| 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 |
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