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 | $2,178,750.25 | $353,627.19 |
CAGR % | 13.52% | 5.34% |
Max % Drawdown | (59.46%) | (23.72%) |
Standard Deviation | 6.25% | 1.90% |
Annualized Sharpe | 0.56 | 0.37 |
MAR Ratio | 0.23 | 0.23 |
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 | 40.2 months | 30.9 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $2,178,750.25 | $353,627.19 |
Open Equity | $2,078,750.25 | $253,627.19 |
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 | 0.23 | 0.23 |
Calmar Ratio | 0.25 | 0.24 |
Modified Sharpe Ratio | 0.70 | 0.82 |
Robust Sharpe Ratio | 0.58 | 0.87 |
R-Squared | 0.9383 | 0.9502 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 13.52% | 5.34% |
RAR | 12.55% | 5.75% |
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 | (59.46%) | (23.72%) |
Longest Drawdown Duration | 40.2 months | 30.9 months |
Max Monthly % Drawdown | (54.74%) | (21.83%) |
Avg of Top-5 Max % Drawdowns | (41.36%) | (13.21%) |
Avg Duration of Top-5 Longest Drawdowns | 26.6 months | 15.8 months |
Avg of All % Drawdowns | (3.24%) | (0.91%) |
Std Dev of All % Drawdowns | 7.07% | 1.62% |
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 % | 64.0% | 61.6% |
Losing Months % | 36.0% | 38.4% |
Winning Months | 187 | 180 |
Losing Months | 105 | 112 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 10 |
Max Consecutive Losing Months | 5 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 84.0% | 76.0% |
Losing Years % | 16.0% | 24.0% |
Winning Years | 21 | 19 |
Losing Years | 4 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 13 |
Max Consecutive Losing Years | 1 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 64.8% | 68.6% |
Rolling 6-Month Win Rate | 68.3% | 74.2% |
Rolling 12-Month Win Rate | 74.0% | 82.9% |
Rolling 3-Year Win Rate | 87.0% | 87.0% |
Rolling 5-Year Win Rate | 95.2% | 95.2% |
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 |