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 | $960,022.91 |
CAGR % | 13.52% | 9.76% |
Max % Drawdown | (59.46%) | (21.03%) |
Standard Deviation | 6.25% | 3.55% |
Annualized Sharpe | 0.56 | 0.58 |
MAR Ratio | 0.23 | 0.46 |
Win Rate % | 0.0% | 58.8% |
Avg Win / Loss Ratio | — | 3.35 |
Expectancy | — | $1.56 |
Avg Win % | 0.00% | 29.42% |
Avg Loss % | 0.00% | (4.34%) |
Longest Drawdown Duration | 40.2 months | 35.9 months |
Avg Trades Per Year | 0.00 | 0.70 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $2,178,750.25 | $960,022.91 |
Open Equity | $2,078,750.25 | $66,284.09 |
Gross Profit | $0.00 | $933,870.76 |
Gross Loss | $0.00 | ($195,425.29) |
Net Profit | $0.00 | $738,445.47 |
Net Long Profit | $0.00 | $738,445.47 |
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 | $55,293.35 |
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 | 1,791.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.23 | 0.46 |
Calmar Ratio | 0.25 | 0.46 |
Modified Sharpe Ratio | 0.70 | 0.82 |
Robust Sharpe Ratio | 0.58 | 0.78 |
R-Squared | 0.9383 | 0.9196 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 13.52% | 9.76% |
RAR | 12.55% | 9.62% |
Profit Factor | 0.00 | 4.78 |
Percent Profit Factor | 0.00 | 9.67 |
Expectancy | — | $1.56 |
Percentage Expectancy | 0.00 | 0.16 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (59.46%) | (21.03%) |
Longest Drawdown Duration | 40.2 months | 35.9 months |
Max Monthly % Drawdown | (54.74%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (41.36%) | (16.69%) |
Avg Duration of Top-5 Longest Drawdowns | 26.6 months | 26.5 months |
Avg of All % Drawdowns | (3.24%) | (6.65%) |
Std Dev of All % Drawdowns | 7.07% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (10.50%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (10.42%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (6.50%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 58.8% |
Lose Rate % | 0.0% | 41.2% |
Winning Trades | 0 | 10 |
Losing Trades | 0 | 7 |
Total Trades | 0 | 17 |
Max Consecutive Wins | 0 | 3 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 364.9 days |
Avg Winning Trade Duration | 0.0 days | 565.9 days |
Avg Losing Trade Duration | 0.0 days | 77.9 days |
Largest Winning Trade | $0.00 | $216,040.20 |
Largest Losing Trade | $0.00 | ($55,980.54) |
Largest Win as % of Net Profit | — | 29.26% |
Avg Win | $0.00 | $93,387.08 |
Avg Loss | $0.00 | ($27,917.90) |
Avg Win / Loss Ratio | — | 3.35 |
Avg Trade | $0.00 | $43,437.97 |
Avg Win % | 0.00% | 29.42% |
Avg Loss % | 0.00% | (4.34%) |
Avg Trade % | 0.00% | 15.52% |
Avg Risk % | 0.00% | (99.51%) |
Avg Trades Per Year | 0.00 | 0.70 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 64.0% | 74.7% |
Losing Months % | 36.0% | 25.3% |
Winning Months | 187 | 218 |
Losing Months | 105 | 74 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 12 | 18 |
Max Consecutive Losing Months | 5 | 3 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 84.0% | 64.0% |
Losing Years % | 16.0% | 36.0% |
Winning Years | 21 | 16 |
Losing Years | 4 | 9 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 8 | 7 |
Max Consecutive Losing Years | 1 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 64.8% | 70.7% |
Rolling 6-Month Win Rate | 68.3% | 71.4% |
Rolling 12-Month Win Rate | 74.0% | 74.4% |
Rolling 3-Year Win Rate | 87.0% | 91.3% |
Rolling 5-Year Win Rate | 95.2% | 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 |