| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-04-24 | 2026-04-24 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $373,266.21 | $326,771.03 |
| CAGR % | 5.13% | 4.60% |
| Max % Drawdown | (60.11%) | (14.87%) |
| Standard Deviation | 4.75% | 1.42% |
| Annualized Sharpe | 0.21 | 0.34 |
| MAR Ratio | 0.09 | 0.31 |
| Win Rate % | 0.0% | 70.6% |
| Avg Win / Loss Ratio | — | 2.23 |
| Expectancy | — | $1.28 |
| Avg Win % | 0.00% | 11.82% |
| Avg Loss % | 0.00% | (3.22%) |
| Longest Drawdown Duration | 75.7 months | 63.7 months |
| Avg Trades Per Year | 0.00 | 0.65 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $373,266.21 | $326,771.03 |
| Open Equity | $273,266.21 | $0.00 |
| Gross Profit | $0.00 | $256,446.76 |
| Gross Loss | $0.00 | ($47,865.59) |
| Net Profit | $0.00 | $208,581.17 |
| Net Long Profit | $0.00 | $208,581.17 |
| 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 | $18,189.87 |
| 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 | 12,905.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.09 | 0.31 |
| Calmar Ratio | 0.09 | 0.34 |
| Modified Sharpe Ratio | 0.39 | 0.94 |
| Robust Sharpe Ratio | 0.34 | 0.97 |
| R-Squared | 0.8637 | 0.9315 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.13% | 4.60% |
| RAR | 5.65% | 4.79% |
| Profit Factor | 0.00 | 5.36 |
| Percent Profit Factor | 0.00 | 8.80 |
| Expectancy | — | $1.28 |
| Percentage Expectancy | 0.00 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (60.11%) | (14.87%) |
| Longest Drawdown Duration | 75.7 months | 63.7 months |
| Max Monthly % Drawdown | (56.36%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (39.21%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 42.8 months | 26.2 months |
| Avg of All % Drawdowns | (3.23%) | (0.88%) |
| Std Dev of All % Drawdowns | 7.87% | 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% | (4.52%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 70.6% |
| Lose Rate % | 0.0% | 29.4% |
| Winning Trades | 0 | 12 |
| Losing Trades | 0 | 5 |
| Total Trades | 0 | 17 |
| Max Consecutive Wins | 0 | 5 |
| Max Consecutive Losses | 0 | 3 |
| Avg Trade Duration | 0.0 days | 443.2 days |
| Avg Winning Trade Duration | 0.0 days | 580.2 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 | — | 41.04% |
| Avg Win | $0.00 | $21,370.56 |
| Avg Loss | $0.00 | ($9,573.12) |
| Avg Win / Loss Ratio | — | 2.23 |
| Avg Trade | $0.00 | $12,269.48 |
| Avg Win % | 0.00% | 11.82% |
| Avg Loss % | 0.00% | (3.22%) |
| Avg Trade % | 0.00% | 7.40% |
| Avg Risk % | 0.00% | (99.95%) |
| Avg Trades Per Year | 0.00 | 0.65 |
| Avg Trades Per Month | 0.00 | 0.05 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 58.5% | 69.3% |
| Losing Months % | 41.5% | 30.7% |
| Winning Months | 185 | 219 |
| Losing Months | 131 | 97 |
| Total Months | 316 | 316 |
| Max Consecutive Winning Months | 13 | 12 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 66.7% | 70.4% |
| Losing Years % | 33.3% | 29.6% |
| Winning Years | 18 | 19 |
| Losing Years | 9 | 8 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 5 | 7 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 60.5% | 70.1% |
| Rolling 6-Month Win Rate | 63.7% | 70.7% |
| Rolling 12-Month Win Rate | 64.3% | 76.1% |
| Rolling 3-Year Win Rate | 76.0% | 92.0% |
| Rolling 5-Year Win Rate | 87.0% | 91.3% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 314 | 314 |
| Rolling 6-Month Periods | 311 | 311 |
| Rolling 12-Month Periods | 305 | 305 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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