Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2021-04-09 | 2021-04-09 |
Time Elapsed | 21 years, 3 months | 21 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $369,380.23 | $238,751.51 |
CAGR % | 6.34% | 4.18% |
Max % Drawdown | (33.47%) | (60.11%) |
Standard Deviation | 3.15% | 4.82% |
Annualized Sharpe | 0.35 | 0.15 |
MAR Ratio | 0.19 | 0.07 |
Win Rate % | 75.0% | 0.0% |
Avg Win / Loss Ratio | 0.95 | — |
Expectancy | $0.46 | — |
Avg Win % | 9.37% | 0.00% |
Avg Loss % | (7.59%) | 0.00% |
Longest Drawdown Duration | 41.8 months | 75.7 months |
Avg Trades Per Year | 0.94 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $369,380.23 | $238,751.51 |
Open Equity | $77,280.68 | $138,751.51 |
Gross Profit | $260,544.85 | $0.00 |
Gross Loss | ($91,667.39) | $0.00 |
Net Profit | $168,877.45 | $0.00 |
Net Long Profit | $168,877.45 | $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 | $23,222.09 | $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 | 750.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.19 | 0.07 |
Calmar Ratio | 0.24 | 0.07 |
Modified Sharpe Ratio | 0.62 | 0.33 |
Robust Sharpe Ratio | 0.62 | 0.32 |
R-Squared | 0.9564 | 0.7680 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.34% | 4.18% |
RAR | 6.78% | 5.30% |
Profit Factor | 2.84 | 0.00 |
Percent Profit Factor | 3.70 | 0.00 |
Expectancy | $0.46 | — |
Percentage Expectancy | 0.05 | 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 | (23.60%) | (37.52%) |
Avg Duration of Top-5 Longest Drawdowns | 22.7 months | 39.4 months |
Avg of All % Drawdowns | (2.38%) | (3.59%) |
Std Dev of All % Drawdowns | 4.98% | 9.23% |
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 | (11.52%) | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 4.32% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 0.0% |
Lose Rate % | 25.0% | 0.0% |
Winning Trades | 15 | 0 |
Losing Trades | 5 | 0 |
Total Trades | 20 | 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 | 181.2 days | 0.0 days |
Largest Winning Trade | $34,455.58 | $0.00 |
Largest Losing Trade | ($53,296.88) | $0.00 |
Largest Win as % of Net Profit | 20.40% | — |
Avg Win | $17,369.66 | $0.00 |
Avg Loss | ($18,333.48) | $0.00 |
Avg Win / Loss Ratio | 0.95 | — |
Avg Trade | $8,443.87 | $0.00 |
Avg Win % | 9.37% | 0.00% |
Avg Loss % | (7.59%) | 0.00% |
Avg Trade % | 5.13% | 0.00% |
Avg Risk % | (98.60%) | 0.00% |
Avg Trades Per Year | 0.94 | 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% | 57.4% |
Losing Months % | 22.3% | 42.6% |
Winning Months | 199 | 147 |
Losing Months | 57 | 109 |
Total Months | 256 | 256 |
Max Consecutive Winning Months | 14 | 13 |
Max Consecutive Losing Months | 4 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 81.8% | 63.6% |
Losing Years % | 18.2% | 36.4% |
Winning Years | 18 | 14 |
Losing Years | 4 | 8 |
Total Years | 22 | 22 |
Max Consecutive Winning Years | 9 | 5 |
Max Consecutive Losing Years | 1 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 76.4% | 58.7% |
Rolling 6-Month Win Rate | 70.5% | 62.2% |
Rolling 12-Month Win Rate | 75.5% | 60.4% |
Rolling 3-Year Win Rate | 95.0% | 70.0% |
Rolling 5-Year Win Rate | 100.0% | 83.3% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 254 | 254 |
Rolling 6-Month Periods | 251 | 251 |
Rolling 12-Month Periods | 245 | 245 |
Rolling 3-Year Periods | 20 | 20 |
Rolling 5-Year Periods | 18 | 18 |
Rolling 10-Year Periods | 13 | 13 |