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 | $865,957.88 | $530,207.62 |
CAGR % | 9.29% | 7.11% |
Max % Drawdown | (69.65%) | (54.82%) |
Standard Deviation | 6.35% | 4.42% |
Annualized Sharpe | 0.38 | 0.33 |
MAR Ratio | 0.13 | 0.13 |
Win Rate % | 0.0% | 0.0% |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Longest Drawdown Duration | 63.2 months | 73.5 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $865,957.88 | $530,207.62 |
Open Equity | $765,957.88 | $430,207.62 |
Gross Profit | $0.00 | $0.00 |
Gross Loss | $0.00 | $0.00 |
Net Profit | $0.00 | $0.00 |
Net Long Profit | $0.00 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
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 | 0.0 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.13 | 0.13 |
Calmar Ratio | 0.15 | 0.14 |
Modified Sharpe Ratio | 0.52 | 0.53 |
Robust Sharpe Ratio | 0.41 | 0.56 |
R-Squared | 0.9134 | 0.8695 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.29% | 7.11% |
RAR | 9.06% | 8.61% |
Profit Factor | 0.00 | 0.00 |
Percent Profit Factor | 0.00 | 0.00 |
Expectancy | — | — |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (69.65%) | (54.82%) |
Longest Drawdown Duration | 63.2 months | 73.5 months |
Max Monthly % Drawdown | (63.75%) | (50.54%) |
Avg of Top-5 Max % Drawdowns | (43.71%) | (35.85%) |
Avg Duration of Top-5 Longest Drawdowns | 35.1 months | 33.2 months |
Avg of All % Drawdowns | (3.13%) | (1.97%) |
Std Dev of All % Drawdowns | 7.77% | 5.54% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | 0.00% |
Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 0.0% |
Lose Rate % | 0.0% | 0.0% |
Winning Trades | 0 | 0 |
Losing Trades | 0 | 0 |
Total Trades | 0 | 0 |
Max Consecutive Wins | 0 | 0 |
Max Consecutive Losses | 0 | 0 |
Avg Trade Duration | 0.0 days | 0.0 days |
Avg Winning Trade Duration | 0.0 days | 0.0 days |
Avg Losing Trade Duration | 0.0 days | 0.0 days |
Largest Winning Trade | $0.00 | $0.00 |
Largest Losing Trade | $0.00 | $0.00 |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | $0.00 |
Avg Loss | $0.00 | $0.00 |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | $0.00 |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Avg Trade % | 0.00% | 0.00% |
Avg Risk % | 0.00% | 0.00% |
Avg Trades Per Year | 0.00 | 0.00 |
Avg Trades Per Month | 0.00 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 60.3% | 64.4% |
Losing Months % | 39.7% | 35.6% |
Winning Months | 176 | 188 |
Losing Months | 116 | 104 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 10 | 15 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 76.0% |
Losing Years % | 28.0% | 24.0% |
Winning Years | 18 | 19 |
Losing Years | 7 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 4 | 9 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 67.9% | 68.3% |
Rolling 6-Month Win Rate | 66.9% | 71.4% |
Rolling 12-Month Win Rate | 67.6% | 75.8% |
Rolling 3-Year Win Rate | 87.0% | 78.3% |
Rolling 5-Year Win Rate | 90.5% | 85.7% |
Rolling 10-Year Win Rate | 100.0% | 93.8% |
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 |