Benchmark

Using a basket of 76 stocks with a holding period from Jan 1, 2000 through until Dec 31, 2018. Each position is allocated $5000 of capital and commissions are $0.01 per share per trade. This is the bench mark we use to measure relative performance of all our other backtests.

Equity

Statistics

	All trades	Long trades	Short trades
Initial capital	380000.00	380000.00	380000.00
Ending capital	2876623.65	2876623.65	380000.00
Net Profit	2496623.65	2496623.65	0.00
Net Profit %	657.01%	657.01%	0.00%
Exposure %	99.64%	99.64%	0.00%
Net Risk Adjusted Return %	659.41%	659.41%	N/A
Annual Return %	10.99%	10.99%	0.00%
Risk Adjusted Return %	11.03%	11.03%	N/A
Total transaction costs	490.34	490.34	0.00
All trades	76	76 (100.00 %)	0 (0.00 %)
Avg. Profit/Loss	32850.31	32850.31	N/A
Avg. Profit/Loss %	654.99%	654.99%	N/A
Avg. Bars Held	4869.05	4869.05	N/A
Winners	69 (90.79 %)	69 (90.79 %)	0 (0.00 %)
Total Profit	2507389.21	2507389.21	0.00
Avg. Profit	36338.97	36338.97	N/A
Avg. Profit %	724.68%	724.68%	N/A
Avg. Bars Held	4867.64	4867.64	N/A
Max. Consecutive	19	19	0
Largest win	232828.97	232828.97	0.00
# bars in largest win	4883	4883	0
Losers	7 (9.21 %)	7 (9.21 %)	0 (0.00 %)
Total Loss	-10765.56	-10765.56	0.00
Avg. Loss	-1537.94	-1537.94	N/A
Avg. Loss %	-31.96%	-31.96%	N/A
Avg. Bars Held	4883.00	4883.00	N/A
Max. Consecutive	1	1	0
Largest loss	-3889.57	-3889.57	0.00
# bars in largest loss	4883	4883	0
Max. trade drawdown	-205771.04	-205771.04	0.00
Max. trade % drawdown	-98.27	-98.27	0.00
Max. system drawdown	-722893.03	-722893.03	0.00
Max. system % drawdown	-46.36%	-46.36%	0.00%
Recovery Factor	3.45	3.45	N/A
CAR/MaxDD	0.24	0.24	N/A
RAR/MaxDD	0.24	0.24	N/A
Profit Factor	232.91	232.91	N/A
Payoff Ratio	23.63	23.63	N/A
Standard Error	313076.62	313076.62	0.00
Risk-Reward Ratio	0.42	0.42	N/A
Ulcer Index	11.01	11.01	0.00
Ulcer Performance Index	0.51	0.51	N/A
Sharpe Ratio of trades	0.12	0.12	0.00
K-Ratio	0.03	0.03	N/A

Drawdowns

Conclusion

Just under a 12% annualized return which is quite good considering the testing period includes the dot com bubble bursting, the following bear market, the financial crisis and a few minor events.