Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2022-08-12 | 2022-08-12 |
Time Elapsed | 22 years, 7 months | 22 years, 7 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $324,261.84 | $216,199.41 |
CAGR % | 5.34% | 3.47% |
Max % Drawdown | (33.47%) | (60.11%) |
Standard Deviation | 3.14% | 4.78% |
Annualized Sharpe | 0.26 | 0.11 |
MAR Ratio | 0.16 | 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 | 0.97 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $324,261.84 | $216,199.41 |
Open Equity | $0.00 | $116,199.41 |
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 | $24,238.04 | $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 | 0.16 | 0.06 |
Calmar Ratio | 0.20 | 0.06 |
Modified Sharpe Ratio | 0.53 | 0.29 |
Robust Sharpe Ratio | 0.61 | 0.33 |
R-Squared | 0.9567 | 0.8021 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.34% | 3.47% |
RAR | 6.60% | 5.42% |
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%) | (38.15%) |
Avg Duration of Top-5 Longest Drawdowns | 23.3 months | 39.5 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 | 0.97 | 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 % | 77.2% | 57.4% |
Losing Months % | 22.8% | 42.6% |
Winning Months | 210 | 156 |
Losing Months | 62 | 116 |
Total Months | 272 | 272 |
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 | 74.4% | 57.4% |
Rolling 6-Month Win Rate | 68.5% | 61.0% |
Rolling 12-Month Win Rate | 74.3% | 60.9% |
Rolling 3-Year Win Rate | 90.5% | 71.4% |
Rolling 5-Year Win Rate | 100.0% | 84.2% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 270 | 270 |
Rolling 6-Month Periods | 267 | 267 |
Rolling 12-Month Periods | 261 | 261 |
Rolling 3-Year Periods | 21 | 21 |
Rolling 5-Year Periods | 19 | 19 |
Rolling 10-Year Periods | 14 | 14 |