| 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 | $539,735.10 |
| CAGR % | 3.21% | 7.83% |
| Max % Drawdown | (9.10%) | (21.49%) |
| Standard Deviation | 1.04% | 2.92% |
| Annualized Sharpe | 0.07 | 0.50 |
| MAR Ratio | 0.35 | 0.36 |
| Win Rate % | 0.0% | 60.0% |
| Avg Win / Loss Ratio | — | 2.65 |
| Expectancy | — | $1.19 |
| Avg Win % | 0.00% | 26.51% |
| Avg Loss % | 0.00% | (6.32%) |
| Longest Drawdown Duration | 32.4 months | 32.9 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 | $539,735.10 |
| Open Equity | $102,635.16 | $0.00 |
| Gross Profit | $0.00 | $573,198.65 |
| Gross Loss | $0.00 | ($144,164.79) |
| Net Profit | $0.00 | $429,033.86 |
| Net Long Profit | $0.00 | $429,033.86 |
| 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 | $10,701.24 |
| 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 | 1,214.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.35 | 0.36 |
| Calmar Ratio | 0.37 | 0.43 |
| Modified Sharpe Ratio | 0.89 | 0.80 |
| Robust Sharpe Ratio | 0.86 | 0.85 |
| R-Squared | 0.9116 | 0.9784 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 3.21% | 7.83% |
| RAR | 3.09% | 8.56% |
| Profit Factor | 0.00 | 3.98 |
| Percent Profit Factor | 0.00 | 6.29 |
| Expectancy | — | $1.19 |
| Percentage Expectancy | 0.00 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (9.10%) | (21.49%) |
| Longest Drawdown Duration | 32.4 months | 32.9 months |
| Max Monthly % Drawdown | (8.61%) | (18.20%) |
| Avg of Top-5 Max % Drawdowns | (6.00%) | (16.99%) |
| Avg Duration of Top-5 Longest Drawdowns | 22.9 months | 25.5 months |
| Avg of All % Drawdowns | (0.61%) | (1.59%) |
| Std Dev of All % Drawdowns | 0.93% | 2.71% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (11.84%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (11.74%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (8.25%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 3.22% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 60.0% |
| Lose Rate % | 0.0% | 40.0% |
| Winning Trades | 0 | 9 |
| Losing Trades | 0 | 6 |
| Total Trades | 0 | 15 |
| Max Consecutive Wins | 0 | 3 |
| Max Consecutive Losses | 0 | 2 |
| Avg Trade Duration | 0.0 days | 402.1 days |
| Avg Winning Trade Duration | 0.0 days | 636.2 days |
| Avg Losing Trade Duration | 0.0 days | 51.0 days |
| Largest Winning Trade | $0.00 | $188,616.32 |
| Largest Losing Trade | $0.00 | ($52,117.18) |
| Largest Win as % of Net Profit | — | 43.96% |
| Avg Win | $0.00 | $63,688.74 |
| Avg Loss | $0.00 | ($24,027.46) |
| Avg Win / Loss Ratio | — | 2.65 |
| Avg Trade | $0.00 | $28,602.26 |
| Avg Win % | 0.00% | 26.51% |
| Avg Loss % | 0.00% | (6.32%) |
| Avg Trade % | 0.00% | 13.38% |
| Avg Risk % | 0.00% | (99.31%) |
| 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% | 75.1% |
| Losing Months % | 40.1% | 24.9% |
| Winning Months | 161 | 202 |
| Losing Months | 108 | 67 |
| Total Months | 269 | 269 |
| Max Consecutive Winning Months | 11 | 21 |
| Max Consecutive Losing Months | 6 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 82.6% | 73.9% |
| Losing Years % | 17.4% | 26.1% |
| Winning Years | 19 | 17 |
| Losing Years | 4 | 6 |
| 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% | 75.3% |
| Rolling 6-Month Win Rate | 68.9% | 77.7% |
| Rolling 12-Month Win Rate | 77.5% | 76.4% |
| 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 |
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