| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-21 | 2025-04-21 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $558,030.80 | $407,914.09 |
| CAGR % | 7.03% | 5.72% |
| Max % Drawdown | (54.82%) | (35.30%) |
| Standard Deviation | 4.40% | 3.09% |
| Annualized Sharpe | 0.33 | 0.30 |
| MAR Ratio | 0.13 | 0.16 |
| Win Rate % | 0.0% | 79.2% |
| Avg Win / Loss Ratio | — | 1.21 |
| Expectancy | — | $0.75 |
| Avg Win % | 0.00% | 9.92% |
| Avg Loss % | 0.00% | (8.86%) |
| Longest Drawdown Duration | 73.5 months | 37.4 months |
| Avg Trades Per Year | 0.00 | 0.95 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $558,030.80 | $407,914.09 |
| Open Equity | $458,030.80 | ($40,747.35) |
| Gross Profit | $0.00 | $393,024.35 |
| Gross Loss | $0.00 | ($85,809.46) |
| Net Profit | $0.00 | $307,214.89 |
| Net Long Profit | $0.00 | $307,214.89 |
| 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 | $41,446.55 |
| 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 | 1,396.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.13 | 0.16 |
| Calmar Ratio | 0.14 | 0.19 |
| Modified Sharpe Ratio | 0.52 | 0.57 |
| Robust Sharpe Ratio | 0.59 | 0.63 |
| R-Squared | 0.8816 | 0.9604 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.03% | 5.72% |
| RAR | 8.95% | 6.75% |
| Profit Factor | 0.00 | 4.58 |
| Percent Profit Factor | 0.00 | 4.25 |
| Expectancy | — | $0.75 |
| Percentage Expectancy | 0.00 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (54.82%) | (35.30%) |
| Longest Drawdown Duration | 73.5 months | 37.4 months |
| Max Monthly % Drawdown | (50.54%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (35.85%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 33.2 months | 24.5 months |
| Avg of All % Drawdowns | (1.94%) | (1.70%) |
| Std Dev of All % Drawdowns | 5.36% | 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% | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 79.2% |
| Lose Rate % | 0.0% | 20.8% |
| Winning Trades | 0 | 19 |
| Losing Trades | 0 | 5 |
| Total Trades | 0 | 24 |
| Max Consecutive Wins | 0 | 10 |
| Max Consecutive Losses | 0 | 2 |
| Avg Trade Duration | 0.0 days | 181.3 days |
| Avg Winning Trade Duration | 0.0 days | 181.3 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 | — | 25.51% |
| Avg Win | $0.00 | $20,685.49 |
| Avg Loss | $0.00 | ($17,161.89) |
| Avg Win / Loss Ratio | — | 1.21 |
| Avg Trade | $0.00 | $12,800.62 |
| Avg Win % | 0.00% | 9.92% |
| Avg Loss % | 0.00% | (8.86%) |
| Avg Trade % | 0.00% | 6.00% |
| Avg Risk % | 0.00% | (99.06%) |
| Avg Trades Per Year | 0.00 | 0.95 |
| Avg Trades Per Month | 0.00 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 64.1% | 81.9% |
| Losing Months % | 35.9% | 18.1% |
| Winning Months | 195 | 249 |
| Losing Months | 109 | 55 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 15 | 23 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 76.9% |
| Losing Years % | 26.9% | 23.1% |
| Winning Years | 19 | 20 |
| Losing Years | 7 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.5% | 79.1% |
| Rolling 6-Month Win Rate | 71.9% | 73.9% |
| Rolling 12-Month Win Rate | 76.8% | 77.8% |
| Rolling 3-Year Win Rate | 79.2% | 91.7% |
| Rolling 5-Year Win Rate | 86.4% | 100.0% |
| Rolling 10-Year Win Rate | 94.1% | 100.0% |
| Rolling 3-Month Periods | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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