Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-05-17 | 2024-05-17 |
Time Elapsed | 24 years, 4 months | 24 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $836,593.54 | $378,213.25 |
CAGR % | 9.11% | 5.61% |
Max % Drawdown | (54.70%) | (28.57%) |
Standard Deviation | 5.15% | 3.08% |
Annualized Sharpe | 0.41 | 0.29 |
MAR Ratio | 0.17 | 0.20 |
Win Rate % | 0.0% | 38.9% |
Avg Win / Loss Ratio | — | 4.44 |
Expectancy | — | $1.11 |
Avg Win % | 0.00% | 33.57% |
Avg Loss % | 0.00% | (5.29%) |
Longest Drawdown Duration | 46.3 months | 48.9 months |
Avg Trades Per Year | 0.00 | 0.74 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $836,593.54 | $378,213.25 |
Open Equity | $736,593.54 | $45,207.97 |
Gross Profit | $0.00 | $330,750.35 |
Gross Loss | $0.00 | ($117,116.58) |
Net Profit | $0.00 | $213,633.77 |
Net Long Profit | $0.00 | $213,633.77 |
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 | $19,371.51 |
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 | 637.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.17 | 0.20 |
Calmar Ratio | 0.18 | 0.21 |
Modified Sharpe Ratio | 0.58 | 0.56 |
Robust Sharpe Ratio | 0.56 | 0.49 |
R-Squared | 0.9368 | 0.8147 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 9.11% | 5.61% |
RAR | 9.92% | 5.23% |
Profit Factor | 0.00 | 2.82 |
Percent Profit Factor | 0.00 | 4.04 |
Expectancy | — | $1.11 |
Percentage Expectancy | 0.00 | 0.10 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (54.70%) | (28.57%) |
Longest Drawdown Duration | 46.3 months | 48.9 months |
Max Monthly % Drawdown | (50.27%) | (26.50%) |
Avg of Top-5 Max % Drawdowns | (37.39%) | (21.46%) |
Avg Duration of Top-5 Longest Drawdowns | 27.8 months | 37.9 months |
Avg of All % Drawdowns | (3.21%) | (2.71%) |
Std Dev of All % Drawdowns | 6.56% | 4.71% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (14.59%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (14.59%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (8.06%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 38.9% |
Lose Rate % | 0.0% | 61.1% |
Winning Trades | 0 | 7 |
Losing Trades | 0 | 11 |
Total Trades | 0 | 18 |
Max Consecutive Wins | 0 | 3 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 311.1 days |
Avg Winning Trade Duration | 0.0 days | 642.9 days |
Avg Losing Trade Duration | 0.0 days | 99.9 days |
Largest Winning Trade | $0.00 | $126,225.36 |
Largest Losing Trade | $0.00 | ($32,828.35) |
Largest Win as % of Net Profit | — | 59.08% |
Avg Win | $0.00 | $47,250.05 |
Avg Loss | $0.00 | ($10,646.96) |
Avg Win / Loss Ratio | — | 4.44 |
Avg Trade | $0.00 | $11,868.54 |
Avg Win % | 0.00% | 33.57% |
Avg Loss % | 0.00% | (5.29%) |
Avg Trade % | 0.00% | 9.82% |
Avg Risk % | 0.00% | (98.28%) |
Avg Trades Per Year | 0.00 | 0.74 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 62.1% | 72.4% |
Losing Months % | 37.9% | 27.6% |
Winning Months | 182 | 212 |
Losing Months | 111 | 81 |
Total Months | 293 | 293 |
Max Consecutive Winning Months | 8 | 22 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 56.0% |
Losing Years % | 28.0% | 44.0% |
Winning Years | 18 | 14 |
Losing Years | 7 | 11 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 6 | 5 |
Max Consecutive Losing Years | 3 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 66.3% | 69.4% |
Rolling 6-Month Win Rate | 71.2% | 64.6% |
Rolling 12-Month Win Rate | 72.0% | 61.3% |
Rolling 3-Year Win Rate | 82.6% | 87.0% |
Rolling 5-Year Win Rate | 100.0% | 81.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 291 | 291 |
Rolling 6-Month Periods | 288 | 288 |
Rolling 12-Month Periods | 282 | 282 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |