| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-17 | 2025-10-17 |
| Time Elapsed | 25 years, 9 months | 25 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $400,281.65 | $229,979.23 |
| CAGR % | 5.53% | 3.28% |
| Max % Drawdown | (23.72%) | (60.26%) |
| Standard Deviation | 1.88% | 4.40% |
| Annualized Sharpe | 0.40 | 0.09 |
| MAR Ratio | 0.23 | 0.05 |
| Win Rate % | 0.0% | 39.3% |
| Avg Win / Loss Ratio | — | 2.27 |
| Expectancy | — | $0.28 |
| Avg Win % | 0.00% | 19.57% |
| Avg Loss % | 0.00% | (6.45%) |
| Longest Drawdown Duration | 48.8 months | 207.3 months |
| Avg Trades Per Year | 0.00 | 1.09 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $400,281.65 | $229,979.23 |
| Open Equity | $300,281.65 | $4,533.60 |
| Gross Profit | $0.00 | $303,703.87 |
| Gross Loss | $0.00 | ($206,835.83) |
| Net Profit | $0.00 | $96,868.04 |
| Net Long Profit | $0.00 | $96,868.04 |
| 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 | $28,577.59 |
| 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 | 1,264.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.23 | 0.05 |
| Calmar Ratio | 0.25 | 0.06 |
| Modified Sharpe Ratio | 0.86 | 0.29 |
| Robust Sharpe Ratio | 0.84 | 0.07 |
| R-Squared | 0.9422 | 0.1286 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.53% | 3.28% |
| RAR | 5.46% | 1.13% |
| Profit Factor | 0.00 | 1.47 |
| Percent Profit Factor | 0.00 | 1.96 |
| Expectancy | — | $0.28 |
| Percentage Expectancy | 0.00 | 0.04 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (23.72%) | (60.26%) |
| Longest Drawdown Duration | 48.8 months | 207.3 months |
| Max Monthly % Drawdown | (21.83%) | (58.84%) |
| Avg of Top-5 Max % Drawdowns | (13.21%) | (30.52%) |
| Avg Duration of Top-5 Longest Drawdowns | 19.4 months | 56.6 months |
| Avg of All % Drawdowns | (0.91%) | (3.67%) |
| Std Dev of All % Drawdowns | 1.62% | 5.66% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (43.60%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (43.56%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (19.00%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 17.80% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 39.3% |
| Lose Rate % | 0.0% | 60.7% |
| Winning Trades | 0 | 11 |
| Losing Trades | 0 | 17 |
| Total Trades | 0 | 28 |
| Max Consecutive Wins | 0 | 4 |
| Max Consecutive Losses | 0 | 7 |
| Avg Trade Duration | 0.0 days | 191.5 days |
| Avg Winning Trade Duration | 0.0 days | 357.3 days |
| Avg Losing Trade Duration | 0.0 days | 84.2 days |
| Largest Winning Trade | $0.00 | $106,576.40 |
| Largest Losing Trade | $0.00 | ($34,666.80) |
| Largest Win as % of Net Profit | — | 110.02% |
| Avg Win | $0.00 | $27,609.44 |
| Avg Loss | $0.00 | ($12,166.81) |
| Avg Win / Loss Ratio | — | 2.27 |
| Avg Trade | $0.00 | $3,459.57 |
| Avg Win % | 0.00% | 19.57% |
| Avg Loss % | 0.00% | (6.45%) |
| Avg Trade % | 0.00% | 3.77% |
| Avg Risk % | 0.00% | (98.65%) |
| Avg Trades Per Year | 0.00 | 1.09 |
| Avg Trades Per Month | 0.00 | 0.09 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 62.3% | 71.3% |
| Losing Months % | 37.7% | 28.7% |
| Winning Months | 193 | 221 |
| Losing Months | 117 | 89 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 10 | 22 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 57.7% |
| Losing Years % | 19.2% | 42.3% |
| Winning Years | 21 | 15 |
| Losing Years | 5 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 13 | 4 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.2% | 63.6% |
| Rolling 6-Month Win Rate | 74.8% | 54.4% |
| Rolling 12-Month Win Rate | 83.9% | 51.2% |
| Rolling 3-Year Win Rate | 87.5% | 62.5% |
| Rolling 5-Year Win Rate | 95.5% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 52.9% |
| Rolling 3-Month Periods | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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