| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2018-04-20 | 2018-04-20 |
| Time Elapsed | 18 years, 3 months | 18 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $319,974.55 | $197,463.64 |
| CAGR % | 6.56% | 3.79% |
| Max % Drawdown | (32.38%) | (60.11%) |
| Standard Deviation | 2.96% | 4.79% |
| Annualized Sharpe | 0.38 | 0.13 |
| MAR Ratio | 0.20 | 0.06 |
| Win Rate % | 76.5% | 0.0% |
| Avg Win / Loss Ratio | 1.84 | — |
| Expectancy | $1.17 | — |
| Avg Win % | 10.06% | 0.00% |
| Avg Loss % | (5.63%) | 0.00% |
| Longest Drawdown Duration | 41.8 months | 75.7 months |
| Avg Trades Per Year | 0.93 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $319,974.55 | $197,463.64 |
| Open Equity | $10,453.80 | $97,463.64 |
| Gross Profit | $229,757.99 | $0.00 |
| Gross Loss | ($38,370.51) | $0.00 |
| Net Profit | $191,387.48 | $0.00 |
| Net Long Profit | $191,387.48 | $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 | $18,133.27 | $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 | 629.0 | 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 | 0.67 | 0.31 |
| Robust Sharpe Ratio | 0.70 | 0.32 |
| R-Squared | 0.9567 | 0.6894 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.56% | 3.79% |
| RAR | 7.18% | 5.35% |
| Profit Factor | 5.99 | 0.00 |
| Percent Profit Factor | 5.81 | 0.00 |
| Expectancy | $1.17 | — |
| 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 % | 76.5% | 0.0% |
| Lose Rate % | 23.5% | 0.0% |
| Winning Trades | 13 | 0 |
| Losing Trades | 4 | 0 |
| Total Trades | 17 | 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 | 18.00% | — |
| Avg Win | $17,673.69 | $0.00 |
| Avg Loss | ($9,592.63) | $0.00 |
| Avg Win / Loss Ratio | 1.84 | — |
| Avg Trade | $11,258.09 | $0.00 |
| Avg Win % | 10.06% | 0.00% |
| Avg Loss % | (5.63%) | 0.00% |
| Avg Trade % | 6.37% | 0.00% |
| Avg Risk % | (98.68%) | 0.00% |
| Avg Trades Per Year | 0.93 | 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 % | 77.7% | 57.3% |
| Losing Months % | 22.3% | 42.7% |
| Winning Months | 171 | 126 |
| Losing Months | 49 | 94 |
| Total Months | 220 | 220 |
| Max Consecutive Winning Months | 14 | 13 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 89.5% | 63.2% |
| Losing Years % | 10.5% | 36.8% |
| Winning Years | 17 | 12 |
| Losing Years | 2 | 7 |
| 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 | 76.1% | 58.7% |
| Rolling 6-Month Win Rate | 70.7% | 62.8% |
| Rolling 12-Month Win Rate | 78.0% | 62.2% |
| 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 | 218 | 218 |
| Rolling 6-Month Periods | 215 | 215 |
| Rolling 12-Month Periods | 209 | 209 |
| Rolling 3-Year Periods | 17 | 17 |
| Rolling 5-Year Periods | 15 | 15 |
| Rolling 10-Year Periods | 10 | 10 |
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