| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-11-21 | 2025-11-21 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $139,237.84 | $527,065.36 |
| CAGR % | 1.29% | 6.63% |
| Max % Drawdown | (88.50%) | (33.47%) |
| Standard Deviation | 6.46% | 3.11% |
| Annualized Sharpe | 0.04 | 0.38 |
| MAR Ratio | 0.01 | 0.20 |
| Win Rate % | 0.0% | 76.0% |
| Avg Win / Loss Ratio | — | 1.17 |
| Expectancy | — | $0.65 |
| Avg Win % | 0.00% | 11.39% |
| Avg Loss % | 0.00% | (8.58%) |
| Longest Drawdown Duration | 208.5 months | 41.8 months |
| Avg Trades Per Year | 0.00 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $139,237.84 | $527,065.36 |
| Open Equity | $39,237.84 | ($13,625.51) |
| Gross Profit | $0.00 | $525,846.57 |
| Gross Loss | $0.00 | ($142,169.87) |
| Net Profit | $0.00 | $383,676.70 |
| Net Long Profit | $0.00 | $383,676.70 |
| 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 | $57,014.17 |
| 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 | 947.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.01 | 0.20 |
| Calmar Ratio | 0.01 | 0.25 |
| Modified Sharpe Ratio | 0.17 | 0.65 |
| Robust Sharpe Ratio | (0.11) | 0.61 |
| R-Squared | 0.2332 | 0.9665 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 1.29% | 6.63% |
| RAR | (2.39%) | 6.63% |
| Profit Factor | 0.00 | 3.70 |
| Percent Profit Factor | 0.00 | 4.20 |
| Expectancy | — | $0.65 |
| Percentage Expectancy | 0.00 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (88.50%) | (33.47%) |
| Longest Drawdown Duration | 208.5 months | 41.8 months |
| Max Monthly % Drawdown | (87.18%) | (26.06%) |
| Avg of Top-5 Max % Drawdowns | (40.24%) | (23.64%) |
| Avg Duration of Top-5 Longest Drawdowns | 55.5 months | 24.3 months |
| Avg of All % Drawdowns | (4.19%) | (2.31%) |
| Std Dev of All % Drawdowns | 6.80% | 4.68% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (15.43%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (15.43%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (10.15%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.03% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 76.0% |
| Lose Rate % | 0.0% | 24.0% |
| Winning Trades | 0 | 19 |
| Losing Trades | 0 | 6 |
| Total Trades | 0 | 25 |
| Max Consecutive Wins | 0 | 6 |
| Max Consecutive Losses | 0 | 2 |
| Avg Trade Duration | 0.0 days | 181.3 days |
| Avg Winning Trade Duration | 0.0 days | 181.3 days |
| Avg Losing Trade Duration | 0.0 days | 181.3 days |
| Largest Winning Trade | $0.00 | $81,648.82 |
| Largest Losing Trade | $0.00 | ($53,296.88) |
| Largest Win as % of Net Profit | — | 21.28% |
| Avg Win | $0.00 | $27,676.14 |
| Avg Loss | $0.00 | ($23,694.98) |
| Avg Win / Loss Ratio | — | 1.17 |
| Avg Trade | $0.00 | $15,347.07 |
| Avg Win % | 0.00% | 11.39% |
| Avg Loss % | 0.00% | (8.58%) |
| Avg Trade % | 0.00% | 6.60% |
| Avg Risk % | 0.00% | (98.64%) |
| Avg Trades Per Year | 0.00 | 0.97 |
| Avg Trades Per Month | 0.00 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 55.9% | 77.8% |
| Losing Months % | 44.1% | 22.2% |
| Winning Months | 174 | 242 |
| Losing Months | 137 | 69 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 8 | 14 |
| Max Consecutive Losing Months | 8 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 80.8% |
| Losing Years % | 38.5% | 19.2% |
| Winning Years | 16 | 21 |
| Losing Years | 10 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 56.6% | 76.7% |
| Rolling 6-Month Win Rate | 58.8% | 70.9% |
| Rolling 12-Month Win Rate | 54.7% | 76.7% |
| Rolling 3-Year Win Rate | 62.5% | 95.8% |
| Rolling 5-Year Win Rate | 45.5% | 100.0% |
| Rolling 10-Year Win Rate | 41.2% | 100.0% |
| Rolling 3-Month Periods | 309 | 309 |
| Rolling 6-Month Periods | 306 | 306 |
| Rolling 12-Month Periods | 300 | 300 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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