Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-11-01 | 2024-11-01 |
Time Elapsed | 24 years, 10 months | 24 years, 10 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $350,385.05 | $258,813.62 |
CAGR % | 5.18% | 3.90% |
Max % Drawdown | (41.00%) | (20.79%) |
Standard Deviation | 3.51% | 1.81% |
Annualized Sharpe | 0.23 | 0.17 |
MAR Ratio | 0.13 | 0.19 |
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 | 55.7 months | 50.9 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $350,385.05 | $258,813.62 |
Open Equity | $250,385.05 | $158,813.62 |
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 | 0.19 |
Calmar Ratio | 0.14 | 0.20 |
Modified Sharpe Ratio | 0.47 | 0.64 |
Robust Sharpe Ratio | 0.46 | 0.61 |
R-Squared | 0.8990 | 0.8980 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 5.18% | 3.90% |
RAR | 5.64% | 3.85% |
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%) | (20.79%) |
Longest Drawdown Duration | 55.7 months | 50.9 months |
Max Monthly % Drawdown | (38.14%) | (19.92%) |
Avg of Top-5 Max % Drawdowns | (22.98%) | (11.43%) |
Avg Duration of Top-5 Longest Drawdowns | 33.7 months | 30.1 months |
Avg of All % Drawdowns | (3.01%) | (1.40%) |
Std Dev of All % Drawdowns | 4.35% | 1.95% |
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 % | 56.2% | 56.5% |
Losing Months % | 43.8% | 43.5% |
Winning Months | 168 | 169 |
Losing Months | 131 | 130 |
Total Months | 299 | 299 |
Max Consecutive Winning Months | 6 | 8 |
Max Consecutive Losing Months | 7 | 6 |
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 | 9 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 59.6% | 61.6% |
Rolling 6-Month Win Rate | 61.2% | 66.3% |
Rolling 12-Month Win Rate | 70.8% | 71.2% |
Rolling 3-Year Win Rate | 87.0% | 87.0% |
Rolling 5-Year Win Rate | 81.0% | 95.2% |
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 |