| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2022-12-02 | 2022-12-02 |
| Time Elapsed | 22 years, 11 months | 22 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $367,509.77 | $220,181.66 |
| CAGR % | 5.85% | 3.50% |
| Max % Drawdown | (33.47%) | (60.11%) |
| Standard Deviation | 3.18% | 4.85% |
| Annualized Sharpe | 0.30 | 0.11 |
| MAR Ratio | 0.17 | 0.06 |
| Win Rate % | 72.7% | 0.0% |
| Avg Win / Loss Ratio | 0.90 | — |
| Expectancy | $0.38 | — |
| Avg Win % | 10.53% | 0.00% |
| Avg Loss % | (8.58%) | 0.00% |
| Longest Drawdown Duration | 41.8 months | 75.7 months |
| Avg Trades Per Year | 0.96 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $367,509.77 | $220,181.66 |
| Open Equity | $41,336.84 | $120,181.66 |
| Gross Profit | $342,193.67 | $0.00 |
| Gross Loss | ($142,169.87) | $0.00 |
| Net Profit | $200,023.80 | $0.00 |
| Net Long Profit | $200,023.80 | $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 | $26,149.13 | $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 | 822.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.06 |
| Calmar Ratio | 0.22 | 0.06 |
| Modified Sharpe Ratio | 0.57 | 0.29 |
| Robust Sharpe Ratio | 0.59 | 0.32 |
| R-Squared | 0.9546 | 0.8037 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.85% | 3.50% |
| RAR | 6.53% | 5.37% |
| Profit Factor | 2.41 | 0.00 |
| Percent Profit Factor | 3.27 | 0.00 |
| Expectancy | $0.38 | — |
| 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 | (23.64%) | (39.21%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 40.3 months |
| Avg of All % Drawdowns | (2.36%) | (3.42%) |
| Std Dev of All % Drawdowns | 4.96% | 8.85% |
| 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 | (12.02%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 5.39% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 72.7% | 0.0% |
| Lose Rate % | 27.3% | 0.0% |
| Winning Trades | 16 | 0 |
| Losing Trades | 6 | 0 |
| Total Trades | 22 | 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 | 40.82% | — |
| Avg Win | $21,387.10 | $0.00 |
| Avg Loss | ($23,694.98) | $0.00 |
| Avg Win / Loss Ratio | 0.90 | — |
| Avg Trade | $9,091.99 | $0.00 |
| Avg Win % | 10.53% | 0.00% |
| Avg Loss % | (8.58%) | 0.00% |
| Avg Trade % | 5.32% | 0.00% |
| Avg Risk % | (98.65%) | 0.00% |
| Avg Trades Per Year | 0.96 | 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 % | 77.5% | 57.2% |
| Losing Months % | 22.5% | 42.8% |
| Winning Months | 214 | 158 |
| Losing Months | 62 | 118 |
| Total Months | 276 | 276 |
| Max Consecutive Winning Months | 14 | 13 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 78.3% | 60.9% |
| Losing Years % | 21.7% | 39.1% |
| Winning Years | 18 | 14 |
| Losing Years | 5 | 9 |
| Total Years | 23 | 23 |
| Max Consecutive Winning Years | 9 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.8% | 57.3% |
| Rolling 6-Month Win Rate | 68.3% | 60.5% |
| Rolling 12-Month Win Rate | 73.6% | 60.0% |
| Rolling 3-Year Win Rate | 95.2% | 71.4% |
| Rolling 5-Year Win Rate | 100.0% | 84.2% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 274 | 274 |
| Rolling 6-Month Periods | 271 | 271 |
| Rolling 12-Month Periods | 265 | 265 |
| Rolling 3-Year Periods | 21 | 21 |
| Rolling 5-Year Periods | 19 | 19 |
| Rolling 10-Year Periods | 14 | 14 |
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