| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-12-13 | 2024-12-13 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $914,970.85 | $500,552.43 |
| CAGR % | 9.28% | 6.67% |
| Max % Drawdown | (44.61%) | (14.90%) |
| Standard Deviation | 4.63% | 1.97% |
| Annualized Sharpe | 0.45 | 0.55 |
| MAR Ratio | 0.21 | 0.45 |
| Win Rate % | 0.0% | 47.2% |
| Avg Win / Loss Ratio | — | 3.43 |
| Expectancy | — | $1.09 |
| Avg Win % | 0.00% | 4.28% |
| Avg Loss % | 0.00% | (0.93%) |
| Longest Drawdown Duration | 106.5 months | 30.5 months |
| Avg Trades Per Year | 0.00 | 4.25 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $914,970.85 | $500,552.43 |
| Open Equity | $814,867.20 | $45,962.04 |
| Gross Profit | $0.00 | $483,946.44 |
| Gross Loss | $0.00 | ($158,238.91) |
| Net Profit | $0.00 | $325,707.53 |
| Net Long Profit | $0.00 | $325,707.53 |
| 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 | $103.65 | $28,882.86 |
| 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 | 1,120.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.21 | 0.45 |
| Calmar Ratio | 0.22 | 0.62 |
| Modified Sharpe Ratio | 0.63 | 0.98 |
| Robust Sharpe Ratio | 0.54 | 0.88 |
| R-Squared | 0.8375 | 0.9378 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.28% | 6.67% |
| RAR | 8.68% | 6.00% |
| Profit Factor | 0.00 | 3.06 |
| Percent Profit Factor | 0.00 | 4.11 |
| Expectancy | — | $1.09 |
| Percentage Expectancy | 0.00 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (44.61%) | (14.90%) |
| Longest Drawdown Duration | 106.5 months | 30.5 months |
| Max Monthly % Drawdown | (41.43%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (27.21%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 24.2 months |
| Avg of All % Drawdowns | (3.16%) | (1.36%) |
| Std Dev of All % Drawdowns | 6.10% | 2.10% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (8.54%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (2.80%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 47.2% |
| Lose Rate % | 0.0% | 52.8% |
| Winning Trades | 0 | 50 |
| Losing Trades | 0 | 56 |
| Total Trades | 0 | 106 |
| Max Consecutive Wins | 0 | 6 |
| Max Consecutive Losses | 0 | 8 |
| Avg Trade Duration | 0.0 days | 284.0 days |
| Avg Winning Trade Duration | 0.0 days | 514.2 days |
| Avg Losing Trade Duration | 0.0 days | 78.4 days |
| Largest Winning Trade | $0.00 | $61,124.70 |
| Largest Losing Trade | $0.00 | ($9,079.40) |
| Largest Win as % of Net Profit | — | 18.77% |
| Avg Win | $0.00 | $9,678.93 |
| Avg Loss | $0.00 | ($2,825.69) |
| Avg Win / Loss Ratio | — | 3.43 |
| Avg Trade | $0.00 | $3,072.71 |
| Avg Win % | 0.00% | 4.28% |
| Avg Loss % | 0.00% | (0.93%) |
| Avg Trade % | 0.00% | 1.53% |
| Avg Risk % | 0.00% | (18.07%) |
| Avg Trades Per Year | 0.00 | 4.25 |
| Avg Trades Per Month | 0.00 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 57.7% | 65.7% |
| Losing Months % | 42.3% | 34.3% |
| Winning Months | 173 | 197 |
| Losing Months | 127 | 103 |
| Total Months | 300 | 300 |
| Max Consecutive Winning Months | 6 | 11 |
| Max Consecutive Losing Months | 7 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 72.0% | 84.0% |
| Losing Years % | 28.0% | 16.0% |
| Winning Years | 18 | 21 |
| Losing Years | 7 | 4 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 12 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 61.7% | 67.1% |
| Rolling 6-Month Win Rate | 68.5% | 75.3% |
| Rolling 12-Month Win Rate | 71.6% | 78.2% |
| Rolling 3-Year Win Rate | 82.6% | 100.0% |
| Rolling 5-Year Win Rate | 85.7% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 298 | 298 |
| Rolling 6-Month Periods | 295 | 295 |
| Rolling 12-Month Periods | 289 | 289 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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