Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $72,039.58 | $352,833.49 |
CAGR % | (1.34%) | 5.33% |
Max % Drawdown | (48.93%) | (28.57%) |
Standard Deviation | 3.37% | 3.09% |
Annualized Sharpe | (0.31) | 0.26 |
MAR Ratio | (0.03) | 0.19 |
Win Rate % | 58.3% | 38.9% |
Avg Win / Loss Ratio | 0.55 | 4.44 |
Expectancy | ($0.10) | $1.11 |
Avg Win % | 9.29% | 33.57% |
Avg Loss % | (13.62%) | (5.29%) |
Longest Drawdown Duration | 190.0 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 | $72,039.58 | $352,833.49 |
Open Equity | $0.00 | $19,854.69 |
Gross Profit | $92,861.85 | $330,750.35 |
Gross Loss | ($120,822.26) | ($117,116.58) |
Net Profit | ($27,960.42) | $213,633.77 |
Net Long Profit | ($27,960.42) | $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 | $0.00 | $19,345.03 |
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 | 637.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | (0.03) | 0.19 |
Calmar Ratio | (0.03) | 0.20 |
Modified Sharpe Ratio | (0.06) | 0.54 |
Robust Sharpe Ratio | (0.04) | 0.49 |
R-Squared | 0.0758 | 0.8135 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | (1.34%) | 5.33% |
RAR | (0.47%) | 5.23% |
Profit Factor | 0.77 | 2.82 |
Percent Profit Factor | 0.96 | 4.04 |
Expectancy | ($0.10) | $1.11 |
Percentage Expectancy | (0.00) | 0.10 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (48.93%) | (28.57%) |
Longest Drawdown Duration | 190.0 months | 48.9 months |
Max Monthly % Drawdown | (41.16%) | (26.50%) |
Avg of Top-5 Max % Drawdowns | (25.62%) | (21.46%) |
Avg Duration of Top-5 Longest Drawdowns | 71.7 months | 37.9 months |
Avg of All % Drawdowns | (17.84%) | (2.72%) |
Std Dev of All % Drawdowns | 23.47% | 4.74% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (38.72%) | (14.59%) |
Closed-Equity Max Monthly % Drawdown | (38.72%) | (14.59%) |
Closed-Equity Avg of All % Drawdown | (38.72%) | (8.06%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 58.3% | 38.9% |
Lose Rate % | 41.7% | 61.1% |
Winning Trades | 14 | 7 |
Losing Trades | 10 | 11 |
Total Trades | 24 | 18 |
Max Consecutive Wins | 5 | 3 |
Max Consecutive Losses | 3 | 3 |
Avg Trade Duration | 183.0 days | 311.1 days |
Avg Winning Trade Duration | 183.7 days | 642.9 days |
Avg Losing Trade Duration | 184.3 days | 99.9 days |
Largest Winning Trade | $18,925.42 | $126,225.36 |
Largest Losing Trade | ($39,151.52) | ($32,828.35) |
Largest Win as % of Net Profit | (67.69%) | 59.08% |
Avg Win | $6,632.99 | $47,250.05 |
Avg Loss | ($12,082.23) | ($10,646.96) |
Avg Win / Loss Ratio | 0.55 | 4.44 |
Avg Trade | ($1,165.02) | $11,868.54 |
Avg Win % | 9.29% | 33.57% |
Avg Loss % | (13.62%) | (5.29%) |
Avg Trade % | (0.25%) | 9.82% |
Avg Risk % | (96.40%) | (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 % | 73.6% | 72.3% |
Losing Months % | 26.4% | 27.7% |
Winning Months | 215 | 211 |
Losing Months | 77 | 81 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 14 | 22 |
Max Consecutive Losing Months | 5 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 60.0% | 56.0% |
Losing Years % | 40.0% | 44.0% |
Winning Years | 15 | 14 |
Losing Years | 10 | 11 |
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 | 65.2% | 69.3% |
Rolling 6-Month Win Rate | 52.6% | 64.5% |
Rolling 12-Month Win Rate | 56.6% | 61.2% |
Rolling 3-Year Win Rate | 52.2% | 87.0% |
Rolling 5-Year Win Rate | 33.3% | 81.0% |
Rolling 10-Year Win Rate | 31.2% | 100.0% |
Rolling 3-Month Periods | 290 | 290 |
Rolling 6-Month Periods | 287 | 287 |
Rolling 12-Month Periods | 281 | 281 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |