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 | $1,889,626.09 | $461,247.40 |
CAGR % | 12.86% | 6.50% |
Max % Drawdown | (69.84%) | (14.90%) |
Standard Deviation | 6.37% | 1.98% |
Annualized Sharpe | 0.53 | 0.52 |
MAR Ratio | 0.18 | 0.44 |
Win Rate % | 0.0% | 46.1% |
Avg Win / Loss Ratio | — | 3.56 |
Expectancy | — | $1.10 |
Avg Win % | 0.00% | 4.49% |
Avg Loss % | 0.00% | (0.93%) |
Longest Drawdown Duration | 61.9 months | 30.5 months |
Avg Trades Per Year | 0.00 | 4.20 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $1,889,626.09 | $461,247.40 |
Open Equity | $1,789,626.09 | $17,987.93 |
Gross Profit | $0.00 | $471,807.94 |
Gross Loss | $0.00 | ($155,281.16) |
Net Profit | $0.00 | $316,526.78 |
Net Long Profit | $0.00 | $316,526.78 |
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 | $26,732.70 |
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 | 1,069.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.44 |
Calmar Ratio | 0.20 | 0.60 |
Modified Sharpe Ratio | 0.66 | 0.95 |
Robust Sharpe Ratio | 0.53 | 0.88 |
R-Squared | 0.9085 | 0.9341 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 12.86% | 6.50% |
RAR | 11.73% | 6.03% |
Profit Factor | 0.00 | 3.04 |
Percent Profit Factor | 0.00 | 4.11 |
Expectancy | — | $1.10 |
Percentage Expectancy | 0.00 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (69.84%) | (14.90%) |
Longest Drawdown Duration | 61.9 months | 30.5 months |
Max Monthly % Drawdown | (64.87%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (41.12%) | (10.73%) |
Avg Duration of Top-5 Longest Drawdowns | 32.5 months | 23.7 months |
Avg of All % Drawdowns | (2.36%) | (1.35%) |
Std Dev of All % Drawdowns | 6.93% | 2.07% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (8.54%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (8.54%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (2.79%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 46.1% |
Lose Rate % | 0.0% | 53.9% |
Winning Trades | 0 | 47 |
Losing Trades | 0 | 55 |
Total Trades | 0 | 102 |
Max Consecutive Wins | 0 | 6 |
Max Consecutive Losses | 0 | 8 |
Avg Trade Duration | 0.0 days | 286.8 days |
Avg Winning Trade Duration | 0.0 days | 531.4 days |
Avg Losing Trade Duration | 0.0 days | 77.7 days |
Largest Winning Trade | $0.00 | $61,124.70 |
Largest Losing Trade | $0.00 | ($9,079.40) |
Largest Win as % of Net Profit | — | 19.31% |
Avg Win | $0.00 | $10,038.47 |
Avg Loss | $0.00 | ($2,823.29) |
Avg Win / Loss Ratio | — | 3.56 |
Avg Trade | $0.00 | $3,103.20 |
Avg Win % | 0.00% | 4.49% |
Avg Loss % | 0.00% | (0.93%) |
Avg Trade % | 0.00% | 1.57% |
Avg Risk % | 0.00% | (18.02%) |
Avg Trades Per Year | 0.00 | 4.20 |
Avg Trades Per Month | 0.00 | 0.35 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 60.3% | 65.4% |
Losing Months % | 39.7% | 34.6% |
Winning Months | 176 | 191 |
Losing Months | 116 | 101 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 13 | 11 |
Max Consecutive Losing Months | 10 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 84.0% |
Losing Years % | 28.0% | 16.0% |
Winning Years | 18 | 21 |
Losing Years | 7 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 7 | 8 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 62.4% | 66.6% |
Rolling 6-Month Win Rate | 64.1% | 74.6% |
Rolling 12-Month Win Rate | 66.9% | 77.6% |
Rolling 3-Year Win Rate | 87.0% | 100.0% |
Rolling 5-Year Win Rate | 85.7% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
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 |