| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-05-02 | 2025-05-02 |
| Time Elapsed | 25 years, 4 months | 25 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $496,299.65 | $615,224.58 |
| CAGR % | 6.53% | 7.44% |
| Max % Drawdown | (14.90%) | (54.82%) |
| Standard Deviation | 1.97% | 4.37% |
| Annualized Sharpe | 0.53 | 0.35 |
| MAR Ratio | 0.44 | 0.14 |
| Win Rate % | 48.2% | 0.0% |
| Avg Win / Loss Ratio | 3.44 | — |
| Expectancy | $1.14 | — |
| Avg Win % | 4.18% | 0.00% |
| Avg Loss % | (0.93%) | 0.00% |
| Longest Drawdown Duration | 30.5 months | 73.5 months |
| Avg Trades Per Year | 4.34 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $496,299.65 | $615,224.58 |
| Open Equity | $8,947.50 | $515,224.58 |
| Gross Profit | $518,557.13 | $0.00 |
| Gross Loss | ($162,060.66) | $0.00 |
| Net Profit | $356,496.47 | $0.00 |
| Net Long Profit | $356,496.47 | $0.00 |
| 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 | $30,855.68 | $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 | 1,169.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.14 |
| Calmar Ratio | 0.60 | 0.15 |
| Modified Sharpe Ratio | 0.96 | 0.55 |
| Robust Sharpe Ratio | 0.88 | 0.59 |
| R-Squared | 0.9398 | 0.8821 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.53% | 7.44% |
| RAR | 5.97% | 8.96% |
| Profit Factor | 3.20 | 0.00 |
| Percent Profit Factor | 4.20 | 0.00 |
| Expectancy | $1.14 | — |
| Percentage Expectancy | 0.08 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (54.82%) |
| Longest Drawdown Duration | 30.5 months | 73.5 months |
| Max Monthly % Drawdown | (10.84%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (35.85%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 33.2 months |
| Avg of All % Drawdowns | (1.36%) | (1.94%) |
| Std Dev of All % Drawdowns | 2.09% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (2.66%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.2% | 0.0% |
| Lose Rate % | 51.8% | 0.0% |
| Winning Trades | 53 | 0 |
| Losing Trades | 57 | 0 |
| Total Trades | 110 | 0 |
| Max Consecutive Wins | 6 | 0 |
| Max Consecutive Losses | 8 | 0 |
| Avg Trade Duration | 283.9 days | 0.0 days |
| Avg Winning Trade Duration | 504.0 days | 0.0 days |
| Avg Losing Trade Duration | 79.2 days | 0.0 days |
| Largest Winning Trade | $61,124.70 | $0.00 |
| Largest Losing Trade | ($9,079.40) | $0.00 |
| Largest Win as % of Net Profit | 17.15% | — |
| Avg Win | $9,784.10 | $0.00 |
| Avg Loss | ($2,843.17) | $0.00 |
| Avg Win / Loss Ratio | 3.44 | — |
| Avg Trade | $3,240.88 | $0.00 |
| Avg Win % | 4.18% | 0.00% |
| Avg Loss % | (0.93%) | 0.00% |
| Avg Trade % | 1.53% | 0.00% |
| Avg Risk % | (18.09%) | 0.00% |
| Avg Trades Per Year | 4.34 | 0.00 |
| Avg Trades Per Month | 0.36 | 0.00 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.6% | 64.3% |
| Losing Months % | 34.4% | 35.7% |
| Winning Months | 200 | 196 |
| Losing Months | 105 | 109 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 11 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | 73.1% |
| Losing Years % | 15.4% | 26.9% |
| Winning Years | 22 | 19 |
| Losing Years | 4 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 9 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.0% | 68.3% |
| Rolling 6-Month Win Rate | 75.0% | 71.7% |
| Rolling 12-Month Win Rate | 78.6% | 76.9% |
| Rolling 3-Year Win Rate | 100.0% | 79.2% |
| Rolling 5-Year Win Rate | 100.0% | 86.4% |
| Rolling 10-Year Win Rate | 100.0% | 94.1% |
| Rolling 3-Month Periods | 303 | 303 |
| Rolling 6-Month Periods | 300 | 300 |
| Rolling 12-Month Periods | 294 | 294 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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