| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2021-10-15 | 2021-10-15 |
| Time Elapsed | 21 years, 9 months | 21 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $83,981.63 | $249,267.86 |
| CAGR % | (0.80%) | 4.28% |
| Max % Drawdown | (48.93%) | (60.11%) |
| Standard Deviation | 3.38% | 4.78% |
| Annualized Sharpe | (0.26) | 0.16 |
| MAR Ratio | (0.02) | 0.07 |
| Win Rate % | 61.9% | 0.0% |
| Avg Win / Loss Ratio | 0.51 | — |
| Expectancy | ($0.07) | — |
| Avg Win % | 9.63% | 0.00% |
| Avg Loss % | (14.99%) | 0.00% |
| Longest Drawdown Duration | 160.8 months | 75.7 months |
| Avg Trades Per Year | 0.96 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $83,981.63 | $249,267.86 |
| Open Equity | $2,560.98 | $149,267.86 |
| Gross Profit | $88,919.42 | $0.00 |
| Gross Loss | ($107,498.78) | $0.00 |
| Net Profit | ($18,579.35) | $0.00 |
| Net Long Profit | ($18,579.35) | $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 | $0.00 | $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 | 336.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.02) | 0.07 |
| Calmar Ratio | (0.02) | 0.08 |
| Modified Sharpe Ratio | (0.01) | 0.34 |
| Robust Sharpe Ratio | (0.05) | 0.33 |
| R-Squared | 0.1034 | 0.7840 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.80%) | 4.28% |
| RAR | (0.63%) | 5.40% |
| Profit Factor | 0.83 | 0.00 |
| Percent Profit Factor | 1.04 | 0.00 |
| Expectancy | ($0.07) | — |
| Percentage Expectancy | 0.00 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (60.11%) |
| Longest Drawdown Duration | 160.8 months | 75.7 months |
| Max Monthly % Drawdown | (41.16%) | (56.36%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (37.52%) |
| Avg Duration of Top-5 Longest Drawdowns | 64.2 months | 39.4 months |
| Avg of All % Drawdowns | (17.84%) | (3.42%) |
| Std Dev of All % Drawdowns | 23.47% | 8.85% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (38.72%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.9% | 0.0% |
| Lose Rate % | 38.1% | 0.0% |
| Winning Trades | 13 | 0 |
| Losing Trades | 8 | 0 |
| Total Trades | 21 | 0 |
| Max Consecutive Wins | 5 | 0 |
| Max Consecutive Losses | 3 | 0 |
| Avg Trade Duration | 184.1 days | 0.0 days |
| Avg Winning Trade Duration | 183.8 days | 0.0 days |
| Avg Losing Trade Duration | 184.5 days | 0.0 days |
| Largest Winning Trade | $18,925.42 | $0.00 |
| Largest Losing Trade | ($39,151.52) | $0.00 |
| Largest Win as % of Net Profit | (101.86%) | — |
| Avg Win | $6,839.96 | $0.00 |
| Avg Loss | ($13,437.35) | $0.00 |
| Avg Win / Loss Ratio | 0.51 | — |
| Avg Trade | ($884.73) | $0.00 |
| Avg Win % | 9.63% | 0.00% |
| Avg Loss % | (14.99%) | 0.00% |
| Avg Trade % | 0.25% | 0.00% |
| Avg Risk % | (96.52%) | 0.00% |
| Avg Trades Per Year | 0.96 | 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 % | 73.3% | 57.6% |
| Losing Months % | 26.7% | 42.4% |
| Winning Months | 192 | 151 |
| Losing Months | 70 | 111 |
| Total Months | 262 | 262 |
| Max Consecutive Winning Months | 14 | 13 |
| Max Consecutive Losing Months | 5 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 63.6% | 63.6% |
| Losing Years % | 36.4% | 36.4% |
| Winning Years | 14 | 14 |
| Losing Years | 8 | 8 |
| Total Years | 22 | 22 |
| Max Consecutive Winning Years | 5 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 65.4% | 59.2% |
| Rolling 6-Month Win Rate | 54.1% | 63.0% |
| Rolling 12-Month Win Rate | 60.2% | 61.4% |
| Rolling 3-Year Win Rate | 55.0% | 70.0% |
| Rolling 5-Year Win Rate | 33.3% | 83.3% |
| Rolling 10-Year Win Rate | 30.8% | 100.0% |
| Rolling 3-Month Periods | 260 | 260 |
| Rolling 6-Month Periods | 257 | 257 |
| Rolling 12-Month Periods | 251 | 251 |
| Rolling 3-Year Periods | 20 | 20 |
| Rolling 5-Year Periods | 18 | 18 |
| Rolling 10-Year Periods | 13 | 13 |
© Copyright 2013 - 2021
Extrategic Investing, LLC.
All rights reserved.
