 3.08% | 4.48% |
Annualized Sharpe | 0.34 | 0.12 |
MAR Ratio | 0.18 | 0.06 |
Win Rate % | 78.3% | 38.5% |
Avg Win / Loss Ratio | 1.03 | 2.45 |
Expectancy | $0.59 | $0.33 |
Avg Win % | 9.32% | 21.44% |
Avg Loss % | (8.86%) | (6.60%) |
Longest Drawdown Duration | 37.4 months | 189.4 months |
Avg Trades Per Year | 0.95 | 1.07 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $433,017.62 | $245,483.66 |
Open Equity | $69,306.80 | $16,906.50 |
Gross Profit | $318,273.55 | $301,721.37 |
Gross Loss | ($85,809.46) | ($197,205.02) |
Net Profit | $232,464.09 | $104,516.35 |
Net Long Profit | $232,464.09 | $104,516.35 |
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 | $24,060.81 |
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 | 1,136.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.06 |
Calmar Ratio | 0.21 | 0.06 |
Modified Sharpe Ratio | 0.62 | 0.32 |
Robust Sharpe Ratio | 0.62 | 0.06 |
R-Squared | 0.9570 | 0.0742 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.22% | 3.77% |
RAR | 6.62% | 0.90% |
Profit Factor | 3.71 | 1.53 |
Percent Profit Factor | 3.79 | 2.03 |
Expectancy | $0.59 | $0.33 |
Percentage Expectancy | 0.05 | 0.04 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (35.30%) | (60.26%) |
Longest Drawdown Duration | 37.4 months | 189.4 months |
Max Monthly % Drawdown | (29.83%) | (58.84%) |
Avg of Top-5 Max % Drawdowns | (25.32%) | (30.52%) |
Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 53.0 months |
Avg of All % Drawdowns | (1.68%) | (3.67%) |
Std Dev of All % Drawdowns | 4.27% | 5.66% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (16.57%) | (43.60%) |
Closed-Equity Max Monthly % Drawdown | (16.57%) | (43.56%) |
Closed-Equity Avg of All % Drawdown | (10.77%) | (18.63%) |
Closed-Equity Std Dev of All % Drawdown | 4.83% | 17.80% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 78.3% | 38.5% |
Lose Rate % | 21.7% | 61.5% |
Winning Trades | 18 | 10 |
Losing Trades | 5 | 16 |
Total Trades | 23 | 26 |
Max Consecutive Wins | 10 | 4 |
Max Consecutive Losses | 2 | 7 |
Avg Trade Duration | 181.3 days | 193.3 days |
Avg Winning Trade Duration | 181.3 days | 371.5 days |
Avg Losing Trade Duration | 181.2 days | 82.0 days |
Largest Winning Trade | $78,378.06 | $106,576.40 |
Largest Losing Trade | ($34,858.81) | ($34,666.80) |
Largest Win as % of Net Profit | 33.72% | 101.97% |
Avg Win | $17,681.86 | $30,172.14 |
Avg Loss | ($17,161.89) | ($12,325.31) |
Avg Win / Loss Ratio | 1.03 | 2.45 |
Avg Trade | $10,107.13 | $4,019.86 |
Avg Win % | 9.32% | 21.44% |
Avg Loss % | (8.86%) | (6.60%) |
Avg Trade % | 5.37% | 4.19% |
Avg Risk % | (99.03%) | (98.62%) |
Avg Trades Per Year | 0.95 | 1.07 |
Avg Trades Per Month | 0.08 | 0.09 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 82.5% | 71.9% |
Losing Months % | 17.5% | 28.1% |
Winning Months | 241 | 210 |
Losing Months | 51 | 82 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 23 | 22 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 60.0% |
Losing Years % | 20.0% | 40.0% |
Winning Years | 20 | 15 |
Losing Years | 5 | 10 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 4 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 80.0% | 64.1% |
Rolling 6-Month Win Rate | 73.9% | 55.4% |
Rolling 12-Month Win Rate | 77.6% | 52.0% |
Rolling 3-Year Win Rate | 91.3% | 65.2% |
Rolling 5-Year Win Rate | 100.0% | 61.9% |
Rolling 10-Year Win Rate | 100.0% | 50.0% |
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 |