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Best Six Months US Equities — 2000 to 2024

Last Update: Oct. 26, 2024 9:26 p.m. (3 days, 19 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2024-10-25 2024-10-25
Time Elapsed 24 years, 10 months 24 years, 10 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $448,193.65 $949,600.03
CAGR % 6.23% 9.50%
Max % Drawdown (35.30%) (54.70%)
Standard Deviation 3.04% 5.12%
Annualized Sharpe 0.35 0.44
MAR Ratio 0.18 0.17
Win Rate % 79.2% 0.0%
Avg Win / Loss Ratio 1.21
Expectancy $0.75
Avg Win % 9.92% 0.00%
Avg Loss % (8.86%) 0.00%
Longest Drawdown Duration 37.4 months 46.3 months
Avg Trades Per Year 0.97 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $448,193.65 $949,600.03
Open Equity $0.00 $849,600.03
Gross Profit $393,024.35 $0.00
Gross Loss ($85,809.46) $0.00
Net Profit $307,214.89 $0.00
Net Long Profit $307,214.89 $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 $40,978.76 $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 1,396.0 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 0.17
Calmar Ratio 0.21 0.19
Modified Sharpe Ratio 0.63 0.60
Robust Sharpe Ratio 0.64 0.56
R-Squared 0.9589 0.9399
Profit Expectation
Model Benchmark
CAGR % 6.23% 9.50%
RAR 6.69% 9.98%
Profit Factor 4.58 0.00
Percent Profit Factor 4.25 0.00
Expectancy $0.75
Percentage Expectancy 0.06 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (35.30%) (54.70%)
Longest Drawdown Duration 37.4 months 46.3 months
Max Monthly % Drawdown (29.83%) (50.27%)
Avg of Top-5 Max % Drawdowns (25.32%) (37.39%)
Avg Duration of Top-5 Longest Drawdowns 24.5 months 27.8 months
Avg of All % Drawdowns (1.68%) (3.26%)
Std Dev of All % Drawdowns 4.27% 6.49%
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 % 79.2% 0.0%
Lose Rate % 20.8% 0.0%
Winning Trades 19 0
Losing Trades 5 0
Total Trades 24 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 25.51%
Avg Win $20,685.49 $0.00
Avg Loss ($17,161.89) $0.00
Avg Win / Loss Ratio 1.21
Avg Trade $12,800.62 $0.00
Avg Win % 9.92% 0.00%
Avg Loss % (8.86%) 0.00%
Avg Trade % 6.00% 0.00%
Avg Risk % (99.06%) 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 % 82.9% 62.4%
Losing Months % 17.1% 37.6%
Winning Months 247 186
Losing Months 51 112
Total Months 298 298
Max Consecutive Winning Months 23 8
Max Consecutive Losing Months 5 6
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 80.0% 72.0%
Losing Years % 20.0% 28.0%
Winning Years 20 18
Losing Years 5 7
Total Years 25 25
Max Consecutive Winning Years 9 6
Max Consecutive Losing Years 1 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 79.7% 66.6%
Rolling 6-Month Win Rate 74.1% 71.7%
Rolling 12-Month Win Rate 78.0% 72.5%
Rolling 3-Year Win Rate 91.3% 82.6%
Rolling 5-Year Win Rate 100.0% 100.0%
Rolling 10-Year Win Rate 100.0% 100.0%
Rolling 3-Month Periods 296 296
Rolling 6-Month Periods 293 293
Rolling 12-Month Periods 287 287
Rolling 3-Year Periods 23 23
Rolling 5-Year Periods 21 21
Rolling 10-Year Periods 16 16
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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