| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-22 | 2024-11-22 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $74,982.87 | $1,018,318.09 |
| CAGR % | (1.15%) | 9.77% |
| Max % Drawdown | (48.93%) | (21.03%) |
| Standard Deviation | 3.36% | 3.58% |
| Annualized Sharpe | (0.29) | 0.58 |
| MAR Ratio | (0.02) | 0.46 |
| Win Rate % | 60.0% | 55.6% |
| Avg Win / Loss Ratio | 0.53 | 3.66 |
| Expectancy | ($0.08) | $1.59 |
| Avg Win % | 8.94% | 29.42% |
| Avg Loss % | (13.62%) | (3.92%) |
| Longest Drawdown Duration | 198.1 months | 35.9 months |
| Avg Trades Per Year | 1.00 | 0.72 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $74,982.87 | $1,018,318.09 |
| Open Equity | $0.00 | $129,152.11 |
| Gross Profit | $95,805.13 | $933,870.76 |
| Gross Loss | ($120,822.26) | ($203,958.92) |
| Net Profit | ($25,017.13) | $729,911.84 |
| Net Long Profit | ($25,017.13) | $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 | $0.00 | $59,254.15 |
| 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 | 366.0 | 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 | (0.02) | 0.46 |
| Calmar Ratio | (0.03) | 0.46 |
| Modified Sharpe Ratio | (0.04) | 0.82 |
| Robust Sharpe Ratio | (0.04) | 0.76 |
| R-Squared | 0.0767 | 0.9175 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (1.15%) | 9.77% |
| RAR | (0.45%) | 9.43% |
| Profit Factor | 0.79 | 4.58 |
| Percent Profit Factor | 0.99 | 9.38 |
| Expectancy | ($0.08) | $1.59 |
| Percentage Expectancy | (0.00) | 0.15 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (21.03%) |
| Longest Drawdown Duration | 198.1 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 | 73.5 months | 27.9 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 % | 60.0% | 55.6% |
| Lose Rate % | 40.0% | 44.4% |
| Winning Trades | 15 | 10 |
| Losing Trades | 10 | 8 |
| Total Trades | 25 | 18 |
| Max Consecutive Wins | 5 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 183.0 days | 353.1 days |
| Avg Winning Trade Duration | 183.7 days | 565.9 days |
| Avg Losing Trade Duration | 184.3 days | 87.1 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 | (75.65%) | 29.60% |
| Avg Win | $6,387.01 | $93,387.08 |
| Avg Loss | ($12,082.23) | ($25,494.86) |
| Avg Win / Loss Ratio | 0.53 | 3.66 |
| Avg Trade | ($1,000.69) | $40,550.66 |
| Avg Win % | 8.94% | 29.42% |
| Avg Loss % | (13.62%) | (3.92%) |
| Avg Trade % | (0.08%) | 14.60% |
| Avg Risk % | (96.21%) | (99.52%) |
| Avg Trades Per Year | 1.00 | 0.72 |
| 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% | 74.6% |
| Losing Months % | 26.4% | 25.4% |
| Winning Months | 220 | 223 |
| Losing Months | 79 | 76 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 14 | 18 |
| Max Consecutive Losing Months | 5 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 60.0% | 68.0% |
| Losing Years % | 40.0% | 32.0% |
| Winning Years | 15 | 17 |
| Losing Years | 10 | 8 |
| 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 | 65.3% | 70.0% |
| Rolling 6-Month Win Rate | 53.7% | 71.1% |
| Rolling 12-Month Win Rate | 56.9% | 74.3% |
| Rolling 3-Year Win Rate | 52.2% | 91.3% |
| Rolling 5-Year Win Rate | 38.1% | 100.0% |
| Rolling 10-Year Win Rate | 37.5% | 100.0% |
| Rolling 3-Month Periods | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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