| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2021-02-26 | 2021-02-26 |
| Time Elapsed | 21 years, 2 months | 21 years, 2 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $351,886.77 | $402,684.22 |
| CAGR % | 6.13% | 6.81% |
| Max % Drawdown | (33.47%) | (10.05%) |
| Standard Deviation | 3.16% | 1.89% |
| Annualized Sharpe | 0.33 | 0.59 |
| MAR Ratio | 0.18 | 0.68 |
| Win Rate % | 75.0% | 53.2% |
| Avg Win / Loss Ratio | 0.95 | 2.85 |
| Expectancy | $0.46 | $1.05 |
| Avg Win % | 9.37% | 4.26% |
| Avg Loss % | (7.59%) | (1.05%) |
| Longest Drawdown Duration | 41.8 months | 28.1 months |
| Avg Trades Per Year | 0.95 | 3.64 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $351,886.77 | $402,684.22 |
| Open Equity | $59,787.23 | $52,277.15 |
| Gross Profit | $260,544.85 | $344,151.34 |
| Gross Loss | ($91,667.39) | ($106,164.93) |
| Net Profit | $168,877.45 | $237,986.41 |
| Net Long Profit | $168,877.45 | $237,986.41 |
| 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 | $23,222.09 | $12,420.66 |
| 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 | 750.0 | 2,971.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.18 | 0.68 |
| Calmar Ratio | 0.24 | 0.75 |
| Modified Sharpe Ratio | 0.60 | 1.04 |
| Robust Sharpe Ratio | 0.62 | 1.02 |
| R-Squared | 0.9559 | 0.9295 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.13% | 6.81% |
| RAR | 6.78% | 6.65% |
| Profit Factor | 2.84 | 3.24 |
| Percent Profit Factor | 3.70 | 4.62 |
| Expectancy | $0.46 | $1.05 |
| Percentage Expectancy | 0.05 | 0.44 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (10.05%) |
| Longest Drawdown Duration | 41.8 months | 28.1 months |
| Max Monthly % Drawdown | (26.06%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (23.60%) | (9.12%) |
| Avg Duration of Top-5 Longest Drawdowns | 22.7 months | 20.1 months |
| Avg of All % Drawdowns | (2.36%) | (1.04%) |
| Std Dev of All % Drawdowns | 5.00% | 1.78% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (11.52%) | (3.09%) |
| Closed-Equity Std Dev of All % Drawdown | 4.32% | 2.44% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 75.0% | 53.2% |
| Lose Rate % | 25.0% | 46.8% |
| Winning Trades | 15 | 41 |
| Losing Trades | 5 | 36 |
| Total Trades | 20 | 77 |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 181.2 days | 336.7 days |
| Avg Winning Trade Duration | 181.2 days | 557.4 days |
| Avg Losing Trade Duration | 181.2 days | 85.5 days |
| Largest Winning Trade | $34,455.58 | $35,062.60 |
| Largest Losing Trade | ($53,296.88) | ($8,254.00) |
| Largest Win as % of Net Profit | 20.40% | 14.73% |
| Avg Win | $17,369.66 | $8,393.94 |
| Avg Loss | ($18,333.48) | ($2,949.03) |
| Avg Win / Loss Ratio | 0.95 | 2.85 |
| Avg Trade | $8,443.87 | $3,090.73 |
| Avg Win % | 9.37% | 4.26% |
| Avg Loss % | (7.59%) | (1.05%) |
| Avg Trade % | 5.13% | 1.78% |
| Avg Risk % | (98.60%) | (4.07%) |
| Avg Trades Per Year | 0.95 | 3.64 |
| Avg Trades Per Month | 0.08 | 0.30 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 77.6% | 69.7% |
| Losing Months % | 22.4% | 30.3% |
| Winning Months | 197 | 177 |
| Losing Months | 57 | 77 |
| Total Months | 254 | 254 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.8% | 81.8% |
| Losing Years % | 18.2% | 18.2% |
| Winning Years | 18 | 18 |
| Losing Years | 4 | 4 |
| Total Years | 22 | 22 |
| Max Consecutive Winning Years | 9 | 8 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.2% | 69.4% |
| Rolling 6-Month Win Rate | 70.3% | 74.3% |
| Rolling 12-Month Win Rate | 75.3% | 81.1% |
| Rolling 3-Year Win Rate | 95.0% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 252 | 252 |
| Rolling 6-Month Periods | 249 | 249 |
| Rolling 12-Month Periods | 243 | 243 |
| Rolling 3-Year Periods | 20 | 20 |
| Rolling 5-Year Periods | 18 | 18 |
| Rolling 10-Year Periods | 13 | 13 |
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