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 | $886,360.37 |
CAGR % | 6.67% | 9.37% |
Max % Drawdown | (33.47%) | (21.03%) |
Standard Deviation | 3.18% | 3.58% |
Annualized Sharpe | 0.37 | 0.55 |
MAR Ratio | 0.20 | 0.45 |
Win Rate % | 75.0% | 55.6% |
Avg Win / Loss Ratio | 1.14 | 3.66 |
Expectancy | $0.61 | $1.59 |
Avg Win % | 11.59% | 29.42% |
Avg Loss % | (8.58%) | (3.92%) |
Longest Drawdown Duration | 41.8 months | 35.9 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 | $886,360.37 |
Open Equity | $0.00 | $0.00 |
Gross Profit | $487,722.84 | $933,870.76 |
Gross Loss | ($142,169.87) | ($203,958.92) |
Net Profit | $345,552.96 | $729,911.84 |
Net Long Profit | $345,552.96 | $729,911.84 |
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 | $56,448.53 |
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 | 1,893.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.20 | 0.45 |
Calmar Ratio | 0.26 | 0.45 |
Modified Sharpe Ratio | 0.64 | 0.79 |
Robust Sharpe Ratio | 0.59 | 0.77 |
R-Squared | 0.9605 | 0.9192 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.67% | 9.37% |
RAR | 6.51% | 9.60% |
Profit Factor | 3.43 | 4.58 |
Percent Profit Factor | 4.05 | 9.38 |
Expectancy | $0.61 | $1.59 |
Percentage Expectancy | 0.07 | 0.15 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (33.47%) | (21.03%) |
Longest Drawdown Duration | 41.8 months | 35.9 months |
Max Monthly % Drawdown | (26.06%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (23.64%) | (16.69%) |
Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 26.7 months |
Avg of All % Drawdowns | (2.28%) | (6.65%) |
Std Dev of All % Drawdowns | 4.78% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (15.43%) | (10.50%) |
Closed-Equity Max Monthly % Drawdown | (15.43%) | (10.42%) |
Closed-Equity Avg of All % Drawdown | (10.15%) | (6.50%) |
Closed-Equity Std Dev of All % Drawdown | 5.03% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 75.0% | 55.6% |
Lose Rate % | 25.0% | 44.4% |
Winning Trades | 18 | 10 |
Losing Trades | 6 | 8 |
Total Trades | 24 | 18 |
Max Consecutive Wins | 6 | 3 |
Max Consecutive Losses | 2 | 4 |
Avg Trade Duration | 181.3 days | 353.1 days |
Avg Winning Trade Duration | 181.3 days | 565.9 days |
Avg Losing Trade Duration | 181.3 days | 87.1 days |
Largest Winning Trade | $81,648.82 | $216,040.20 |
Largest Losing Trade | ($53,296.88) | ($55,980.54) |
Largest Win as % of Net Profit | 23.63% | 29.60% |
Avg Win | $27,095.71 | $93,387.08 |
Avg Loss | ($23,694.98) | ($25,494.86) |
Avg Win / Loss Ratio | 1.14 | 3.66 |
Avg Trade | $14,398.04 | $40,550.66 |
Avg Win % | 11.59% | 29.42% |
Avg Loss % | (8.58%) | (3.92%) |
Avg Trade % | 6.55% | 14.60% |
Avg Risk % | (98.67%) | (99.52%) |
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% | 74.4% |
Losing Months % | 22.2% | 25.6% |
Winning Months | 228 | 218 |
Losing Months | 65 | 75 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 14 | 18 |
Max Consecutive Losing Months | 4 | 3 |
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 | 7 |
Max Consecutive Losing Years | 1 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 76.3% | 70.1% |
Rolling 6-Month Win Rate | 70.1% | 70.8% |
Rolling 12-Month Win Rate | 75.2% | 73.8% |
Rolling 3-Year Win Rate | 95.7% | 91.3% |
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 |