| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-05-30 | 2025-05-30 |
| Time Elapsed | 25 years, 5 months | 25 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,131,437.28 | $525,883.95 |
| CAGR % | 10.02% | 6.75% |
| Max % Drawdown | (44.61%) | (10.05%) |
| Standard Deviation | 4.64% | 1.93% |
| Annualized Sharpe | 0.49 | 0.57 |
| MAR Ratio | 0.22 | 0.67 |
| Win Rate % | 0.0% | 52.0% |
| Avg Win / Loss Ratio | — | 3.16 |
| Expectancy | — | $1.16 |
| Avg Win % | 0.00% | 4.26% |
| Avg Loss % | 0.00% | (1.00%) |
| Longest Drawdown Duration | 106.5 months | 28.1 months |
| Avg Trades Per Year | 0.00 | 3.94 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,131,437.28 | $525,883.95 |
| Open Equity | $1,031,329.20 | $20,576.94 |
| Gross Profit | $0.00 | $529,274.92 |
| Gross Loss | $0.00 | ($154,744.72) |
| Net Profit | $0.00 | $374,530.20 |
| Net Long Profit | $0.00 | $374,530.20 |
| 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 | $108.08 | $30,776.81 |
| 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 | 4,012.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.22 | 0.67 |
| Calmar Ratio | 0.24 | 0.74 |
| Modified Sharpe Ratio | 0.68 | 1.02 |
| Robust Sharpe Ratio | 0.54 | 0.95 |
| R-Squared | 0.8455 | 0.9502 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 10.02% | 6.75% |
| RAR | 8.72% | 6.34% |
| Profit Factor | 0.00 | 3.42 |
| Percent Profit Factor | 0.00 | 4.63 |
| Expectancy | — | $1.16 |
| Percentage Expectancy | 0.00 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (44.61%) | (10.05%) |
| Longest Drawdown Duration | 106.5 months | 28.1 months |
| Max Monthly % Drawdown | (41.43%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (27.21%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 23.8 months |
| Avg of All % Drawdowns | (3.06%) | (1.06%) |
| Std Dev of All % Drawdowns | 5.88% | 1.78% |
| 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% | (2.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 52.0% |
| Lose Rate % | 0.0% | 48.0% |
| Winning Trades | 0 | 52 |
| Losing Trades | 0 | 48 |
| Total Trades | 0 | 100 |
| Max Consecutive Wins | 0 | 9 |
| Max Consecutive Losses | 0 | 8 |
| Avg Trade Duration | 0.0 days | 314.9 days |
| Avg Winning Trade Duration | 0.0 days | 526.0 days |
| Avg Losing Trade Duration | 0.0 days | 86.2 days |
| Largest Winning Trade | $0.00 | $61,124.70 |
| Largest Losing Trade | $0.00 | ($8,254.00) |
| Largest Win as % of Net Profit | — | 16.32% |
| Avg Win | $0.00 | $10,178.36 |
| Avg Loss | $0.00 | ($3,223.85) |
| Avg Win / Loss Ratio | — | 3.16 |
| Avg Trade | $0.00 | $3,745.30 |
| Avg Win % | 0.00% | 4.26% |
| Avg Loss % | 0.00% | (1.00%) |
| Avg Trade % | 0.00% | 1.74% |
| Avg Risk % | 0.00% | (4.11%) |
| Avg Trades Per Year | 0.00 | 3.94 |
| Avg Trades Per Month | 0.00 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 58.0% | 68.2% |
| Losing Months % | 42.0% | 31.8% |
| Winning Months | 177 | 208 |
| Losing Months | 128 | 97 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 6 | 12 |
| Max Consecutive Losing Months | 7 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 80.8% |
| Losing Years % | 26.9% | 19.2% |
| Winning Years | 19 | 21 |
| Losing Years | 7 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 12 | 8 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 62.0% | 68.6% |
| Rolling 6-Month Win Rate | 69.0% | 74.3% |
| Rolling 12-Month Win Rate | 72.1% | 81.3% |
| Rolling 3-Year Win Rate | 83.3% | 100.0% |
| Rolling 5-Year Win Rate | 86.4% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 303 | 303 |
| Rolling 6-Month Periods | 300 | 300 |
| Rolling 12-Month Periods | 294 | 294 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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