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 | $463,366.10 |
CAGR % | 5.29% | 6.39% |
Max % Drawdown | (41.00%) | (61.39%) |
Standard Deviation | 3.51% | 6.00% |
Annualized Sharpe | 0.24 | 0.26 |
MAR Ratio | 0.13 | 0.10 |
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 | 115.4 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 | $463,366.10 |
Open Equity | $258,750.74 | $363,366.10 |
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 | 0.10 |
Calmar Ratio | 0.14 | 0.10 |
Modified Sharpe Ratio | 0.48 | 0.40 |
Robust Sharpe Ratio | 0.47 | 0.37 |
R-Squared | 0.9006 | 0.7818 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.29% | 6.39% |
RAR | 5.66% | 7.69% |
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%) | (61.39%) |
Longest Drawdown Duration | 55.0 months | 115.4 months |
Max Monthly % Drawdown | (38.14%) | (61.39%) |
Avg of Top-5 Max % Drawdowns | (22.98%) | (39.09%) |
Avg Duration of Top-5 Longest Drawdowns | 33.5 months | 48.7 months |
Avg of All % Drawdowns | (3.01%) | (5.83%) |
Std Dev of All % Drawdowns | 4.35% | 13.32% |
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% | 57.7% |
Losing Months % | 43.6% | 42.3% |
Winning Months | 168 | 172 |
Losing Months | 130 | 126 |
Total Months | 298 | 298 |
Max Consecutive Winning Months | 6 | 12 |
Max Consecutive Losing Months | 7 | 6 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 72.0% | 56.0% |
Losing Years % | 28.0% | 44.0% |
Winning Years | 18 | 14 |
Losing Years | 7 | 11 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 5 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.1% | 59.8% |
Rolling 6-Month Win Rate | 61.1% | 60.1% |
Rolling 12-Month Win Rate | 70.7% | 63.8% |
Rolling 3-Year Win Rate | 87.0% | 65.2% |
Rolling 5-Year Win Rate | 81.0% | 85.7% |
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 |