Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-12-13 | 2024-12-13 |
Time Elapsed | 24 years, 11 months | 24 years, 11 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $1,001,352.20 | $526,772.08 |
CAGR % | 9.68% | 6.89% |
Max % Drawdown | (54.70%) | (10.05%) |
Standard Deviation | 5.13% | 1.93% |
Annualized Sharpe | 0.44 | 0.59 |
MAR Ratio | 0.18 | 0.69 |
Win Rate % | 0.0% | 51.5% |
Avg Win / Loss Ratio | — | 3.11 |
Expectancy | — | $1.12 |
Avg Win % | 0.00% | 4.30% |
Avg Loss % | 0.00% | (1.00%) |
Longest Drawdown Duration | 46.3 months | 28.1 months |
Avg Trades Per Year | 0.00 | 3.89 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $1,001,352.20 | $526,772.08 |
Open Equity | $901,352.20 | $51,892.72 |
Gross Profit | $0.00 | $496,765.06 |
Gross Loss | $0.00 | ($150,311.49) |
Net Profit | $0.00 | $346,453.57 |
Net Long Profit | $0.00 | $346,453.57 |
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 | $28,425.78 |
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 | 3,965.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.69 |
Calmar Ratio | 0.19 | 0.76 |
Modified Sharpe Ratio | 0.61 | 1.03 |
Robust Sharpe Ratio | 0.56 | 0.95 |
R-Squared | 0.9407 | 0.9486 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.68% | 6.89% |
RAR | 10.01% | 6.37% |
Profit Factor | 0.00 | 3.30 |
Percent Profit Factor | 0.00 | 4.57 |
Expectancy | — | $1.12 |
Percentage Expectancy | 0.00 | 0.42 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (54.70%) | (10.05%) |
Longest Drawdown Duration | 46.3 months | 28.1 months |
Max Monthly % Drawdown | (50.27%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (37.39%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 27.8 months | 23.8 months |
Avg of All % Drawdowns | (3.23%) | (1.05%) |
Std Dev of All % Drawdowns | 6.44% | 1.78% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (8.74%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (8.74%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (2.74%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.50% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 51.5% |
Lose Rate % | 0.0% | 48.5% |
Winning Trades | 0 | 50 |
Losing Trades | 0 | 47 |
Total Trades | 0 | 97 |
Max Consecutive Wins | 0 | 9 |
Max Consecutive Losses | 0 | 8 |
Avg Trade Duration | 0.0 days | 315.3 days |
Avg Winning Trade Duration | 0.0 days | 531.3 days |
Avg Losing Trade Duration | 0.0 days | 85.5 days |
Largest Winning Trade | $0.00 | $61,124.70 |
Largest Losing Trade | $0.00 | ($8,254.00) |
Largest Win as % of Net Profit | — | 17.64% |
Avg Win | $0.00 | $9,935.30 |
Avg Loss | $0.00 | ($3,198.12) |
Avg Win / Loss Ratio | — | 3.11 |
Avg Trade | $0.00 | $3,571.69 |
Avg Win % | 0.00% | 4.30% |
Avg Loss % | 0.00% | (1.00%) |
Avg Trade % | 0.00% | 1.73% |
Avg Risk % | 0.00% | (4.10%) |
Avg Trades Per Year | 0.00 | 3.89 |
Avg Trades Per Month | 0.00 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 62.3% | 68.3% |
Losing Months % | 37.7% | 31.7% |
Winning Months | 187 | 205 |
Losing Months | 113 | 95 |
Total Months | 300 | 300 |
Max Consecutive Winning Months | 8 | 12 |
Max Consecutive Losing Months | 6 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 80.0% |
Losing Years % | 28.0% | 20.0% |
Winning Years | 18 | 20 |
Losing Years | 7 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 6 | 8 |
Max Consecutive Losing Years | 3 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.8% | 68.8% |
Rolling 6-Month Win Rate | 71.9% | 74.6% |
Rolling 12-Month Win Rate | 72.7% | 81.0% |
Rolling 3-Year Win Rate | 82.6% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 298 | 298 |
Rolling 6-Month Periods | 295 | 295 |
Rolling 12-Month Periods | 289 | 289 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |