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 | $472,778.68 | $259,281.33 |
CAGR % | 6.60% | 4.00% |
Max % Drawdown | (33.47%) | (60.11%) |
Standard Deviation | 3.19% | 4.83% |
Annualized Sharpe | 0.37 | 0.14 |
MAR Ratio | 0.20 | 0.07 |
Win Rate % | 73.9% | 0.0% |
Avg Win / Loss Ratio | 1.04 | — |
Expectancy | $0.51 | — |
Avg Win % | 11.28% | 0.00% |
Avg Loss % | (8.58%) | 0.00% |
Longest Drawdown Duration | 41.8 months | 75.7 months |
Avg Trades Per Year | 0.95 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $472,778.68 | $259,281.33 |
Open Equity | $60,708.30 | $159,281.33 |
Gross Profit | $418,210.11 | $0.00 |
Gross Loss | ($142,169.87) | $0.00 |
Net Profit | $276,040.24 | $0.00 |
Net Long Profit | $276,040.24 | $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 | $36,030.14 | $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 | 862.0 | 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 | 0.07 |
Calmar Ratio | 0.25 | 0.07 |
Modified Sharpe Ratio | 0.63 | 0.32 |
Robust Sharpe Ratio | 0.59 | 0.32 |
R-Squared | 0.9603 | 0.8297 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.60% | 4.00% |
RAR | 6.51% | 5.37% |
Profit Factor | 2.94 | 0.00 |
Percent Profit Factor | 3.73 | 0.00 |
Expectancy | $0.51 | — |
Percentage Expectancy | 0.06 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.47%) | (60.11%) |
Longest Drawdown Duration | 41.8 months | 75.7 months |
Max Monthly % Drawdown | (26.06%) | (56.36%) |
Avg of Top-5 Max % Drawdowns | (23.64%) | (39.21%) |
Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 42.8 months |
Avg of All % Drawdowns | (2.28%) | (3.53%) |
Std Dev of All % Drawdowns | 4.78% | 8.92% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.43%) | 0.00% |
Closed-Equity Max Monthly % Drawdown | (15.43%) | 0.00% |
Closed-Equity Avg of All % Drawdown | (10.15%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 5.03% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 73.9% | 0.0% |
Lose Rate % | 26.1% | 0.0% |
Winning Trades | 17 | 0 |
Losing Trades | 6 | 0 |
Total Trades | 23 | 0 |
Max Consecutive Wins | 6 | 0 |
Max Consecutive Losses | 2 | 0 |
Avg Trade Duration | 181.3 days | 0.0 days |
Avg Winning Trade Duration | 181.2 days | 0.0 days |
Avg Losing Trade Duration | 181.3 days | 0.0 days |
Largest Winning Trade | $81,648.82 | $0.00 |
Largest Losing Trade | ($53,296.88) | $0.00 |
Largest Win as % of Net Profit | 29.58% | — |
Avg Win | $24,600.59 | $0.00 |
Avg Loss | ($23,694.98) | $0.00 |
Avg Win / Loss Ratio | 1.04 | — |
Avg Trade | $12,001.75 | $0.00 |
Avg Win % | 11.28% | 0.00% |
Avg Loss % | (8.58%) | 0.00% |
Avg Trade % | 6.10% | 0.00% |
Avg Risk % | (98.70%) | 0.00% |
Avg Trades Per Year | 0.95 | 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 % | 78.1% | 57.5% |
Losing Months % | 21.9% | 42.5% |
Winning Months | 228 | 168 |
Losing Months | 64 | 124 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 14 | 13 |
Max Consecutive Losing Months | 4 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 64.0% |
Losing Years % | 20.0% | 36.0% |
Winning Years | 20 | 16 |
Losing Years | 5 | 9 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 5 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 76.2% | 59.0% |
Rolling 6-Month Win Rate | 70.0% | 62.0% |
Rolling 12-Month Win Rate | 75.1% | 61.2% |
Rolling 3-Year Win Rate | 95.7% | 73.9% |
Rolling 5-Year Win Rate | 100.0% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
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 |