Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-10 | 2024-05-10 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $482,220.55 | $492,186.18 |
CAGR % | 6.67% | 6.76% |
Max % Drawdown | (33.47%) | (10.05%) |
Standard Deviation | 3.18% | 1.94% |
Annualized Sharpe | 0.37 | 0.57 |
MAR Ratio | 0.20 | 0.67 |
Win Rate % | 75.0% | 50.5% |
Avg Win / Loss Ratio | 1.14 | 3.16 |
Expectancy | $0.61 | $1.10 |
Avg Win % | 11.59% | 4.42% |
Avg Loss % | (8.58%) | (1.00%) |
Longest Drawdown Duration | 41.8 months | 28.1 months |
Avg Trades Per Year | 0.99 | 3.90 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $482,220.55 | $492,186.18 |
Open Equity | $0.00 | $31,186.53 |
Gross Profit | $487,722.84 | $484,561.20 |
Gross Loss | ($142,169.87) | ($150,311.49) |
Net Profit | $345,552.96 | $334,249.72 |
Net Long Profit | $345,552.96 | $334,249.72 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | 100.0% | 100.0% |
Net Short Profit as % of Net Profit | 0.0% | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $36,667.59 | $26,749.93 |
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 | 3,927.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.67 |
Calmar Ratio | 0.26 | 0.74 |
Modified Sharpe Ratio | 0.64 | 1.01 |
Robust Sharpe Ratio | 0.59 | 0.96 |
R-Squared | 0.9605 | 0.9462 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.67% | 6.76% |
RAR | 6.51% | 6.42% |
Profit Factor | 3.43 | 3.22 |
Percent Profit Factor | 4.05 | 4.52 |
Expectancy | $0.61 | $1.10 |
Percentage Expectancy | 0.07 | 0.42 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.47%) | (10.05%) |
Longest Drawdown Duration | 41.8 months | 28.1 months |
Max Monthly % Drawdown | (26.06%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (23.64%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 23.4 months |
Avg of All % Drawdowns | (2.28%) | (1.03%) |
Std Dev of All % Drawdowns | 4.78% | 1.72% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.43%) | (8.74%) |
Closed-Equity Max Monthly % Drawdown | (15.43%) | (8.74%) |
Closed-Equity Avg of All % Drawdown | (10.15%) | (2.91%) |
Closed-Equity Std Dev of All % Drawdown | 5.03% | 2.60% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 50.5% |
Lose Rate % | 25.0% | 49.5% |
Winning Trades | 18 | 48 |
Losing Trades | 6 | 47 |
Total Trades | 24 | 95 |
Max Consecutive Wins | 6 | 9 |
Max Consecutive Losses | 2 | 8 |
Avg Trade Duration | 181.3 days | 315.8 days |
Avg Winning Trade Duration | 181.3 days | 541.3 days |
Avg Losing Trade Duration | 181.3 days | 85.5 days |
Largest Winning Trade | $81,648.82 | $61,124.70 |
Largest Losing Trade | ($53,296.88) | ($8,254.00) |
Largest Win as % of Net Profit | 23.63% | 18.29% |
Avg Win | $27,095.71 | $10,095.03 |
Avg Loss | ($23,694.98) | ($3,198.12) |
Avg Win / Loss Ratio | 1.14 | 3.16 |
Avg Trade | $14,398.04 | $3,518.42 |
Avg Win % | 11.59% | 4.42% |
Avg Loss % | (8.58%) | (1.00%) |
Avg Trade % | 6.55% | 1.74% |
Avg Risk % | (98.67%) | (4.09%) |
Avg Trades Per Year | 0.99 | 3.90 |
Avg Trades Per Month | 0.08 | 0.33 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 77.8% | 68.3% |
Losing Months % | 22.2% | 31.7% |
Winning Months | 228 | 200 |
Losing Months | 65 | 93 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 14 | 12 |
Max Consecutive Losing Months | 4 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 80.0% |
Losing Years % | 20.0% | 20.0% |
Winning Years | 20 | 20 |
Losing Years | 5 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 8 |
Max Consecutive Losing Years | 1 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 76.3% | 68.7% |
Rolling 6-Month Win Rate | 70.1% | 74.0% |
Rolling 12-Month Win Rate | 75.2% | 80.5% |
Rolling 3-Year Win Rate | 95.7% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |