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Buy and Hold US Gov Bond 30Y — 2000 to 2024

Last Update: Nov. 30, 2024 8:58 p.m. (5 days ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Current Positions and Signals

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Last Six Months
Last Three Years

Last 10 Trades
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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2024-11-29 2024-11-29
Time Elapsed 24 years, 11 months 24 years, 11 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $361,830.69 $988,448.49
CAGR % 5.30% 9.64%
Max % Drawdown (41.00%) (33.73%)
Standard Deviation 3.51% 3.46%
Annualized Sharpe 0.24 0.58
MAR Ratio 0.13 0.29
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 56.6 months 36.7 months
Avg Trades Per Year 0.00 1.24
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $361,830.69 $988,448.49
Open Equity $261,830.69 $249,038.12
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 $1,141.06
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 0.13 0.29
Calmar Ratio 0.14 0.44
Modified Sharpe Ratio 0.49 0.83
Robust Sharpe Ratio 0.46 0.80
R-Squared 0.8967 0.9525
Profit Expectation
Model Benchmark
CAGR % 5.30% 9.64%
RAR 5.61% 9.55%
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 (41.00%) (33.73%)
Longest Drawdown Duration 56.6 months 36.7 months
Max Monthly % Drawdown (38.14%) (22.15%)
Avg of Top-5 Max % Drawdowns (22.98%) (22.87%)
Avg Duration of Top-5 Longest Drawdowns 33.9 months 24.0 months
Avg of All % Drawdowns (3.01%) (2.02%)
Std Dev of All % Drawdowns 4.35% 4.25%
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 1.24
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 6 15
Max Consecutive Losing Months 7 5
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 72.0% 80.0%
Losing Years % 28.0% 20.0%
Winning Years 18 20
Losing Years 7 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 59.6% 69.7%
Rolling 6-Month Win Rate 61.2% 72.4%
Rolling 12-Month Win Rate 70.8% 76.0%
Rolling 3-Year Win Rate 87.0% 100.0%
Rolling 5-Year Win Rate 81.0% 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
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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New Open Orders

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