Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-01 | 2024-11-01 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $492,605.97 | $275,968.55 |
CAGR % | 6.63% | 4.17% |
Max % Drawdown | (33.47%) | (60.11%) |
Standard Deviation | 3.15% | 4.79% |
Annualized Sharpe | 0.37 | 0.15 |
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 | $492,605.97 | $275,968.55 |
Open Equity | $0.00 | $175,968.55 |
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 | $47,053.00 | $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 | 0.07 |
Modified Sharpe Ratio | 0.64 | 0.33 |
Robust Sharpe Ratio | 0.60 | 0.33 |
R-Squared | 0.9626 | 0.8403 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.63% | 4.17% |
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 % | 78.6% | 57.9% |
Losing Months % | 21.4% | 42.1% |
Winning Months | 235 | 173 |
Losing Months | 64 | 126 |
Total Months | 299 | 299 |
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% | 58.9% |
Rolling 6-Month Win Rate | 70.4% | 62.9% |
Rolling 12-Month Win Rate | 75.7% | 62.2% |
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 | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |