| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2018-06-15 | 2018-06-15 |
| Time Elapsed | 18 years, 5 months | 18 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $317,958.94 | $194,564.75 |
| CAGR % | 6.47% | 3.67% |
| Max % Drawdown | (32.38%) | (60.11%) |
| Standard Deviation | 2.95% | 4.77% |
| Annualized Sharpe | 0.37 | 0.12 |
| MAR Ratio | 0.20 | 0.06 |
| Win Rate % | 77.8% | 0.0% |
| Avg Win / Loss Ratio | 1.77 | — |
| Expectancy | $1.15 | — |
| Avg Win % | 9.53% | 0.00% |
| Avg Loss % | (5.63%) | 0.00% |
| Longest Drawdown Duration | 41.8 months | 75.7 months |
| Avg Trades Per Year | 0.98 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $317,958.94 | $194,564.75 |
| Open Equity | $0.00 | $94,564.75 |
| Gross Profit | $237,650.90 | $0.00 |
| Gross Loss | ($38,370.51) | $0.00 |
| Net Profit | $199,280.39 | $0.00 |
| Net Long Profit | $199,280.39 | $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 | $18,678.55 | $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 | 667.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.20 | 0.06 |
| Calmar Ratio | 0.25 | 0.07 |
| Modified Sharpe Ratio | 0.66 | 0.30 |
| Robust Sharpe Ratio | 0.70 | 0.33 |
| R-Squared | 0.9575 | 0.6961 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.47% | 3.67% |
| RAR | 7.18% | 5.37% |
| Profit Factor | 6.19 | 0.00 |
| Percent Profit Factor | 5.92 | 0.00 |
| Expectancy | $1.15 | — |
| Percentage Expectancy | 0.06 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (32.38%) | (60.11%) |
| Longest Drawdown Duration | 41.8 months | 75.7 months |
| Max Monthly % Drawdown | (26.06%) | (56.36%) |
| Avg of Top-5 Max % Drawdowns | (18.86%) | (32.40%) |
| Avg Duration of Top-5 Longest Drawdowns | 21.5 months | 35.8 months |
| Avg of All % Drawdowns | (2.16%) | (3.22%) |
| Std Dev of All % Drawdowns | 4.24% | 9.01% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (11.23%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (11.23%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (7.27%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 4.32% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 77.8% | 0.0% |
| Lose Rate % | 22.2% | 0.0% |
| Winning Trades | 14 | 0 |
| Losing Trades | 4 | 0 |
| Total Trades | 18 | 0 |
| Max Consecutive Wins | 6 | 0 |
| Max Consecutive Losses | 2 | 0 |
| Avg Trade Duration | 181.2 days | 0.0 days |
| Avg Winning Trade Duration | 181.2 days | 0.0 days |
| Avg Losing Trade Duration | 181.0 days | 0.0 days |
| Largest Winning Trade | $34,455.58 | $0.00 |
| Largest Losing Trade | ($16,392.60) | $0.00 |
| Largest Win as % of Net Profit | 17.29% | — |
| Avg Win | $16,975.06 | $0.00 |
| Avg Loss | ($9,592.63) | $0.00 |
| Avg Win / Loss Ratio | 1.77 | — |
| Avg Trade | $11,071.13 | $0.00 |
| Avg Win % | 9.53% | 0.00% |
| Avg Loss % | (5.63%) | 0.00% |
| Avg Trade % | 6.16% | 0.00% |
| Avg Risk % | (98.62%) | 0.00% |
| Avg Trades Per Year | 0.98 | 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 % | 77.5% | 57.2% |
| Losing Months % | 22.5% | 42.8% |
| Winning Months | 172 | 127 |
| Losing Months | 50 | 95 |
| Total Months | 222 | 222 |
| Max Consecutive Winning Months | 14 | 13 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 89.5% | 57.9% |
| Losing Years % | 10.5% | 42.1% |
| Winning Years | 17 | 11 |
| Losing Years | 2 | 8 |
| Total Years | 19 | 19 |
| Max Consecutive Winning Years | 10 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.4% | 58.6% |
| Rolling 6-Month Win Rate | 71.0% | 62.7% |
| Rolling 12-Month Win Rate | 78.2% | 62.6% |
| Rolling 3-Year Win Rate | 94.1% | 64.7% |
| Rolling 5-Year Win Rate | 100.0% | 80.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 220 | 220 |
| Rolling 6-Month Periods | 217 | 217 |
| Rolling 12-Month Periods | 211 | 211 |
| Rolling 3-Year Periods | 17 | 17 |
| Rolling 5-Year Periods | 15 | 15 |
| Rolling 10-Year Periods | 10 | 10 |
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