Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-26 | 2024-04-26 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $72,039.58 | $960,026.49 |
CAGR % | (1.34%) | 9.75% |
Max % Drawdown | (48.93%) | (21.03%) |
Standard Deviation | 3.37% | 3.55% |
Annualized Sharpe | (0.31) | 0.58 |
MAR Ratio | (0.03) | 0.46 |
Win Rate % | 58.3% | 58.8% |
Avg Win / Loss Ratio | 0.55 | 3.35 |
Expectancy | ($0.10) | $1.56 |
Avg Win % | 9.29% | 29.42% |
Avg Loss % | (13.62%) | (4.34%) |
Longest Drawdown Duration | 191.2 months | 35.9 months |
Avg Trades Per Year | 0.99 | 0.70 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $72,039.58 | $960,026.49 |
Open Equity | $0.00 | $66,284.09 |
Gross Profit | $92,861.85 | $933,870.76 |
Gross Loss | ($120,822.26) | ($195,425.29) |
Net Profit | ($27,960.42) | $738,445.47 |
Net Long Profit | ($27,960.42) | $738,445.47 |
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 | $55,296.94 |
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 | 1,791.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | (0.03) | 0.46 |
Calmar Ratio | (0.03) | 0.46 |
Modified Sharpe Ratio | (0.06) | 0.82 |
Robust Sharpe Ratio | (0.04) | 0.78 |
R-Squared | 0.0761 | 0.9195 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | (1.34%) | 9.75% |
RAR | (0.47%) | 9.62% |
Profit Factor | 0.77 | 4.78 |
Percent Profit Factor | 0.96 | 9.67 |
Expectancy | ($0.10) | $1.56 |
Percentage Expectancy | (0.00) | 0.16 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (48.93%) | (21.03%) |
Longest Drawdown Duration | 191.2 months | 35.9 months |
Max Monthly % Drawdown | (41.16%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (25.62%) | (16.69%) |
Avg Duration of Top-5 Longest Drawdowns | 71.8 months | 26.6 months |
Avg of All % Drawdowns | (17.84%) | (6.65%) |
Std Dev of All % Drawdowns | 23.47% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (38.72%) | (10.50%) |
Closed-Equity Max Monthly % Drawdown | (38.72%) | (10.42%) |
Closed-Equity Avg of All % Drawdown | (38.72%) | (6.50%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 58.3% | 58.8% |
Lose Rate % | 41.7% | 41.2% |
Winning Trades | 14 | 10 |
Losing Trades | 10 | 7 |
Total Trades | 24 | 17 |
Max Consecutive Wins | 5 | 3 |
Max Consecutive Losses | 3 | 3 |
Avg Trade Duration | 183.0 days | 364.9 days |
Avg Winning Trade Duration | 183.7 days | 565.9 days |
Avg Losing Trade Duration | 184.3 days | 77.9 days |
Largest Winning Trade | $18,925.42 | $216,040.20 |
Largest Losing Trade | ($39,151.52) | ($55,980.54) |
Largest Win as % of Net Profit | (67.69%) | 29.26% |
Avg Win | $6,632.99 | $93,387.08 |
Avg Loss | ($12,082.23) | ($27,917.90) |
Avg Win / Loss Ratio | 0.55 | 3.35 |
Avg Trade | ($1,165.02) | $43,437.97 |
Avg Win % | 9.29% | 29.42% |
Avg Loss % | (13.62%) | (4.34%) |
Avg Trade % | (0.25%) | 15.52% |
Avg Risk % | (96.40%) | (99.51%) |
Avg Trades Per Year | 0.99 | 0.70 |
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% | 74.7% |
Losing Months % | 26.4% | 25.3% |
Winning Months | 215 | 218 |
Losing Months | 77 | 74 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 14 | 18 |
Max Consecutive Losing Months | 5 | 3 |
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 | 7 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 65.2% | 70.7% |
Rolling 6-Month Win Rate | 52.6% | 71.4% |
Rolling 12-Month Win Rate | 56.6% | 74.4% |
Rolling 3-Year Win Rate | 52.2% | 91.3% |
Rolling 5-Year Win Rate | 33.3% | 100.0% |
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 |