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 | $262,583.21 |
CAGR % | 3.21% | 4.41% |
Max % Drawdown | (9.10%) | (14.46%) |
Standard Deviation | 1.04% | 1.75% |
Annualized Sharpe | 0.07 | 0.25 |
MAR Ratio | 0.35 | 0.30 |
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 | 32.4 months | 34.1 months |
Avg Trades Per Year | 0.00 | 0.00 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $202,635.16 | $262,583.21 |
Open Equity | $102,635.16 | $162,583.21 |
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 | 0.35 | 0.30 |
Calmar Ratio | 0.37 | 0.34 |
Modified Sharpe Ratio | 0.89 | 0.74 |
Robust Sharpe Ratio | 0.86 | 0.73 |
R-Squared | 0.9116 | 0.9513 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 3.21% | 4.41% |
RAR | 3.09% | 4.44% |
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 | (9.10%) | (14.46%) |
Longest Drawdown Duration | 32.4 months | 34.1 months |
Max Monthly % Drawdown | (8.61%) | (12.97%) |
Avg of Top-5 Max % Drawdowns | (6.00%) | (10.16%) |
Avg Duration of Top-5 Longest Drawdowns | 22.9 months | 24.3 months |
Avg of All % Drawdowns | (0.61%) | (1.40%) |
Std Dev of All % Drawdowns | 0.93% | 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 % | 59.9% | 58.0% |
Losing Months % | 40.1% | 42.0% |
Winning Months | 161 | 156 |
Losing Months | 108 | 113 |
Total Months | 269 | 269 |
Max Consecutive Winning Months | 11 | 8 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 82.6% | 82.6% |
Losing Years % | 17.4% | 17.4% |
Winning Years | 19 | 19 |
Losing Years | 4 | 4 |
Total Years | 23 | 23 |
Max Consecutive Winning Years | 9 | 9 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 65.2% | 63.7% |
Rolling 6-Month Win Rate | 68.9% | 67.8% |
Rolling 12-Month Win Rate | 77.5% | 76.0% |
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 |