| 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 | $1,019,242.19 |
| CAGR % | 5.53% | 9.42% |
| Max % Drawdown | (23.72%) | (21.03%) |
| Standard Deviation | 1.88% | 3.57% |
| Annualized Sharpe | 0.40 | 0.55 |
| MAR Ratio | 0.23 | 0.45 |
| Win Rate % | 0.0% | 57.9% |
| Avg Win / Loss Ratio | — | 3.73 |
| Expectancy | — | $1.74 |
| Avg Win % | 0.00% | 27.89% |
| Avg Loss % | 0.00% | (3.92%) |
| Longest Drawdown Duration | 48.8 months | 44.5 months |
| Avg Trades Per Year | 0.00 | 0.74 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $400,281.65 | $1,019,242.19 |
| Open Equity | $300,281.65 | $3,254.93 |
| Gross Profit | $0.00 | $1,044,934.50 |
| Gross Loss | $0.00 | ($203,958.92) |
| Net Profit | $0.00 | $840,975.58 |
| Net Long Profit | $0.00 | $840,975.58 |
| 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 | $75,011.68 |
| 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 | 1,990.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.23 | 0.45 |
| Calmar Ratio | 0.25 | 0.45 |
| Modified Sharpe Ratio | 0.86 | 0.79 |
| Robust Sharpe Ratio | 0.84 | 0.74 |
| R-Squared | 0.9422 | 0.9157 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.53% | 9.42% |
| RAR | 5.46% | 9.17% |
| Profit Factor | 0.00 | 5.12 |
| Percent Profit Factor | 0.00 | 9.78 |
| Expectancy | — | $1.74 |
| Percentage Expectancy | 0.00 | 0.15 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (23.72%) | (21.03%) |
| Longest Drawdown Duration | 48.8 months | 44.5 months |
| Max Monthly % Drawdown | (21.83%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (13.21%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 19.4 months | 30.1 months |
| Avg of All % Drawdowns | (0.91%) | (6.65%) |
| Std Dev of All % Drawdowns | 1.62% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (10.42%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (5.45%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 57.9% |
| Lose Rate % | 0.0% | 42.1% |
| Winning Trades | 0 | 11 |
| Losing Trades | 0 | 8 |
| Total Trades | 0 | 19 |
| Max Consecutive Wins | 0 | 3 |
| Max Consecutive Losses | 0 | 4 |
| Avg Trade Duration | 0.0 days | 350.4 days |
| Avg Winning Trade Duration | 0.0 days | 541.9 days |
| Avg Losing Trade Duration | 0.0 days | 87.1 days |
| Largest Winning Trade | $0.00 | $216,040.20 |
| Largest Losing Trade | $0.00 | ($55,980.54) |
| Largest Win as % of Net Profit | — | 25.69% |
| Avg Win | $0.00 | $94,994.05 |
| Avg Loss | $0.00 | ($25,494.86) |
| Avg Win / Loss Ratio | — | 3.73 |
| Avg Trade | $0.00 | $44,261.87 |
| Avg Win % | 0.00% | 27.89% |
| Avg Loss % | 0.00% | (3.92%) |
| Avg Trade % | 0.00% | 14.49% |
| Avg Risk % | 0.00% | (99.50%) |
| Avg Trades Per Year | 0.00 | 0.74 |
| Avg Trades Per Month | 0.00 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 62.3% | 74.8% |
| Losing Months % | 37.7% | 25.2% |
| Winning Months | 193 | 232 |
| Losing Months | 117 | 78 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 10 | 18 |
| Max Consecutive Losing Months | 6 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 65.4% |
| Losing Years % | 19.2% | 34.6% |
| Winning Years | 21 | 17 |
| Losing Years | 5 | 9 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 13 | 7 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.2% | 70.1% |
| Rolling 6-Month Win Rate | 74.8% | 70.5% |
| Rolling 12-Month Win Rate | 83.9% | 74.2% |
| Rolling 3-Year Win Rate | 87.5% | 91.7% |
| Rolling 5-Year Win Rate | 95.5% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| 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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