| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $975,144.67 | $196,217.42 |
| CAGR % | 9.54% | 2.73% |
| Max % Drawdown | (33.73%) | (28.42%) |
| Standard Deviation | 3.45% | 1.45% |
| Annualized Sharpe | 0.57 | (0.03) |
| MAR Ratio | 0.28 | 0.10 |
| Win Rate % | 54.8% | 0.0% |
| Avg Win / Loss Ratio | 2.64 | — |
| Expectancy | $0.00 | — |
| Avg Win % | 19.22% | 0.00% |
| Avg Loss % | (3.99%) | 0.00% |
| Longest Drawdown Duration | 36.7 months | 57.8 months |
| Avg Trades Per Year | 1.24 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $975,144.67 | $196,217.42 |
| Open Equity | $235,699.62 | $96,217.42 |
| Gross Profit | $927,259.98 | $0.00 |
| Gross Loss | ($288,990.67) | $0.00 |
| Net Profit | $638,269.31 | $0.00 |
| Net Long Profit | $638,269.31 | $0.00 |
| 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 | $1,175.75 | $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 | 9,127.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.28 | 0.10 |
| Calmar Ratio | 0.43 | 0.10 |
| Modified Sharpe Ratio | 0.82 | 0.56 |
| Robust Sharpe Ratio | 0.80 | 0.62 |
| R-Squared | 0.9529 | 0.7854 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.54% | 2.73% |
| RAR | 9.55% | 3.14% |
| Profit Factor | 3.21 | 0.00 |
| Percent Profit Factor | 5.84 | 0.00 |
| Expectancy | $0.00 | — |
| Percentage Expectancy | 0.09 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (28.42%) |
| Longest Drawdown Duration | 36.7 months | 57.8 months |
| Max Monthly % Drawdown | (22.15%) | (26.56%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (10.68%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 23.8 months |
| Avg of All % Drawdowns | (2.01%) | (0.55%) |
| Std Dev of All % Drawdowns | 4.24% | 1.01% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (9.46%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 4.54% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 54.8% | 0.0% |
| Lose Rate % | 45.2% | 0.0% |
| Winning Trades | 17 | 0 |
| Losing Trades | 14 | 0 |
| Total Trades | 31 | 0 |
| Max Consecutive Wins | 4 | 0 |
| Max Consecutive Losses | 3 | 0 |
| Avg Trade Duration | 280.8 days | 0.0 days |
| Avg Winning Trade Duration | 382.8 days | 0.0 days |
| Avg Losing Trade Duration | 156.9 days | 0.0 days |
| Largest Winning Trade | $255,900.48 | $0.00 |
| Largest Losing Trade | ($51,833.25) | $0.00 |
| Largest Win as % of Net Profit | 40.09% | — |
| Avg Win | $54,544.70 | $0.00 |
| Avg Loss | ($20,642.19) | $0.00 |
| Avg Win / Loss Ratio | 2.64 | — |
| Avg Trade | $20,589.33 | $0.00 |
| Avg Win % | 19.22% | 0.00% |
| Avg Loss % | (3.99%) | 0.00% |
| Avg Trade % | 8.73% | 0.00% |
| Avg Risk % | (99.51%) | 0.00% |
| Avg Trades Per Year | 1.24 | 0.00 |
| Avg Trades Per Month | 0.10 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 63.8% |
| Losing Months % | 34.2% | 36.2% |
| Winning Months | 198 | 192 |
| Losing Months | 103 | 109 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 15 | 15 |
| Max Consecutive Losing Months | 5 | 7 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 76.9% |
| Losing Years % | 19.2% | 23.1% |
| Winning Years | 21 | 20 |
| Losing Years | 5 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 13 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 69.9% |
| Rolling 6-Month Win Rate | 72.6% | 74.0% |
| Rolling 12-Month Win Rate | 76.2% | 79.0% |
| Rolling 3-Year Win Rate | 100.0% | 87.5% |
| Rolling 5-Year Win Rate | 100.0% | 81.8% |
| Rolling 10-Year Win Rate | 100.0% | 82.4% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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