| 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 | $107,141.57 |
| CAGR % | 9.28% | 0.28% |
| Max % Drawdown | (44.61%) | (42.03%) |
| Standard Deviation | 4.63% | 2.33% |
| Annualized Sharpe | 0.45 | (0.29) |
| MAR Ratio | 0.21 | 0.01 |
| Win Rate % | 0.0% | 77.3% |
| Avg Win / Loss Ratio | — | 0.33 |
| Expectancy | — | $0.02 |
| Avg Win % | 0.00% | 0.99% |
| Avg Loss % | 0.00% | (2.82%) |
| Longest Drawdown Duration | 106.5 months | 278.8 months |
| Avg Trades Per Year | 0.00 | 3.89 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $914,970.85 | $107,141.57 |
| Open Equity | $814,867.20 | $594.15 |
| Gross Profit | $0.00 | $66,233.45 |
| Gross Loss | $0.00 | ($59,686.04) |
| Net Profit | $0.00 | $6,547.42 |
| Net Long Profit | $0.00 | $6,547.42 |
| 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 | $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 | 1,814.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.21 | 0.01 |
| Calmar Ratio | 0.22 | 0.01 |
| Modified Sharpe Ratio | 0.63 | 0.08 |
| Robust Sharpe Ratio | 0.54 | 0.03 |
| R-Squared | 0.8375 | 0.0211 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.28% | 0.28% |
| RAR | 8.68% | 0.20% |
| Profit Factor | 0.00 | 1.11 |
| Percent Profit Factor | 0.00 | 1.19 |
| Expectancy | — | $0.02 |
| Percentage Expectancy | 0.00 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (44.61%) | (42.03%) |
| Longest Drawdown Duration | 106.5 months | 278.8 months |
| Max Monthly % Drawdown | (41.43%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (27.21%) | (9.14%) |
| Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 57.6 months |
| Avg of All % Drawdowns | (3.16%) | (2.74%) |
| Std Dev of All % Drawdowns | 6.10% | 10.13% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (29.59%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 77.3% |
| Lose Rate % | 0.0% | 22.7% |
| Winning Trades | 0 | 75 |
| Losing Trades | 0 | 22 |
| Total Trades | 0 | 97 |
| Max Consecutive Wins | 0 | 13 |
| Max Consecutive Losses | 0 | 4 |
| Avg Trade Duration | 0.0 days | 141.9 days |
| Avg Winning Trade Duration | 0.0 days | 83.4 days |
| Avg Losing Trade Duration | 0.0 days | 341.3 days |
| Largest Winning Trade | $0.00 | $3,296.90 |
| Largest Losing Trade | $0.00 | ($7,363.83) |
| Largest Win as % of Net Profit | — | 50.35% |
| Avg Win | $0.00 | $883.11 |
| Avg Loss | $0.00 | ($2,713.00) |
| Avg Win / Loss Ratio | — | 0.33 |
| Avg Trade | $0.00 | $67.50 |
| Avg Win % | 0.00% | 0.99% |
| Avg Loss % | 0.00% | (2.82%) |
| Avg Trade % | 0.00% | 0.12% |
| Avg Risk % | 0.00% | (18.97%) |
| Avg Trades Per Year | 0.00 | 3.89 |
| Avg Trades Per Month | 0.00 | 0.32 |
| 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 | 23 |
| Max Consecutive Losing Months | 7 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 72.0% | 60.0% |
| Losing Years % | 28.0% | 40.0% |
| Winning Years | 18 | 15 |
| Losing Years | 7 | 10 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 12 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 61.7% | 68.1% |
| Rolling 6-Month Win Rate | 68.5% | 68.8% |
| Rolling 12-Month Win Rate | 71.6% | 61.9% |
| Rolling 3-Year Win Rate | 82.6% | 69.6% |
| Rolling 5-Year Win Rate | 85.7% | 61.9% |
| Rolling 10-Year Win Rate | 100.0% | 43.8% |
| 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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