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 | $372,015.61 |
CAGR % | 6.67% | 5.54% |
Max % Drawdown | (33.47%) | (28.57%) |
Standard Deviation | 3.18% | 3.07% |
Annualized Sharpe | 0.37 | 0.28 |
MAR Ratio | 0.20 | 0.19 |
Win Rate % | 75.0% | 38.9% |
Avg Win / Loss Ratio | 1.14 | 4.44 |
Expectancy | $0.61 | $1.11 |
Avg Win % | 11.59% | 33.57% |
Avg Loss % | (8.58%) | (5.29%) |
Longest Drawdown Duration | 41.8 months | 48.9 months |
Avg Trades Per Year | 0.99 | 0.74 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $482,220.55 | $372,015.61 |
Open Equity | $0.00 | $39,016.96 |
Gross Profit | $487,722.84 | $330,750.35 |
Gross Loss | ($142,169.87) | ($117,116.58) |
Net Profit | $345,552.96 | $213,633.77 |
Net Long Profit | $345,552.96 | $213,633.77 |
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 | $19,364.88 |
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 | 637.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.19 |
Calmar Ratio | 0.26 | 0.21 |
Modified Sharpe Ratio | 0.64 | 0.56 |
Robust Sharpe Ratio | 0.59 | 0.49 |
R-Squared | 0.9605 | 0.8143 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.67% | 5.54% |
RAR | 6.51% | 5.23% |
Profit Factor | 3.43 | 2.82 |
Percent Profit Factor | 4.05 | 4.04 |
Expectancy | $0.61 | $1.11 |
Percentage Expectancy | 0.07 | 0.10 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.47%) | (28.57%) |
Longest Drawdown Duration | 41.8 months | 48.9 months |
Max Monthly % Drawdown | (26.06%) | (26.50%) |
Avg of Top-5 Max % Drawdowns | (23.64%) | (21.46%) |
Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 37.9 months |
Avg of All % Drawdowns | (2.28%) | (2.71%) |
Std Dev of All % Drawdowns | 4.78% | 4.71% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.43%) | (14.59%) |
Closed-Equity Max Monthly % Drawdown | (15.43%) | (14.59%) |
Closed-Equity Avg of All % Drawdown | (10.15%) | (8.06%) |
Closed-Equity Std Dev of All % Drawdown | 5.03% | 5.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 38.9% |
Lose Rate % | 25.0% | 61.1% |
Winning Trades | 18 | 7 |
Losing Trades | 6 | 11 |
Total Trades | 24 | 18 |
Max Consecutive Wins | 6 | 3 |
Max Consecutive Losses | 2 | 3 |
Avg Trade Duration | 181.3 days | 311.1 days |
Avg Winning Trade Duration | 181.3 days | 642.9 days |
Avg Losing Trade Duration | 181.3 days | 99.9 days |
Largest Winning Trade | $81,648.82 | $126,225.36 |
Largest Losing Trade | ($53,296.88) | ($32,828.35) |
Largest Win as % of Net Profit | 23.63% | 59.08% |
Avg Win | $27,095.71 | $47,250.05 |
Avg Loss | ($23,694.98) | ($10,646.96) |
Avg Win / Loss Ratio | 1.14 | 4.44 |
Avg Trade | $14,398.04 | $11,868.54 |
Avg Win % | 11.59% | 33.57% |
Avg Loss % | (8.58%) | (5.29%) |
Avg Trade % | 6.55% | 9.82% |
Avg Risk % | (98.67%) | (98.28%) |
Avg Trades Per Year | 0.99 | 0.74 |
Avg Trades Per Month | 0.08 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 77.8% | 72.4% |
Losing Months % | 22.2% | 27.6% |
Winning Months | 228 | 212 |
Losing Months | 65 | 81 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 14 | 22 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 56.0% |
Losing Years % | 20.0% | 44.0% |
Winning Years | 20 | 14 |
Losing Years | 5 | 11 |
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 | 76.3% | 69.4% |
Rolling 6-Month Win Rate | 70.1% | 64.6% |
Rolling 12-Month Win Rate | 75.2% | 61.3% |
Rolling 3-Year Win Rate | 95.7% | 87.0% |
Rolling 5-Year Win Rate | 100.0% | 81.0% |
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 |