Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2024-04-19 | 2024-04-19 |
Time Elapsed | 24 years, 3 months | 24 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $202,832.15 | $489,797.08 |
CAGR % | 2.95% | 6.76% |
Max % Drawdown | (12.72%) | (10.05%) |
Standard Deviation | 1.08% | 1.93% |
Annualized Sharpe | 0.01 | 0.57 |
MAR Ratio | 0.23 | 0.67 |
Win Rate % | 0.0% | 51.1% |
Avg Win / Loss Ratio | — | 3.11 |
Expectancy | — | $1.10 |
Avg Win % | 0.00% | 4.42% |
Avg Loss % | 0.00% | (1.02%) |
Longest Drawdown Duration | 44.5 months | 28.1 months |
Avg Trades Per Year | 0.00 | 3.87 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $202,832.15 | $489,797.08 |
Open Equity | $102,832.15 | $28,075.52 |
Gross Profit | $0.00 | $484,561.20 |
Gross Loss | $0.00 | ($149,474.86) |
Net Profit | $0.00 | $335,086.35 |
Net Long Profit | $0.00 | $335,086.35 |
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 | $26,635.21 |
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 | 3,917.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.23 | 0.67 |
Calmar Ratio | 0.25 | 0.74 |
Modified Sharpe Ratio | 0.80 | 1.01 |
Robust Sharpe Ratio | 0.74 | 0.96 |
R-Squared | 0.8737 | 0.9460 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 2.95% | 6.76% |
RAR | 2.76% | 6.42% |
Profit Factor | 0.00 | 3.24 |
Percent Profit Factor | 0.00 | 4.53 |
Expectancy | — | $1.10 |
Percentage Expectancy | 0.00 | 0.43 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (12.72%) | (10.05%) |
Longest Drawdown Duration | 44.5 months | 28.1 months |
Max Monthly % Drawdown | (11.84%) | (9.11%) |
Avg of Top-5 Max % Drawdowns | (6.72%) | (9.49%) |
Avg Duration of Top-5 Longest Drawdowns | 27.5 months | 23.3 months |
Avg of All % Drawdowns | (0.61%) | (1.03%) |
Std Dev of All % Drawdowns | 0.93% | 1.72% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (8.74%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (8.74%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (2.91%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.60% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 51.1% |
Lose Rate % | 0.0% | 48.9% |
Winning Trades | 0 | 48 |
Losing Trades | 0 | 46 |
Total Trades | 0 | 94 |
Max Consecutive Wins | 0 | 9 |
Max Consecutive Losses | 0 | 8 |
Avg Trade Duration | 0.0 days | 317.6 days |
Avg Winning Trade Duration | 0.0 days | 541.3 days |
Avg Losing Trade Duration | 0.0 days | 84.1 days |
Largest Winning Trade | $0.00 | $61,124.70 |
Largest Losing Trade | $0.00 | ($8,254.00) |
Largest Win as % of Net Profit | — | 18.24% |
Avg Win | $0.00 | $10,095.03 |
Avg Loss | $0.00 | ($3,249.45) |
Avg Win / Loss Ratio | — | 3.11 |
Avg Trade | $0.00 | $3,564.75 |
Avg Win % | 0.00% | 4.42% |
Avg Loss % | 0.00% | (1.02%) |
Avg Trade % | 0.00% | 1.76% |
Avg Risk % | 0.00% | (4.09%) |
Avg Trades Per Year | 0.00 | 3.87 |
Avg Trades Per Month | 0.00 | 0.32 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 58.9% | 68.2% |
Losing Months % | 41.1% | 31.8% |
Winning Months | 172 | 199 |
Losing Months | 120 | 93 |
Total Months | 292 | 292 |
Max Consecutive Winning Months | 11 | 12 |
Max Consecutive Losing Months | 6 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 80.0% | 80.0% |
Losing Years % | 20.0% | 20.0% |
Winning Years | 20 | 20 |
Losing Years | 5 | 5 |
Total Years | 25 | 25 |
Max Consecutive Winning Years | 9 | 8 |
Max Consecutive Losing Years | 2 | 2 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 63.4% | 68.6% |
Rolling 6-Month Win Rate | 66.9% | 73.9% |
Rolling 12-Month Win Rate | 74.4% | 80.4% |
Rolling 3-Year Win Rate | 87.0% | 100.0% |
Rolling 5-Year Win Rate | 95.2% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 290 | 290 |
Rolling 6-Month Periods | 287 | 287 |
Rolling 12-Month Periods | 281 | 281 |
Rolling 3-Year Periods | 23 | 23 |
Rolling 5-Year Periods | 21 | 21 |
Rolling 10-Year Periods | 16 | 16 |