Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-01 | 2024-11-01 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $74,982.87 | $275,968.55 |
CAGR % | (1.15%) | 4.17% |
Max % Drawdown | (48.93%) | (60.11%) |
Standard Deviation | 3.36% | 4.79% |
Annualized Sharpe | (0.29) | 0.15 |
MAR Ratio | (0.02) | 0.07 |
Win Rate % | 60.0% | 0.0% |
Avg Win / Loss Ratio | 0.53 | — |
Expectancy | ($0.08) | — |
Avg Win % | 8.94% | 0.00% |
Avg Loss % | (13.62%) | 0.00% |
Longest Drawdown Duration | 197.4 months | 75.7 months |
Avg Trades Per Year | 1.01 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $74,982.87 | $275,968.55 |
Open Equity | $0.00 | $175,968.55 |
Gross Profit | $95,805.13 | $0.00 |
Gross Loss | ($120,822.26) | $0.00 |
Net Profit | ($25,017.13) | $0.00 |
Net Long Profit | ($25,017.13) | $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 | 366.0 | 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) | 0.07 |
Modified Sharpe Ratio | (0.04) | 0.33 |
Robust Sharpe Ratio | (0.04) | 0.33 |
R-Squared | 0.0766 | 0.8403 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | (1.15%) | 4.17% |
RAR | (0.46%) | 5.42% |
Profit Factor | 0.79 | 0.00 |
Percent Profit Factor | 0.99 | 0.00 |
Expectancy | ($0.08) | — |
Percentage Expectancy | (0.00) | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (48.93%) | (60.11%) |
Longest Drawdown Duration | 197.4 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 | 73.3 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 % | 60.0% | 0.0% |
Lose Rate % | 40.0% | 0.0% |
Winning Trades | 15 | 0 |
Losing Trades | 10 | 0 |
Total Trades | 25 | 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 | (75.65%) | — |
Avg Win | $6,387.01 | $0.00 |
Avg Loss | ($12,082.23) | $0.00 |
Avg Win / Loss Ratio | 0.53 | — |
Avg Trade | ($1,000.69) | $0.00 |
Avg Win % | 8.94% | 0.00% |
Avg Loss % | (13.62%) | 0.00% |
Avg Trade % | (0.08%) | 0.00% |
Avg Risk % | (96.21%) | 0.00% |
Avg Trades Per Year | 1.01 | 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 % | 73.6% | 57.9% |
Losing Months % | 26.4% | 42.1% |
Winning Months | 220 | 173 |
Losing Months | 79 | 126 |
Total Months | 299 | 299 |
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 | 65.3% | 58.9% |
Rolling 6-Month Win Rate | 53.7% | 62.9% |
Rolling 12-Month Win Rate | 56.9% | 62.2% |
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 | 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 |