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 | $2,338,953.39 |
CAGR % | 5.29% | 13.57% |
Max % Drawdown | (41.00%) | (59.46%) |
Standard Deviation | 3.51% | 6.22% |
Annualized Sharpe | 0.24 | 0.56 |
MAR Ratio | 0.13 | 0.23 |
Win Rate % | 0.0% | 0.0% |
Avg Win / Loss Ratio | — | — |
Expectancy | — | — |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Longest Drawdown Duration | 55.0 months | 40.2 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $358,750.74 | $2,338,953.39 |
Open Equity | $258,750.74 | $2,238,953.39 |
Gross Profit | $0.00 | $0.00 |
Gross Loss | $0.00 | $0.00 |
Net Profit | $0.00 | $0.00 |
Net Long Profit | $0.00 | $0.00 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | — |
Net Short Profit as % of Net Profit | — | — |
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 | 0.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.13 | 0.23 |
Calmar Ratio | 0.14 | 0.25 |
Modified Sharpe Ratio | 0.48 | 0.70 |
Robust Sharpe Ratio | 0.47 | 0.58 |
R-Squared | 0.9006 | 0.9412 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.29% | 13.57% |
RAR | 5.66% | 12.51% |
Profit Factor | 0.00 | 0.00 |
Percent Profit Factor | 0.00 | 0.00 |
Expectancy | — | — |
Percentage Expectancy | 0.00 | 0.00 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (41.00%) | (59.46%) |
Longest Drawdown Duration | 55.0 months | 40.2 months |
Max Monthly % Drawdown | (38.14%) | (54.74%) |
Avg of Top-5 Max % Drawdowns | (22.98%) | (41.38%) |
Avg Duration of Top-5 Longest Drawdowns | 33.5 months | 27.8 months |
Avg of All % Drawdowns | (3.01%) | (3.24%) |
Std Dev of All % Drawdowns | 4.35% | 7.07% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | 0.00% |
Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 0.0% |
Lose Rate % | 0.0% | 0.0% |
Winning Trades | 0 | 0 |
Losing Trades | 0 | 0 |
Total Trades | 0 | 0 |
Max Consecutive Wins | 0 | 0 |
Max Consecutive Losses | 0 | 0 |
Avg Trade Duration | 0.0 days | 0.0 days |
Avg Winning Trade Duration | 0.0 days | 0.0 days |
Avg Losing Trade Duration | 0.0 days | 0.0 days |
Largest Winning Trade | $0.00 | $0.00 |
Largest Losing Trade | $0.00 | $0.00 |
Largest Win as % of Net Profit | — | — |
Avg Win | $0.00 | $0.00 |
Avg Loss | $0.00 | $0.00 |
Avg Win / Loss Ratio | — | — |
Avg Trade | $0.00 | $0.00 |
Avg Win % | 0.00% | 0.00% |
Avg Loss % | 0.00% | 0.00% |
Avg Trade % | 0.00% | 0.00% |
Avg Risk % | 0.00% | 0.00% |
Avg Trades Per Year | 0.00 | 0.00 |
Avg Trades Per Month | 0.00 | 0.00 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 56.4% | 64.1% |
Losing Months % | 43.6% | 35.9% |
Winning Months | 168 | 191 |
Losing Months | 130 | 107 |
Total Months | 298 | 298 |
Max Consecutive Winning Months | 6 | 12 |
Max Consecutive Losing Months | 7 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 84.0% |
Losing Years % | 28.0% | 16.0% |
Winning Years | 18 | 21 |
Losing Years | 7 | 4 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 8 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.1% | 64.9% |
Rolling 6-Month Win Rate | 61.1% | 68.9% |
Rolling 12-Month Win Rate | 70.7% | 74.6% |
Rolling 3-Year Win Rate | 87.0% | 91.3% |
Rolling 5-Year Win Rate | 81.0% | 95.2% |
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 |