Trading Performance |
|
CAGR % | 87.20% |
MAR Ratio | 2.34 |
RAR % | 92.22% |
R-Cubed | 4.50 |
Robust Sharpe Ratio | 1.97 |
|
Margin to Equity Ratio | 57.47% |
Daily Return % | 0.2746% |
Daily Geometric Return % | 0.1718% |
Daily Standard Deviation % | 2.62% |
Daily Downside Deviation % | 1.56% |
Daily Sharpe | 0.102 |
Daily Geo Sharpe | 0.062 |
Daily Sortino | 0.170 |
|
Modified Sharpe Ratio | 1.58 |
Annual Sharpe Ratio | 0.76 |
Annual Sortino Ratio | + ∞ |
Monthly Sharpe Ratio | 0.44 |
Monthly Sortino Ratio | 1.15 |
Calmar Ratio | 3.09 |
R-Squared | 0.990 |
|
Maximum Total Equity Drawdown % | 37.31% |
Longest Total Equity Drawdown (months) | 14.26 |
Average Max TE Drawdown % | 33.41% |
Average Max TE Drawdown Length (months) | 10.30 |
Maximum Monthly Total Equity Drawdown % | 28.26% |
Maximum Monthly Closed Equity Drawdown % | 32.48% |
Maximum Closed Equity Drawdown % | 35.34% |
Average Closed Equity Drawdown % | 5.78% |
|
Round Turns Per Million | 7,280 |
Round Turns | 1,986,026,685 |
Total Trades | 7,740 |
|
Start Account Balance | 50,000.00 |
Total Win Dollars | 1,171,926,970,368.43 |
Total Loss Dollars | 816,368,524,310.50 |
Total Profit | 355,558,446,057.93 |
Earned Interest | 0.00 |
Margin Interest | 0.00 |
End Account Balance | 355,558,496,057.93 |
End Open Equity | 0.00 |
End Total Equity | 355,558,496,057.93 |
|
Highest Total Equity | 377,176,184,642.46 |
Highest Closed Equity | 355,736,294,507.93 |
|
Total Commissions | 0.00 |
Commission per Round Turn | 0.00 |
Total Slippage | 78,053,027,251.67 |
Slippage per Round Turn | 39.30 |
Total Forex Carry | 0.00 |
Total Dividends | 0.00 |
Total Other Expenses | 0.00 |
| |
Monte Carlo Confidence Level Statistics |
|
90% Return | 68.99% |
90% Sharpe | 0.05 |
90% MAR | 1.40 |
90% R Squared | 0.971 |
90% Maximum Drawdown | 53.48% |
90% Second Largest Drawdown | 45.02% |
90% Third Largest Drawdown | 40.91% |
90% Longest Drawdown | 30.7 |
90% Second Longest Drawdown | 20.2 |
90% Third Longest Drawdown | 15.6 |
| |
Test Period |
|
First Test Date | 1990-01-01 |
Last Test Date | 2015-03-02 |
| |
| |
Win/Loss Statistics |
|
Wins | 3042 | 39.3% |
Losses | 4698 | 60.7% |
|
Total | 7740 | 100.0% |
|
Winning Months | 200 | 66.0% |
Losing Months | 103 | 34.0% |
|
Total | 303 | 100.0% |
|
Average Risk Percent | 1.28% |
Average Win Percent | 2.09% |
Average Loss Percent | 0.96% |
Average Win Dollars | 385,248,839.70 |
Average Loss Dollars | 173,769,375.12 |
Average Trade Percent | 0.24% |
Average Trade Duration | 10.22 |
Average Trade Dollars | 45,937,783.73 |
|
Profit Factor | 1.44 |
Percent Profit Factor | 1.41 |
Expectation | 0.18 |
| | |
Equity Management |
|
|
Test Starting Equity | 50,000.00 |
Order Generation Equity | 0.00 |
Order Generation Equity High | 0.00 |
Leverage (fraction) | 1.00 |
Trading Equity Base | Total Equity |
Drawdown Reduction Threshold (%) | 0.00% |
Drawdown Reduction Amount (%) | 0.00% |
| |
Global Simulation Parameters |
|
Earn Interest | FALSE |
Earn Dividends | TRUE |
Pay Margin on Stocks | TRUE |
Commission per Stock Trade | 0.00 |
Commission per Stock Share | 0.00 |
Commission per Contract | 0.00 |
Commission by Stock Value (%) | 0.00% |
Slippage Percent | 5.00% |
Minimum Slippage | 0.00 |
Forex Trade Size | 1,000.00 |
Account for Forex Carry | TRUE |
Use Pip Based Slippage | FALSE |
|
Account for Contract Rolls | TRUE |
Roll Slippage in % of ATR | 5.00% |
|
Minimum Stock Volume | 0 |
Minimum Futures Volume | 0 |
Max Percent Volume Per Trade | 0.00% |
Entry Day Retracement | 0.00% |
Max Margin Equity | 0.00% |
Trade on Lock Days | FALSE |
Convert Profit by Stock Split | TRUE |
Trade Always on Tick | TRUE |
Smart Fill Exit | TRUE |
Use Start Date Stepping | FALSE |
Use Broker Positions | FALSE |
| |
Preferences |
|
Risk Free Rate | 3.00% |
Load Volume | TRUE |
Load Unadjusted Close | TRUE |
Raise Negative Data | FALSE |
Process Weekly Bars | TRUE |
Process Monthly Bars | TRUE |
Process Daily Bars | TRUE |
Process Weekends | TRUE |
Additional Years of Data | 5.00 |
| |
| |