Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-15 | 2024-11-15 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $258,039.20 | $961,593.54 |
CAGR % | 3.89% | 9.53% |
Max % Drawdown | (20.79%) | (33.73%) |
Standard Deviation | 1.81% | 3.45% |
Annualized Sharpe | 0.17 | 0.58 |
MAR Ratio | 0.19 | 0.28 |
Win Rate % | 0.0% | 54.8% |
Avg Win / Loss Ratio | — | 2.64 |
Expectancy | — | $0.00 |
Avg Win % | 0.00% | 19.22% |
Avg Loss % | 0.00% | (3.99%) |
Longest Drawdown Duration | 51.3 months | 36.7 months |
Avg Trades Per Year | 0.00 | 1.25 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $258,039.20 | $961,593.54 |
Open Equity | $158,039.20 | $222,197.58 |
Gross Profit | $0.00 | $927,259.98 |
Gross Loss | $0.00 | ($288,990.67) |
Net Profit | $0.00 | $638,269.31 |
Net Long Profit | $0.00 | $638,269.31 |
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 | $1,126.66 |
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 | 9,127.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.19 | 0.28 |
Calmar Ratio | 0.20 | 0.43 |
Modified Sharpe Ratio | 0.64 | 0.82 |
Robust Sharpe Ratio | 0.61 | 0.80 |
R-Squared | 0.8974 | 0.9523 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.89% | 9.53% |
RAR | 3.84% | 9.56% |
Profit Factor | 0.00 | 3.21 |
Percent Profit Factor | 0.00 | 5.84 |
Expectancy | — | $0.00 |
Percentage Expectancy | 0.00 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (20.79%) | (33.73%) |
Longest Drawdown Duration | 51.3 months | 36.7 months |
Max Monthly % Drawdown | (19.92%) | (22.15%) |
Avg of Top-5 Max % Drawdowns | (11.43%) | (22.87%) |
Avg Duration of Top-5 Longest Drawdowns | 30.2 months | 24.0 months |
Avg of All % Drawdowns | (1.40%) | (2.03%) |
Std Dev of All % Drawdowns | 1.95% | 4.27% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (15.75%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (15.75%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (9.46%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.54% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 54.8% |
Lose Rate % | 0.0% | 45.2% |
Winning Trades | 0 | 17 |
Losing Trades | 0 | 14 |
Total Trades | 0 | 31 |
Max Consecutive Wins | 0 | 4 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 280.8 days |
Avg Winning Trade Duration | 0.0 days | 382.8 days |
Avg Losing Trade Duration | 0.0 days | 156.9 days |
Largest Winning Trade | $0.00 | $255,900.48 |
Largest Losing Trade | $0.00 | ($51,833.25) |
Largest Win as % of Net Profit | — | 40.09% |
Avg Win | $0.00 | $54,544.70 |
Avg Loss | $0.00 | ($20,642.19) |
Avg Win / Loss Ratio | — | 2.64 |
Avg Trade | $0.00 | $20,589.33 |
Avg Win % | 0.00% | 19.22% |
Avg Loss % | 0.00% | (3.99%) |
Avg Trade % | 0.00% | 8.73% |
Avg Risk % | 0.00% | (99.51%) |
Avg Trades Per Year | 0.00 | 1.25 |
Avg Trades Per Month | 0.00 | 0.10 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 56.5% | 65.9% |
Losing Months % | 43.5% | 34.1% |
Winning Months | 169 | 197 |
Losing Months | 130 | 102 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 8 | 15 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 80.0% |
Losing Years % | 20.0% | 20.0% |
Winning Years | 20 | 20 |
Losing Years | 5 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 7 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 61.6% | 69.7% |
Rolling 6-Month Win Rate | 66.3% | 72.4% |
Rolling 12-Month Win Rate | 71.2% | 76.0% |
Rolling 3-Year Win Rate | 87.0% | 100.0% |
Rolling 5-Year Win Rate | 95.2% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 297 | 297 |
Rolling 6-Month Periods | 294 | 294 |
Rolling 12-Month Periods | 288 | 288 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |