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Best Six Months World Ex-US Equities — 2000 to 2024

Last Update: Oct. 12, 2024 9:54 p.m. (2 days, 13 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2024-10-11 2024-10-11
Time Elapsed 24 years, 9 months 24 years, 9 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $491,526.99 $285,575.73
CAGR % 6.64% 4.33%
Max % Drawdown (33.47%) (60.11%)
Standard Deviation 3.15% 4.78%
Annualized Sharpe 0.37 0.16
MAR Ratio 0.20 0.07
Win Rate % 75.0% 0.0%
Avg Win / Loss Ratio 1.14
Expectancy $0.61
Avg Win % 11.59% 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 $491,526.99 $285,575.73
Open Equity $0.00 $185,575.73
Gross Profit $487,722.84 $0.00
Gross Loss ($142,169.87) $0.00
Net Profit $345,552.96 $0.00
Net Long Profit $345,552.96 $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 $45,974.02 $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 905.0 0.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.20 0.07
Calmar Ratio 0.25 0.08
Modified Sharpe Ratio 0.64 0.34
Robust Sharpe Ratio 0.60 0.33
R-Squared 0.9624 0.8392
Profit Expectation
Model Benchmark
CAGR % 6.64% 4.33%
RAR 6.55% 5.42%
Profit Factor 3.43 0.00
Percent Profit Factor 4.05 0.00
Expectancy $0.61
Percentage Expectancy 0.07 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 24.3 months 42.8 months
Avg of All % Drawdowns (2.28%) (3.56%)
Std Dev of All % Drawdowns 4.78% 8.70%
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 (10.15%) 0.00%
Closed-Equity Std Dev of All % Drawdown 5.03% 0.00%
Trades
Model Benchmark
Win Rate % 75.0% 0.0%
Lose Rate % 25.0% 0.0%
Winning Trades 18 0
Losing Trades 6 0
Total Trades 24 0
Max Consecutive Wins 6 0
Max Consecutive Losses 2 0
Avg Trade Duration 181.3 days 0.0 days
Avg Winning Trade Duration 181.3 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 23.63%
Avg Win $27,095.71 $0.00
Avg Loss ($23,694.98) $0.00
Avg Win / Loss Ratio 1.14
Avg Trade $14,398.04 $0.00
Avg Win % 11.59% 0.00%
Avg Loss % (8.58%) 0.00%
Avg Trade % 6.55% 0.00%
Avg Risk % (98.67%) 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 % 78.5% 57.7%
Losing Months % 21.5% 42.3%
Winning Months 234 172
Losing Months 64 126
Total Months 298 298
Max Consecutive Winning Months 14 13
Max Consecutive Losing Months 4 6
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 80.0% 64.0%
Losing Years % 20.0% 36.0%
Winning Years 20 16
Losing Years 5 9
Total Years 25 25
Max Consecutive Winning Years 9 5
Max Consecutive Losing Years 1 3
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 76.4% 59.5%
Rolling 6-Month Win Rate 70.3% 62.8%
Rolling 12-Month Win Rate 75.6% 62.0%
Rolling 3-Year Win Rate 95.7% 73.9%
Rolling 5-Year Win Rate 100.0% 85.7%
Rolling 10-Year Win Rate 100.0% 100.0%
Rolling 3-Month Periods 296 296
Rolling 6-Month Periods 293 293
Rolling 12-Month Periods 287 287
Rolling 3-Year Periods 23 23
Rolling 5-Year Periods 21 21
Rolling 10-Year Periods 16 16
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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