Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-10-18 | 2024-10-18 |
Time Elapsed | 24 years, 9 months | 24 years, 9 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $77,117.50 | $284,507.10 |
CAGR % | (1.04%) | 4.31% |
Max % Drawdown | (48.93%) | (60.11%) |
Standard Deviation | 3.35% | 4.79% |
Annualized Sharpe | (0.29) | 0.16 |
MAR Ratio | (0.02) | 0.07 |
Win Rate % | 58.3% | 0.0% |
Avg Win / Loss Ratio | 0.55 | — |
Expectancy | ($0.10) | — |
Avg Win % | 9.29% | 0.00% |
Avg Loss % | (13.62%) | 0.00% |
Longest Drawdown Duration | 196.9 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 | $77,117.50 | $284,507.10 |
Open Equity | $5,077.92 | $184,507.10 |
Gross Profit | $92,861.85 | $0.00 |
Gross Loss | ($120,822.26) | $0.00 |
Net Profit | ($27,960.42) | $0.00 |
Net Long Profit | ($27,960.42) | $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 | 360.0 | 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 | (0.03) | 0.08 |
Modified Sharpe Ratio | (0.03) | 0.34 |
Robust Sharpe Ratio | (0.04) | 0.33 |
R-Squared | 0.0766 | 0.8396 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | (1.04%) | 4.31% |
RAR | (0.46%) | 5.42% |
Profit Factor | 0.77 | 0.00 |
Percent Profit Factor | 0.96 | 0.00 |
Expectancy | ($0.10) | — |
Percentage Expectancy | (0.00) | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (48.93%) | (60.11%) |
Longest Drawdown Duration | 196.9 months | 75.7 months |
Max Monthly % Drawdown | (41.16%) | (56.36%) |
Avg of Top-5 Max % Drawdowns | (25.62%) | (39.21%) |
Avg Duration of Top-5 Longest Drawdowns | 73.2 months | 42.8 months |
Avg of All % Drawdowns | (17.84%) | (3.56%) |
Std Dev of All % Drawdowns | 23.47% | 8.70% |
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 % | 58.3% | 0.0% |
Lose Rate % | 41.7% | 0.0% |
Winning Trades | 14 | 0 |
Losing Trades | 10 | 0 |
Total Trades | 24 | 0 |
Max Consecutive Wins | 5 | 0 |
Max Consecutive Losses | 3 | 0 |
Avg Trade Duration | 183.0 days | 0.0 days |
Avg Winning Trade Duration | 183.7 days | 0.0 days |
Avg Losing Trade Duration | 184.3 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 | (67.69%) | — |
Avg Win | $6,632.99 | $0.00 |
Avg Loss | ($12,082.23) | $0.00 |
Avg Win / Loss Ratio | 0.55 | — |
Avg Trade | ($1,165.02) | $0.00 |
Avg Win % | 9.29% | 0.00% |
Avg Loss % | (13.62%) | 0.00% |
Avg Trade % | (0.25%) | 0.00% |
Avg Risk % | (96.40%) | 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 % | 73.5% | 57.7% |
Losing Months % | 26.5% | 42.3% |
Winning Months | 219 | 172 |
Losing Months | 79 | 126 |
Total Months | 298 | 298 |
Max Consecutive Winning Months | 14 | 13 |
Max Consecutive Losing Months | 5 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 64.0% |
Losing Years % | 40.0% | 36.0% |
Winning Years | 15 | 16 |
Losing Years | 10 | 9 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 5 | 5 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 65.9% | 59.5% |
Rolling 6-Month Win Rate | 53.6% | 62.8% |
Rolling 12-Month Win Rate | 56.8% | 62.0% |
Rolling 3-Year Win Rate | 52.2% | 73.9% |
Rolling 5-Year Win Rate | 38.1% | 85.7% |
Rolling 10-Year Win Rate | 37.5% | 100.0% |
Rolling 3-Month Periods | 296 | 296 |
Rolling 6-Month Periods | 293 | 293 |
Rolling 12-Month Periods | 287 | 287 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |