| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-06-12 | 2026-06-12 |
| Time Elapsed | 26 years, 5 months | 26 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $601,894.29 | $87,608.78 |
| CAGR % | 7.02% | (0.50%) |
| Max % Drawdown | (14.90%) | (48.93%) |
| Standard Deviation | 1.96% | 3.29% |
| Annualized Sharpe | 0.60 | (0.25) |
| MAR Ratio | 0.47 | (0.01) |
| Win Rate % | 49.1% | 61.5% |
| Avg Win / Loss Ratio | 3.41 | 0.55 |
| Expectancy | $1.17 | ($0.05) |
| Avg Win % | 4.08% | 9.28% |
| Avg Loss % | (0.93%) | (13.62%) |
| Longest Drawdown Duration | 30.5 months | 216.8 months |
| Avg Trades Per Year | 4.24 | 0.98 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $601,894.29 | $87,608.78 |
| Open Equity | $97,258.82 | $1,881.92 |
| Gross Profit | $533,054.19 | $106,549.12 |
| Gross Loss | ($162,060.66) | ($120,822.26) |
| Net Profit | $370,993.53 | ($14,273.14) |
| Net Long Profit | $370,993.53 | ($14,273.14) |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | 100.0% | 100.0% |
| Net Short Profit as % of Net Profit | 0.0% | 0.0% |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $33,641.93 | $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 | 1,185.0 | 372.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.47 | (0.01) |
| Calmar Ratio | 0.65 | (0.01) |
| Modified Sharpe Ratio | 1.03 | 0.01 |
| Robust Sharpe Ratio | 0.88 | (0.03) |
| R-Squared | 0.9461 | 0.0456 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.02% | (0.50%) |
| RAR | 5.97% | (0.32%) |
| Profit Factor | 3.29 | 0.88 |
| Percent Profit Factor | 4.25 | 1.09 |
| Expectancy | $1.17 | ($0.05) |
| Percentage Expectancy | 0.08 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (48.93%) |
| Longest Drawdown Duration | 30.5 months | 216.8 months |
| Max Monthly % Drawdown | (10.84%) | (41.16%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (25.62%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 78.2 months |
| Avg of All % Drawdowns | (1.29%) | (17.84%) |
| Std Dev of All % Drawdowns | 2.02% | 23.47% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (38.72%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (38.72%) |
| Closed-Equity Avg of All % Drawdown | (2.50%) | (38.72%) |
| Closed-Equity Std Dev of All % Drawdown | 2.57% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 49.1% | 61.5% |
| Lose Rate % | 50.9% | 38.5% |
| Winning Trades | 55 | 16 |
| Losing Trades | 57 | 10 |
| Total Trades | 112 | 26 |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 285.6 days | 184.0 days |
| Avg Winning Trade Duration | 499.5 days | 183.9 days |
| Avg Losing Trade Duration | 79.2 days | 184.3 days |
| Largest Winning Trade | $61,124.70 | $18,925.42 |
| Largest Losing Trade | ($9,079.40) | ($39,151.52) |
| Largest Win as % of Net Profit | 16.48% | (132.59%) |
| Avg Win | $9,691.89 | $6,659.32 |
| Avg Loss | ($2,843.17) | ($12,082.23) |
| Avg Win / Loss Ratio | 3.41 | 0.55 |
| Avg Trade | $3,312.44 | ($548.97) |
| Avg Win % | 4.08% | 9.28% |
| Avg Loss % | (0.93%) | (13.62%) |
| Avg Trade % | 1.53% | 0.47% |
| Avg Risk % | (18.11%) | (96.32%) |
| Avg Trades Per Year | 4.24 | 0.98 |
| Avg Trades Per Month | 0.35 | 0.08 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 66.4% | 74.2% |
| Losing Months % | 33.6% | 25.8% |
| Winning Months | 211 | 236 |
| Losing Months | 107 | 82 |
| Total Months | 318 | 318 |
| Max Consecutive Winning Months | 12 | 14 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 85.2% | 63.0% |
| Losing Years % | 14.8% | 37.0% |
| Winning Years | 23 | 17 |
| Losing Years | 4 | 10 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.4% | 66.8% |
| Rolling 6-Month Win Rate | 76.0% | 55.3% |
| Rolling 12-Month Win Rate | 79.5% | 59.6% |
| Rolling 3-Year Win Rate | 100.0% | 56.0% |
| Rolling 5-Year Win Rate | 100.0% | 43.5% |
| Rolling 10-Year Win Rate | 100.0% | 44.4% |
| Rolling 3-Month Periods | 316 | 316 |
| Rolling 6-Month Periods | 313 | 313 |
| Rolling 12-Month Periods | 307 | 307 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
© Copyright 2013 - 2026
Extrategic Investing, LLC.
All rights reserved.
