| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-08-08 | 2025-08-08 |
| Time Elapsed | 25 years, 7 months | 25 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $953,067.55 | $220,869.28 |
| CAGR % | 9.21% | 3.14% |
| Max % Drawdown | (74.94%) | (12.72%) |
| Standard Deviation | 6.08% | 1.08% |
| Annualized Sharpe | 0.39 | 0.05 |
| MAR Ratio | 0.12 | 0.25 |
| Win Rate % | 0.0% | 0.0% |
| Avg Win / Loss Ratio | — | — |
| Expectancy | — | — |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Longest Drawdown Duration | 73.8 months | 59.8 months |
| Avg Trades Per Year | 0.00 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $953,067.55 | $220,869.28 |
| Open Equity | $852,554.51 | $120,869.28 |
| Gross Profit | $0.00 | $0.00 |
| Gross Loss | $0.00 | $0.00 |
| Net Profit | $0.00 | $0.00 |
| Net Long Profit | $0.00 | $0.00 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | — | — |
| Net Short Profit as % of Net Profit | — | — |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $513.04 | $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 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.12 | 0.25 |
| Calmar Ratio | 0.13 | 0.27 |
| Modified Sharpe Ratio | 0.53 | 0.85 |
| Robust Sharpe Ratio | 0.40 | 0.70 |
| R-Squared | 0.8856 | 0.8689 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.21% | 3.14% |
| RAR | 8.43% | 2.63% |
| Profit Factor | 0.00 | 0.00 |
| Percent Profit Factor | 0.00 | 0.00 |
| Expectancy | — | — |
| Percentage Expectancy | 0.00 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (74.94%) | (12.72%) |
| Longest Drawdown Duration | 73.8 months | 59.8 months |
| Max Monthly % Drawdown | (70.33%) | (11.84%) |
| Avg of Top-5 Max % Drawdowns | (37.87%) | (6.72%) |
| Avg Duration of Top-5 Longest Drawdowns | 33.9 months | 30.6 months |
| Avg of All % Drawdowns | (3.11%) | (0.67%) |
| Std Dev of All % Drawdowns | 7.70% | 1.24% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | 0.00% |
| Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
| Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 0.0% |
| Lose Rate % | 0.0% | 0.0% |
| Winning Trades | 0 | 0 |
| Losing Trades | 0 | 0 |
| Total Trades | 0 | 0 |
| Max Consecutive Wins | 0 | 0 |
| Max Consecutive Losses | 0 | 0 |
| Avg Trade Duration | 0.0 days | 0.0 days |
| Avg Winning Trade Duration | 0.0 days | 0.0 days |
| Avg Losing Trade Duration | 0.0 days | 0.0 days |
| Largest Winning Trade | $0.00 | $0.00 |
| Largest Losing Trade | $0.00 | $0.00 |
| Largest Win as % of Net Profit | — | — |
| Avg Win | $0.00 | $0.00 |
| Avg Loss | $0.00 | $0.00 |
| Avg Win / Loss Ratio | — | — |
| Avg Trade | $0.00 | $0.00 |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Avg Trade % | 0.00% | 0.00% |
| Avg Risk % | 0.00% | 0.00% |
| Avg Trades Per Year | 0.00 | 0.00 |
| Avg Trades Per Month | 0.00 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 61.4% | 59.7% |
| Losing Months % | 38.6% | 40.3% |
| Winning Months | 189 | 184 |
| Losing Months | 119 | 124 |
| Total Months | 308 | 308 |
| Max Consecutive Winning Months | 14 | 11 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 84.6% |
| Losing Years % | 23.1% | 15.4% |
| Winning Years | 20 | 22 |
| Losing Years | 6 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 9 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 65.0% | 64.7% |
| Rolling 6-Month Win Rate | 70.3% | 68.6% |
| Rolling 12-Month Win Rate | 76.8% | 75.8% |
| Rolling 3-Year Win Rate | 83.3% | 87.5% |
| Rolling 5-Year Win Rate | 86.4% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 306 | 306 |
| Rolling 6-Month Periods | 303 | 303 |
| Rolling 12-Month Periods | 297 | 297 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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