| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-01 | 2026-05-01 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,136,405.03 | $477,824.58 |
| CAGR % | 9.67% | 6.12% |
| Max % Drawdown | (74.94%) | (35.30%) |
| Standard Deviation | 6.04% | 3.05% |
| Annualized Sharpe | 0.41 | 0.33 |
| MAR Ratio | 0.13 | 0.17 |
| Win Rate % | 0.0% | 76.9% |
| Avg Win / Loss Ratio | — | 1.39 |
| Expectancy | — | $0.84 |
| Avg Win % | 0.00% | 9.70% |
| Avg Loss % | 0.00% | (7.55%) |
| Longest Drawdown Duration | 73.8 months | 37.4 months |
| Avg Trades Per Year | 0.00 | 0.99 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,136,405.03 | $477,824.58 |
| Open Equity | $1,035,855.92 | $0.00 |
| Gross Profit | $0.00 | $418,473.88 |
| Gross Loss | $0.00 | ($90,465.16) |
| Net Profit | $0.00 | $328,008.72 |
| Net Long Profit | $0.00 | $328,008.72 |
| 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 | $549.11 | $49,815.87 |
| 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 | 1,460.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.13 | 0.17 |
| Calmar Ratio | 0.14 | 0.21 |
| Modified Sharpe Ratio | 0.55 | 0.61 |
| Robust Sharpe Ratio | 0.40 | 0.64 |
| R-Squared | 0.8902 | 0.9648 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.67% | 6.12% |
| RAR | 8.32% | 6.79% |
| Profit Factor | 0.00 | 4.63 |
| Percent Profit Factor | 0.00 | 4.28 |
| Expectancy | — | $0.84 |
| Percentage Expectancy | 0.00 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (74.94%) | (35.30%) |
| Longest Drawdown Duration | 73.8 months | 37.4 months |
| Max Monthly % Drawdown | (70.33%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (37.87%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 35.1 months | 25.0 months |
| Avg of All % Drawdowns | (3.28%) | (1.70%) |
| Std Dev of All % Drawdowns | 7.95% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (16.57%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (8.82%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 6.04% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 76.9% |
| Lose Rate % | 0.0% | 23.1% |
| Winning Trades | 0 | 20 |
| Losing Trades | 0 | 6 |
| Total Trades | 0 | 26 |
| Max Consecutive Wins | 0 | 10 |
| Max Consecutive Losses | 0 | 2 |
| Avg Trade Duration | 0.0 days | 181.2 days |
| Avg Winning Trade Duration | 0.0 days | 181.2 days |
| Avg Losing Trade Duration | 0.0 days | 181.2 days |
| Largest Winning Trade | $0.00 | $78,378.06 |
| Largest Losing Trade | $0.00 | ($34,858.81) |
| Largest Win as % of Net Profit | — | 23.90% |
| Avg Win | $0.00 | $20,923.69 |
| Avg Loss | $0.00 | ($15,077.53) |
| Avg Win / Loss Ratio | — | 1.39 |
| Avg Trade | $0.00 | $12,615.72 |
| Avg Win % | 0.00% | 9.70% |
| Avg Loss % | 0.00% | (7.55%) |
| Avg Trade % | 0.00% | 5.72% |
| Avg Risk % | 0.00% | (98.97%) |
| Avg Trades Per Year | 0.00 | 0.99 |
| Avg Trades Per Month | 0.00 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 61.5% | 81.7% |
| Losing Months % | 38.5% | 18.3% |
| Winning Months | 195 | 259 |
| Losing Months | 122 | 58 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 14 | 23 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 77.8% |
| Losing Years % | 18.5% | 22.2% |
| Winning Years | 22 | 21 |
| Losing Years | 5 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 9 | 9 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.0% | 79.4% |
| Rolling 6-Month Win Rate | 71.2% | 73.4% |
| Rolling 12-Month Win Rate | 76.8% | 77.5% |
| Rolling 3-Year Win Rate | 84.0% | 92.0% |
| Rolling 5-Year Win Rate | 87.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
© Copyright 2013 - 2026
Extrategic Investing, LLC.
All rights reserved.
