Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2022-05-20 | 2022-05-20 |
Time Elapsed | 22 years, 4 months | 22 years, 4 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $202,635.16 | $470,657.62 |
CAGR % | 3.21% | 7.17% |
Max % Drawdown | (9.10%) | (14.90%) |
Standard Deviation | 1.04% | 1.99% |
Annualized Sharpe | 0.07 | 0.61 |
MAR Ratio | 0.35 | 0.48 |
Win Rate % | 0.0% | 47.3% |
Avg Win / Loss Ratio | — | 3.52 |
Expectancy | — | $1.14 |
Avg Win % | 0.00% | 4.37% |
Avg Loss % | 0.00% | (0.93%) |
Longest Drawdown Duration | 32.4 months | 30.5 months |
Avg Trades Per Year | 0.00 | 4.16 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $202,635.16 | $470,657.62 |
Open Equity | $102,635.16 | $82,183.92 |
Gross Profit | $0.00 | $404,014.02 |
Gross Loss | $0.00 | ($127,700.78) |
Net Profit | $0.00 | $276,313.23 |
Net Long Profit | $0.00 | $276,313.23 |
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 | $12,160.46 |
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 | 945.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.35 | 0.48 |
Calmar Ratio | 0.37 | 0.66 |
Modified Sharpe Ratio | 0.89 | 1.04 |
Robust Sharpe Ratio | 0.86 | 0.89 |
R-Squared | 0.9116 | 0.9220 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.21% | 7.17% |
RAR | 3.09% | 6.15% |
Profit Factor | 0.00 | 3.16 |
Percent Profit Factor | 0.00 | 4.24 |
Expectancy | — | $1.14 |
Percentage Expectancy | 0.00 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (9.10%) | (14.90%) |
Longest Drawdown Duration | 32.4 months | 30.5 months |
Max Monthly % Drawdown | (8.61%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (6.00%) | (10.71%) |
Avg Duration of Top-5 Longest Drawdowns | 22.9 months | 21.0 months |
Avg of All % Drawdowns | (0.61%) | (1.33%) |
Std Dev of All % Drawdowns | 0.93% | 2.06% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (8.54%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (8.54%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (2.59%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.71% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 47.3% |
Lose Rate % | 0.0% | 52.7% |
Winning Trades | 0 | 44 |
Losing Trades | 0 | 49 |
Total Trades | 0 | 93 |
Max Consecutive Wins | 0 | 6 |
Max Consecutive Losses | 0 | 8 |
Avg Trade Duration | 0.0 days | 296.2 days |
Avg Winning Trade Duration | 0.0 days | 539.3 days |
Avg Losing Trade Duration | 0.0 days | 77.9 days |
Largest Winning Trade | $0.00 | $35,849.10 |
Largest Losing Trade | $0.00 | ($9,079.40) |
Largest Win as % of Net Profit | — | 12.97% |
Avg Win | $0.00 | $9,182.14 |
Avg Loss | $0.00 | ($2,606.14) |
Avg Win / Loss Ratio | — | 3.52 |
Avg Trade | $0.00 | $2,971.11 |
Avg Win % | 0.00% | 4.37% |
Avg Loss % | 0.00% | (0.93%) |
Avg Trade % | 0.00% | 1.58% |
Avg Risk % | 0.00% | (17.91%) |
Avg Trades Per Year | 0.00 | 4.16 |
Avg Trades Per Month | 0.00 | 0.35 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 59.9% | 66.9% |
Losing Months % | 40.1% | 33.1% |
Winning Months | 161 | 180 |
Losing Months | 108 | 89 |
Total Months | 269 | 269 |
Max Consecutive Winning Months | 11 | 11 |
Max Consecutive Losing Months | 6 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 82.6% | 87.0% |
Losing Years % | 17.4% | 13.0% |
Winning Years | 19 | 20 |
Losing Years | 4 | 3 |
Total Years | 23 | 23 |
Max Consecutive Winning Years | 9 | 8 |
Max Consecutive Losing Years | 2 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 65.2% | 67.8% |
Rolling 6-Month Win Rate | 68.9% | 76.5% |
Rolling 12-Month Win Rate | 77.5% | 78.7% |
Rolling 3-Year Win Rate | 95.2% | 100.0% |
Rolling 5-Year Win Rate | 100.0% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 267 | 267 |
Rolling 6-Month Periods | 264 | 264 |
Rolling 12-Month Periods | 258 | 258 |
Rolling 3-Year Periods | 21 | 21 |
Rolling 5-Year Periods | 19 | 19 |
Rolling 10-Year Periods | 14 | 14 |