| 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 | $224,716.98 |
| CAGR % | 10.02% | 3.24% |
| Max % Drawdown | (44.61%) | (60.26%) |
| Standard Deviation | 4.64% | 4.43% |
| Annualized Sharpe | 0.49 | 0.09 |
| MAR Ratio | 0.22 | 0.05 |
| Win Rate % | 0.0% | 39.3% |
| Avg Win / Loss Ratio | — | 2.27 |
| Expectancy | — | $0.28 |
| Avg Win % | 0.00% | 19.57% |
| Avg Loss % | 0.00% | (6.45%) |
| Longest Drawdown Duration | 106.5 months | 202.7 months |
| Avg Trades Per Year | 0.00 | 1.10 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,131,437.28 | $224,716.98 |
| Open Equity | $1,031,329.20 | $0.00 |
| Gross Profit | $0.00 | $303,703.87 |
| Gross Loss | $0.00 | ($206,835.83) |
| Net Profit | $0.00 | $96,868.04 |
| Net Long Profit | $0.00 | $96,868.04 |
| 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 | $27,848.94 |
| 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 | 1,264.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.22 | 0.05 |
| Calmar Ratio | 0.24 | 0.06 |
| Modified Sharpe Ratio | 0.68 | 0.28 |
| Robust Sharpe Ratio | 0.54 | 0.07 |
| R-Squared | 0.8455 | 0.1157 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 10.02% | 3.24% |
| RAR | 8.72% | 1.09% |
| Profit Factor | 0.00 | 1.47 |
| Percent Profit Factor | 0.00 | 1.96 |
| Expectancy | — | $0.28 |
| Percentage Expectancy | 0.00 | 0.04 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (44.61%) | (60.26%) |
| Longest Drawdown Duration | 106.5 months | 202.7 months |
| Max Monthly % Drawdown | (41.43%) | (58.84%) |
| Avg of Top-5 Max % Drawdowns | (27.21%) | (30.52%) |
| Avg Duration of Top-5 Longest Drawdowns | 41.7 months | 55.7 months |
| Avg of All % Drawdowns | (3.06%) | (3.67%) |
| Std Dev of All % Drawdowns | 5.88% | 5.66% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (43.60%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (43.56%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (19.00%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 17.80% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 39.3% |
| Lose Rate % | 0.0% | 60.7% |
| Winning Trades | 0 | 11 |
| Losing Trades | 0 | 17 |
| Total Trades | 0 | 28 |
| Max Consecutive Wins | 0 | 4 |
| Max Consecutive Losses | 0 | 7 |
| Avg Trade Duration | 0.0 days | 191.5 days |
| Avg Winning Trade Duration | 0.0 days | 357.3 days |
| Avg Losing Trade Duration | 0.0 days | 84.2 days |
| Largest Winning Trade | $0.00 | $106,576.40 |
| Largest Losing Trade | $0.00 | ($34,666.80) |
| Largest Win as % of Net Profit | — | 110.02% |
| Avg Win | $0.00 | $27,609.44 |
| Avg Loss | $0.00 | ($12,166.81) |
| Avg Win / Loss Ratio | — | 2.27 |
| Avg Trade | $0.00 | $3,459.57 |
| Avg Win % | 0.00% | 19.57% |
| Avg Loss % | 0.00% | (6.45%) |
| Avg Trade % | 0.00% | 3.77% |
| Avg Risk % | 0.00% | (98.65%) |
| Avg Trades Per Year | 0.00 | 1.10 |
| Avg Trades Per Month | 0.00 | 0.09 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 58.0% | 71.5% |
| Losing Months % | 42.0% | 28.5% |
| Winning Months | 177 | 218 |
| Losing Months | 128 | 87 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 6 | 22 |
| Max Consecutive Losing Months | 7 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 57.7% |
| Losing Years % | 26.9% | 42.3% |
| Winning Years | 19 | 15 |
| Losing Years | 7 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 12 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 62.0% | 63.7% |
| Rolling 6-Month Win Rate | 69.0% | 55.0% |
| Rolling 12-Month Win Rate | 72.1% | 51.4% |
| Rolling 3-Year Win Rate | 83.3% | 62.5% |
| Rolling 5-Year Win Rate | 86.4% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 52.9% |
| 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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