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 | $248,727.76 | $146,947.75 |
CAGR % | 3.82% | 1.60% |
Max % Drawdown | (20.79%) | (41.31%) |
Standard Deviation | 1.81% | 3.08% |
Annualized Sharpe | 0.16 | (0.07) |
MAR Ratio | 0.18 | 0.04 |
Win Rate % | 0.0% | 75.0% |
Avg Win / Loss Ratio | — | 0.55 |
Expectancy | — | $0.17 |
Avg Win % | 0.00% | 7.00% |
Avg Loss % | 0.00% | (12.13%) |
Longest Drawdown Duration | 44.5 months | 202.6 months |
Avg Trades Per Year | 0.00 | 0.99 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $248,727.76 | $146,947.75 |
Open Equity | $148,727.76 | $0.00 |
Gross Profit | $0.00 | $117,845.35 |
Gross Loss | $0.00 | ($70,897.60) |
Net Profit | $0.00 | $46,947.75 |
Net Long Profit | $0.00 | $46,947.75 |
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 | $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 | 830.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.18 | 0.04 |
Calmar Ratio | 0.19 | 0.04 |
Modified Sharpe Ratio | 0.63 | 0.20 |
Robust Sharpe Ratio | 0.63 | 0.22 |
R-Squared | 0.9067 | 0.5588 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.82% | 1.60% |
RAR | 3.96% | 2.33% |
Profit Factor | 0.00 | 1.66 |
Percent Profit Factor | 0.00 | 1.73 |
Expectancy | — | $0.17 |
Percentage Expectancy | 0.00 | 0.02 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (20.79%) | (41.31%) |
Longest Drawdown Duration | 44.5 months | 202.6 months |
Max Monthly % Drawdown | (19.92%) | (38.17%) |
Avg of Top-5 Max % Drawdowns | (11.43%) | (19.07%) |
Avg Duration of Top-5 Longest Drawdowns | 28.9 months | 50.8 months |
Avg of All % Drawdowns | (1.40%) | (3.06%) |
Std Dev of All % Drawdowns | 1.95% | 6.75% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (29.90%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (29.90%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (29.90%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 75.0% |
Lose Rate % | 0.0% | 25.0% |
Winning Trades | 0 | 18 |
Losing Trades | 0 | 6 |
Total Trades | 0 | 24 |
Max Consecutive Wins | 0 | 10 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 183.0 days |
Avg Winning Trade Duration | 0.0 days | 183.9 days |
Avg Losing Trade Duration | 0.0 days | 184.0 days |
Largest Winning Trade | $0.00 | $18,641.80 |
Largest Losing Trade | $0.00 | ($28,267.54) |
Largest Win as % of Net Profit | — | 39.71% |
Avg Win | $0.00 | $6,546.96 |
Avg Loss | $0.00 | ($11,816.27) |
Avg Win / Loss Ratio | — | 0.55 |
Avg Trade | $0.00 | $1,956.16 |
Avg Win % | 0.00% | 7.00% |
Avg Loss % | 0.00% | (12.13%) |
Avg Trade % | 0.00% | 2.22% |
Avg Risk % | 0.00% | (98.31%) |
Avg Trades Per Year | 0.00 | 0.99 |
Avg Trades Per Month | 0.00 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 56.2% | 79.8% |
Losing Months % | 43.8% | 20.2% |
Winning Months | 164 | 233 |
Losing Months | 128 | 59 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 8 | 23 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 76.0% |
Losing Years % | 20.0% | 24.0% |
Winning Years | 20 | 19 |
Losing Years | 5 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 10 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 61.7% | 73.1% |
Rolling 6-Month Win Rate | 65.9% | 67.2% |
Rolling 12-Month Win Rate | 70.8% | 71.2% |
Rolling 3-Year Win Rate | 87.0% | 65.2% |
Rolling 5-Year Win Rate | 95.2% | 71.4% |
Rolling 10-Year Win Rate | 100.0% | 81.2% |
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 |