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 | $510,384.80 |
CAGR % | 6.13% | 8.01% |
Max % Drawdown | (33.47%) | (21.49%) |
Standard Deviation | 3.16% | 2.83% |
Annualized Sharpe | 0.33 | 0.54 |
MAR Ratio | 0.18 | 0.37 |
Win Rate % | 75.0% | 61.5% |
Avg Win / Loss Ratio | 0.95 | 2.61 |
Expectancy | $0.46 | $1.22 |
Avg Win % | 9.37% | 23.97% |
Avg Loss % | (7.59%) | (5.82%) |
Longest Drawdown Duration | 41.8 months | 32.9 months |
Avg Trades Per Year | 0.95 | 0.61 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $351,886.77 | $510,384.80 |
Open Equity | $59,787.23 | $107,264.64 |
Gross Profit | $260,544.85 | $384,582.33 |
Gross Loss | ($91,667.39) | ($92,047.61) |
Net Profit | $168,877.45 | $292,534.72 |
Net Long Profit | $168,877.45 | $292,534.72 |
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 | $10,585.44 |
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 | 1,089.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.37 |
Calmar Ratio | 0.24 | 0.44 |
Modified Sharpe Ratio | 0.60 | 0.84 |
Robust Sharpe Ratio | 0.62 | 0.86 |
R-Squared | 0.9559 | 0.9761 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.13% | 8.01% |
RAR | 6.78% | 8.41% |
Profit Factor | 2.84 | 4.18 |
Percent Profit Factor | 3.70 | 6.59 |
Expectancy | $0.46 | $1.22 |
Percentage Expectancy | 0.05 | 0.13 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.47%) | (21.49%) |
Longest Drawdown Duration | 41.8 months | 32.9 months |
Max Monthly % Drawdown | (26.06%) | (18.20%) |
Avg of Top-5 Max % Drawdowns | (23.60%) | (15.64%) |
Avg Duration of Top-5 Longest Drawdowns | 22.7 months | 25.5 months |
Avg of All % Drawdowns | (2.36%) | (1.64%) |
Std Dev of All % Drawdowns | 5.00% | 2.84% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.43%) | (11.84%) |
Closed-Equity Max Monthly % Drawdown | (15.43%) | (11.74%) |
Closed-Equity Avg of All % Drawdown | (11.52%) | (8.07%) |
Closed-Equity Std Dev of All % Drawdown | 4.32% | 0.99% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 61.5% |
Lose Rate % | 25.0% | 38.5% |
Winning Trades | 15 | 8 |
Losing Trades | 5 | 5 |
Total Trades | 20 | 13 |
Max Consecutive Wins | 6 | 3 |
Max Consecutive Losses | 2 | 2 |
Avg Trade Duration | 181.2 days | 412.5 days |
Avg Winning Trade Duration | 181.2 days | 636.0 days |
Avg Losing Trade Duration | 181.2 days | 55.0 days |
Largest Winning Trade | $34,455.58 | $131,720.32 |
Largest Losing Trade | ($53,296.88) | ($49,759.11) |
Largest Win as % of Net Profit | 20.40% | 45.03% |
Avg Win | $17,369.66 | $48,072.79 |
Avg Loss | ($18,333.48) | ($18,409.52) |
Avg Win / Loss Ratio | 0.95 | 2.61 |
Avg Trade | $8,443.87 | $22,502.67 |
Avg Win % | 9.37% | 23.97% |
Avg Loss % | (7.59%) | (5.82%) |
Avg Trade % | 5.13% | 12.51% |
Avg Risk % | (98.60%) | (99.43%) |
Avg Trades Per Year | 0.95 | 0.61 |
Avg Trades Per Month | 0.08 | 0.05 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 77.6% | 76.4% |
Losing Months % | 22.4% | 23.6% |
Winning Months | 197 | 194 |
Losing Months | 57 | 60 |
Total Months | 254 | 254 |
Max Consecutive Winning Months | 14 | 21 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 81.8% | 77.3% |
Losing Years % | 18.2% | 22.7% |
Winning Years | 18 | 17 |
Losing Years | 4 | 5 |
Total Years | 22 | 22 |
Max Consecutive Winning Years | 9 | 7 |
Max Consecutive Losing Years | 1 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 76.2% | 75.8% |
Rolling 6-Month Win Rate | 70.3% | 77.5% |
Rolling 12-Month Win Rate | 75.3% | 75.7% |
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 |