| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-07-04 | 2025-07-04 |
| Time Elapsed | 25 years, 6 months | 25 years, 6 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,479.96 | $681,069.80 |
| CAGR % | 0.36% | 7.81% |
| Max % Drawdown | (42.03%) | (54.82%) |
| Standard Deviation | 2.30% | 4.37% |
| Annualized Sharpe | (0.29) | 0.38 |
| MAR Ratio | 0.01 | 0.14 |
| Win Rate % | 78.2% | 0.0% |
| Avg Win / Loss Ratio | 0.32 | — |
| Expectancy | $0.04 | — |
| Avg Win % | 0.97% | 0.00% |
| Avg Loss % | (2.82%) | 0.00% |
| Longest Drawdown Duration | 278.8 months | 73.5 months |
| Avg Trades Per Year | 3.96 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,479.96 | $681,069.80 |
| Open Equity | ($197.40) | $581,069.80 |
| Gross Profit | $69,363.40 | $0.00 |
| Gross Loss | ($59,686.04) | $0.00 |
| Net Profit | $9,677.36 | $0.00 |
| Net Long Profit | $9,677.36 | $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 | $0.00 | $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 | 1,829.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.01 | 0.14 |
| Calmar Ratio | 0.01 | 0.15 |
| Modified Sharpe Ratio | 0.09 | 0.57 |
| Robust Sharpe Ratio | 0.03 | 0.60 |
| R-Squared | 0.0382 | 0.8842 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.36% | 7.81% |
| RAR | 0.27% | 9.02% |
| Profit Factor | 1.16 | 0.00 |
| Percent Profit Factor | 1.24 | 0.00 |
| Expectancy | $0.04 | — |
| Percentage Expectancy | 0.01 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (54.82%) |
| Longest Drawdown Duration | 278.8 months | 73.5 months |
| Max Monthly % Drawdown | (40.26%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (9.42%) | (35.85%) |
| Avg Duration of Top-5 Longest Drawdowns | 58.5 months | 33.2 months |
| Avg of All % Drawdowns | (2.13%) | (1.99%) |
| Std Dev of All % Drawdowns | 8.71% | 5.44% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (17.44%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 17.18% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 78.2% | 0.0% |
| Lose Rate % | 21.8% | 0.0% |
| Winning Trades | 79 | 0 |
| Losing Trades | 22 | 0 |
| Total Trades | 101 | 0 |
| Max Consecutive Wins | 13 | 0 |
| Max Consecutive Losses | 4 | 0 |
| Avg Trade Duration | 139.3 days | 0.0 days |
| Avg Winning Trade Duration | 83.1 days | 0.0 days |
| Avg Losing Trade Duration | 341.3 days | 0.0 days |
| Largest Winning Trade | $3,296.90 | $0.00 |
| Largest Losing Trade | ($7,363.83) | $0.00 |
| Largest Win as % of Net Profit | 34.07% | — |
| Avg Win | $878.02 | $0.00 |
| Avg Loss | ($2,713.00) | $0.00 |
| Avg Win / Loss Ratio | 0.32 | — |
| Avg Trade | $95.82 | $0.00 |
| Avg Win % | 0.97% | 0.00% |
| Avg Loss % | (2.82%) | 0.00% |
| Avg Trade % | 0.15% | 0.00% |
| Avg Risk % | (18.86%) | 0.00% |
| Avg Trades Per Year | 3.96 | 0.00 |
| Avg Trades Per Month | 0.33 | 0.00 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 64.5% |
| Losing Months % | 34.2% | 35.5% |
| Winning Months | 202 | 198 |
| Losing Months | 105 | 109 |
| Total Months | 307 | 307 |
| Max Consecutive Winning Months | 23 | 15 |
| Max Consecutive Losing Months | 6 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 76.9% |
| Losing Years % | 38.5% | 23.1% |
| Winning Years | 16 | 20 |
| Losing Years | 10 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 9 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.5% | 68.5% |
| Rolling 6-Month Win Rate | 69.5% | 71.9% |
| Rolling 12-Month Win Rate | 62.8% | 77.0% |
| Rolling 3-Year Win Rate | 70.8% | 79.2% |
| Rolling 5-Year Win Rate | 63.6% | 86.4% |
| Rolling 10-Year Win Rate | 47.1% | 94.1% |
| Rolling 3-Month Periods | 305 | 305 |
| Rolling 6-Month Periods | 302 | 302 |
| Rolling 12-Month Periods | 296 | 296 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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