| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-12-13 | 2024-12-13 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $651,502.22 | $309,355.25 |
| CAGR % | 7.80% | 4.63% |
| Max % Drawdown | (54.82%) | (14.87%) |
| Standard Deviation | 4.38% | 1.43% |
| Annualized Sharpe | 0.38 | 0.34 |
| MAR Ratio | 0.14 | 0.31 |
| Win Rate % | 0.0% | 68.8% |
| Avg Win / Loss Ratio | — | 2.10 |
| Expectancy | — | $1.13 |
| Avg Win % | 0.00% | 11.80% |
| Avg Loss % | 0.00% | (3.22%) |
| Longest Drawdown Duration | 73.5 months | 47.3 months |
| Avg Trades Per Year | 0.00 | 0.64 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $651,502.22 | $309,355.25 |
| Open Equity | $551,502.22 | $18,412.59 |
| Gross Profit | $0.00 | $221,289.47 |
| Gross Loss | $0.00 | ($47,865.59) |
| Net Profit | $0.00 | $173,423.88 |
| Net Long Profit | $0.00 | $173,423.88 |
| 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 | $0.00 | $17,518.78 |
| 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 | 12,205.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.14 | 0.31 |
| Calmar Ratio | 0.15 | 0.34 |
| Modified Sharpe Ratio | 0.57 | 0.94 |
| Robust Sharpe Ratio | 0.58 | 1.02 |
| R-Squared | 0.8775 | 0.9413 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.80% | 4.63% |
| RAR | 8.84% | 5.04% |
| Profit Factor | 0.00 | 4.62 |
| Percent Profit Factor | 0.00 | 8.05 |
| Expectancy | — | $1.13 |
| Percentage Expectancy | 0.00 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (54.82%) | (14.87%) |
| Longest Drawdown Duration | 73.5 months | 47.3 months |
| Max Monthly % Drawdown | (50.54%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (35.85%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 33.2 months | 22.9 months |
| Avg of All % Drawdowns | (1.93%) | (0.88%) |
| Std Dev of All % Drawdowns | 5.38% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (10.14%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (6.18%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.47% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 68.8% |
| Lose Rate % | 0.0% | 31.2% |
| Winning Trades | 0 | 11 |
| Losing Trades | 0 | 5 |
| Total Trades | 0 | 16 |
| Max Consecutive Wins | 0 | 5 |
| Max Consecutive Losses | 0 | 3 |
| Avg Trade Duration | 0.0 days | 417.7 days |
| Avg Winning Trade Duration | 0.0 days | 555.5 days |
| Avg Losing Trade Duration | 0.0 days | 114.6 days |
| Largest Winning Trade | $0.00 | $85,604.87 |
| Largest Losing Trade | $0.00 | ($15,771.66) |
| Largest Win as % of Net Profit | — | 49.36% |
| Avg Win | $0.00 | $20,117.22 |
| Avg Loss | $0.00 | ($9,573.12) |
| Avg Win / Loss Ratio | — | 2.10 |
| Avg Trade | $0.00 | $10,838.99 |
| Avg Win % | 0.00% | 11.80% |
| Avg Loss % | 0.00% | (3.22%) |
| Avg Trade % | 0.00% | 7.10% |
| Avg Risk % | 0.00% | (99.94%) |
| Avg Trades Per Year | 0.00 | 0.64 |
| Avg Trades Per Month | 0.00 | 0.05 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.0% | 69.3% |
| Losing Months % | 35.0% | 30.7% |
| Winning Months | 195 | 208 |
| Losing Months | 105 | 92 |
| Total Months | 300 | 300 |
| Max Consecutive Winning Months | 15 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.0% | 72.0% |
| Losing Years % | 24.0% | 28.0% |
| Winning Years | 19 | 18 |
| Losing Years | 6 | 7 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 9 | 7 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.1% | 69.8% |
| Rolling 6-Month Win Rate | 72.2% | 70.5% |
| Rolling 12-Month Win Rate | 76.5% | 74.7% |
| Rolling 3-Year Win Rate | 78.3% | 91.3% |
| Rolling 5-Year Win Rate | 85.7% | 95.2% |
| Rolling 10-Year Win Rate | 93.8% | 100.0% |
| Rolling 3-Month Periods | 298 | 298 |
| Rolling 6-Month Periods | 295 | 295 |
| Rolling 12-Month Periods | 289 | 289 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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