Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-29 | 2024-11-29 |
Time Elapsed | 24 years, 11 months | 24 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $472,805.14 | $489,302.82 |
CAGR % | 6.44% | 6.58% |
Max % Drawdown | (35.30%) | (33.47%) |
Standard Deviation | 3.04% | 3.15% |
Annualized Sharpe | 0.36 | 0.37 |
MAR Ratio | 0.18 | 0.20 |
Win Rate % | 79.2% | 75.0% |
Avg Win / Loss Ratio | 1.21 | 1.14 |
Expectancy | $0.75 | $0.61 |
Avg Win % | 9.92% | 11.59% |
Avg Loss % | (8.86%) | (8.58%) |
Longest Drawdown Duration | 37.4 months | 41.8 months |
Avg Trades Per Year | 0.96 | 0.96 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $472,805.14 | $489,302.82 |
Open Equity | $24,287.90 | ($3,332.70) |
Gross Profit | $393,024.35 | $487,722.84 |
Gross Loss | ($85,809.46) | ($142,169.87) |
Net Profit | $307,214.89 | $345,552.96 |
Net Long Profit | $307,214.89 | $345,552.96 |
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 | $41,302.35 | $47,082.55 |
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 | 905.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.20 |
Calmar Ratio | 0.22 | 0.25 |
Modified Sharpe Ratio | 0.65 | 0.64 |
Robust Sharpe Ratio | 0.64 | 0.60 |
R-Squared | 0.9592 | 0.9629 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.44% | 6.58% |
RAR | 6.71% | 6.55% |
Profit Factor | 4.58 | 3.43 |
Percent Profit Factor | 4.25 | 4.05 |
Expectancy | $0.75 | $0.61 |
Percentage Expectancy | 0.06 | 0.07 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (35.30%) | (33.47%) |
Longest Drawdown Duration | 37.4 months | 41.8 months |
Max Monthly % Drawdown | (29.83%) | (26.06%) |
Avg of Top-5 Max % Drawdowns | (25.32%) | (23.64%) |
Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 24.3 months |
Avg of All % Drawdowns | (1.69%) | (2.29%) |
Std Dev of All % Drawdowns | 4.25% | 4.76% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (16.57%) | (15.43%) |
Closed-Equity Max Monthly % Drawdown | (16.57%) | (15.43%) |
Closed-Equity Avg of All % Drawdown | (10.77%) | (10.15%) |
Closed-Equity Std Dev of All % Drawdown | 4.83% | 5.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 79.2% | 75.0% |
Lose Rate % | 20.8% | 25.0% |
Winning Trades | 19 | 18 |
Losing Trades | 5 | 6 |
Total Trades | 24 | 24 |
Max Consecutive Wins | 10 | 6 |
Max Consecutive Losses | 2 | 2 |
Avg Trade Duration | 181.3 days | 181.3 days |
Avg Winning Trade Duration | 181.3 days | 181.3 days |
Avg Losing Trade Duration | 181.2 days | 181.3 days |
Largest Winning Trade | $78,378.06 | $81,648.82 |
Largest Losing Trade | ($34,858.81) | ($53,296.88) |
Largest Win as % of Net Profit | 25.51% | 23.63% |
Avg Win | $20,685.49 | $27,095.71 |
Avg Loss | ($17,161.89) | ($23,694.98) |
Avg Win / Loss Ratio | 1.21 | 1.14 |
Avg Trade | $12,800.62 | $14,398.04 |
Avg Win % | 9.92% | 11.59% |
Avg Loss % | (8.86%) | (8.58%) |
Avg Trade % | 6.00% | 6.55% |
Avg Risk % | (99.06%) | (98.67%) |
Avg Trades Per Year | 0.96 | 0.96 |
Avg Trades Per Month | 0.08 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 82.9% | 78.3% |
Losing Months % | 17.1% | 21.7% |
Winning Months | 248 | 234 |
Losing Months | 51 | 65 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 23 | 14 |
Max Consecutive Losing Months | 5 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 80.0% |
Losing Years % | 20.0% | 20.0% |
Winning Years | 20 | 20 |
Losing Years | 5 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 1 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 79.8% | 76.4% |
Rolling 6-Month Win Rate | 74.1% | 70.4% |
Rolling 12-Month Win Rate | 78.1% | 75.7% |
Rolling 3-Year Win Rate | 91.3% | 95.7% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |