Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-10-11 | 2024-10-11 |
Time Elapsed | 24 years, 9 months | 24 years, 9 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $358,750.74 | $700,751.31 |
CAGR % | 5.29% | 8.18% |
Max % Drawdown | (41.00%) | (24.14%) |
Standard Deviation | 3.51% | 2.92% |
Annualized Sharpe | 0.24 | 0.54 |
MAR Ratio | 0.13 | 0.34 |
Win Rate % | 0.0% | 58.8% |
Avg Win / Loss Ratio | — | 2.39 |
Expectancy | — | $0.00 |
Avg Win % | 0.00% | 24.30% |
Avg Loss % | 0.00% | (6.20%) |
Longest Drawdown Duration | 55.0 months | 32.9 months |
Avg Trades Per Year | 0.00 | 0.69 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $358,750.74 | $700,751.31 |
Open Equity | $258,750.74 | $157,727.35 |
Gross Profit | $0.00 | $596,236.97 |
Gross Loss | $0.00 | ($174,306.09) |
Net Profit | $0.00 | $421,930.88 |
Net Long Profit | $0.00 | $421,930.88 |
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 | $21,093.08 |
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 | 1,335.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.13 | 0.34 |
Calmar Ratio | 0.14 | 0.38 |
Modified Sharpe Ratio | 0.48 | 0.83 |
Robust Sharpe Ratio | 0.47 | 0.82 |
R-Squared | 0.9006 | 0.9808 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.29% | 8.18% |
RAR | 5.66% | 8.34% |
Profit Factor | 0.00 | 3.42 |
Percent Profit Factor | 0.00 | 5.60 |
Expectancy | — | $0.00 |
Percentage Expectancy | 0.00 | 0.12 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.00%) | (24.14%) |
Longest Drawdown Duration | 55.0 months | 32.9 months |
Max Monthly % Drawdown | (38.14%) | (21.48%) |
Avg of Top-5 Max % Drawdowns | (22.98%) | (18.46%) |
Avg Duration of Top-5 Longest Drawdowns | 33.5 months | 27.6 months |
Avg of All % Drawdowns | (3.01%) | (1.66%) |
Std Dev of All % Drawdowns | 4.35% | 3.03% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (12.79%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (12.52%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (9.25%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 3.22% |
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 | 2 |
Avg Trade Duration | 0.0 days | 372.8 days |
Avg Winning Trade Duration | 0.0 days | 599.9 days |
Avg Losing Trade Duration | 0.0 days | 48.4 days |
Largest Winning Trade | $0.00 | $188,616.32 |
Largest Losing Trade | $0.00 | ($52,117.18) |
Largest Win as % of Net Profit | — | 44.70% |
Avg Win | $0.00 | $59,623.70 |
Avg Loss | $0.00 | ($24,900.87) |
Avg Win / Loss Ratio | — | 2.39 |
Avg Trade | $0.00 | $24,819.46 |
Avg Win % | 0.00% | 24.30% |
Avg Loss % | 0.00% | (6.20%) |
Avg Trade % | 0.00% | 11.74% |
Avg Risk % | 0.00% | (99.25%) |
Avg Trades Per Year | 0.00 | 0.69 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 56.4% | 75.8% |
Losing Months % | 43.6% | 24.2% |
Winning Months | 168 | 226 |
Losing Months | 130 | 72 |
Total Months | 298 | 298 |
Max Consecutive Winning Months | 6 | 21 |
Max Consecutive Losing Months | 7 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 76.0% |
Losing Years % | 28.0% | 24.0% |
Winning Years | 18 | 19 |
Losing Years | 7 | 6 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 7 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.1% | 75.3% |
Rolling 6-Month Win Rate | 61.1% | 75.8% |
Rolling 12-Month Win Rate | 70.7% | 73.9% |
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 | 296 | 296 |
Rolling 6-Month Periods | 293 | 293 |
Rolling 12-Month Periods | 287 | 287 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |