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 | $919,509.15 |
CAGR % | 3.21% | 10.42% |
Max % Drawdown | (9.10%) | (21.03%) |
Standard Deviation | 1.04% | 3.61% |
Annualized Sharpe | 0.07 | 0.62 |
MAR Ratio | 0.35 | 0.50 |
Win Rate % | 0.0% | 66.7% |
Avg Win / Loss Ratio | — | 3.63 |
Expectancy | — | $2.09 |
Avg Win % | 0.00% | 29.42% |
Avg Loss % | 0.00% | (4.64%) |
Longest Drawdown Duration | 32.4 months | 35.9 months |
Avg Trades Per Year | 0.00 | 0.67 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $202,635.16 | $919,509.15 |
Open Equity | $102,635.16 | $0.00 |
Gross Profit | $0.00 | $933,870.76 |
Gross Loss | $0.00 | ($128,601.19) |
Net Profit | $0.00 | $805,269.57 |
Net Long Profit | $0.00 | $805,269.57 |
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 | $14,239.58 |
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 | 1,591.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.35 | 0.50 |
Calmar Ratio | 0.37 | 0.50 |
Modified Sharpe Ratio | 0.89 | 0.86 |
Robust Sharpe Ratio | 0.86 | 0.83 |
R-Squared | 0.9116 | 0.9272 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.21% | 10.42% |
RAR | 3.09% | 10.32% |
Profit Factor | 0.00 | 7.26 |
Percent Profit Factor | 0.00 | 12.67 |
Expectancy | — | $2.09 |
Percentage Expectancy | 0.00 | 0.18 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (9.10%) | (21.03%) |
Longest Drawdown Duration | 32.4 months | 35.9 months |
Max Monthly % Drawdown | (8.61%) | (21.03%) |
Avg of Top-5 Max % Drawdowns | (6.00%) | (15.97%) |
Avg Duration of Top-5 Longest Drawdowns | 22.9 months | 23.8 months |
Avg of All % Drawdowns | (0.61%) | (6.65%) |
Std Dev of All % Drawdowns | 0.93% | 5.36% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (10.50%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (10.42%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (5.49%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.03% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 66.7% |
Lose Rate % | 0.0% | 33.3% |
Winning Trades | 0 | 10 |
Losing Trades | 0 | 5 |
Total Trades | 0 | 15 |
Max Consecutive Wins | 0 | 3 |
Max Consecutive Losses | 0 | 1 |
Avg Trade Duration | 0.0 days | 407.7 days |
Avg Winning Trade Duration | 0.0 days | 565.9 days |
Avg Losing Trade Duration | 0.0 days | 91.4 days |
Largest Winning Trade | $0.00 | $216,040.20 |
Largest Losing Trade | $0.00 | ($36,854.40) |
Largest Win as % of Net Profit | — | 26.83% |
Avg Win | $0.00 | $93,387.08 |
Avg Loss | $0.00 | ($25,720.24) |
Avg Win / Loss Ratio | — | 3.63 |
Avg Trade | $0.00 | $53,684.64 |
Avg Win % | 0.00% | 29.42% |
Avg Loss % | 0.00% | (4.64%) |
Avg Trade % | 0.00% | 18.07% |
Avg Risk % | 0.00% | (99.55%) |
Avg Trades Per Year | 0.00 | 0.67 |
Avg Trades Per Month | 0.00 | 0.06 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 59.9% | 73.6% |
Losing Months % | 40.1% | 26.4% |
Winning Months | 161 | 198 |
Losing Months | 108 | 71 |
Total Months | 269 | 269 |
Max Consecutive Winning Months | 11 | 18 |
Max Consecutive Losing Months | 6 | 3 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 82.6% | 65.2% |
Losing Years % | 17.4% | 34.8% |
Winning Years | 19 | 15 |
Losing Years | 4 | 8 |
Total Years | 23 | 23 |
Max Consecutive Winning Years | 9 | 7 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 65.2% | 71.2% |
Rolling 6-Month Win Rate | 68.9% | 72.7% |
Rolling 12-Month Win Rate | 77.5% | 79.5% |
Rolling 3-Year Win Rate | 95.2% | 95.2% |
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 |