| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-24 | 2025-10-24 |
| Time Elapsed | 25 years, 10 months | 25 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,971.46 | $86,119.57 |
| CAGR % | 0.37% | (0.58%) |
| Max % Drawdown | (42.03%) | (48.93%) |
| Standard Deviation | 2.29% | 3.33% |
| Annualized Sharpe | (0.29) | (0.25) |
| MAR Ratio | 0.01 | (0.01) |
| Win Rate % | 78.4% | 60.0% |
| Avg Win / Loss Ratio | 0.32 | 0.53 |
| Expectancy | $0.04 | ($0.08) |
| Avg Win % | 0.96% | 8.94% |
| Avg Loss % | (2.82%) | (13.62%) |
| Longest Drawdown Duration | 278.8 months | 209.1 months |
| Avg Trades Per Year | 3.95 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,971.46 | $86,119.57 |
| Open Equity | $0.00 | $11,136.71 |
| Gross Profit | $69,657.50 | $95,805.13 |
| Gross Loss | ($59,686.04) | ($120,822.26) |
| Net Profit | $9,971.46 | ($25,017.13) |
| Net Long Profit | $9,971.46 | ($25,017.13) |
| 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 | $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 | 1,831.0 | 366.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.01 | (0.01) |
| Calmar Ratio | 0.01 | (0.01) |
| Modified Sharpe Ratio | 0.09 | 0.01 |
| Robust Sharpe Ratio | 0.04 | (0.03) |
| R-Squared | 0.0499 | 0.0668 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.37% | (0.58%) |
| RAR | 0.31% | (0.40%) |
| Profit Factor | 1.17 | 0.79 |
| Percent Profit Factor | 1.24 | 0.99 |
| Expectancy | $0.04 | ($0.08) |
| Percentage Expectancy | 0.01 | (0.00) |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (48.93%) |
| Longest Drawdown Duration | 278.8 months | 209.1 months |
| Max Monthly % Drawdown | (40.26%) | (41.16%) |
| Avg of Top-5 Max % Drawdowns | (9.44%) | (25.62%) |
| Avg Duration of Top-5 Longest Drawdowns | 59.1 months | 76.3 months |
| Avg of All % Drawdowns | (2.13%) | (17.84%) |
| Std Dev of All % Drawdowns | 8.71% | 23.47% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | (38.72%) |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | (38.72%) |
| Closed-Equity Avg of All % Drawdown | (17.44%) | (38.72%) |
| Closed-Equity Std Dev of All % Drawdown | 17.18% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 78.4% | 60.0% |
| Lose Rate % | 21.6% | 40.0% |
| Winning Trades | 80 | 15 |
| Losing Trades | 22 | 10 |
| Total Trades | 102 | 25 |
| Max Consecutive Wins | 13 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 139.5 days | 183.0 days |
| Avg Winning Trade Duration | 83.0 days | 183.7 days |
| Avg Losing Trade Duration | 341.3 days | 184.3 days |
| Largest Winning Trade | $3,296.90 | $18,925.42 |
| Largest Losing Trade | ($7,363.83) | ($39,151.52) |
| Largest Win as % of Net Profit | 33.06% | (75.65%) |
| Avg Win | $870.72 | $6,387.01 |
| Avg Loss | ($2,713.00) | ($12,082.23) |
| Avg Win / Loss Ratio | 0.32 | 0.53 |
| Avg Trade | $97.76 | ($1,000.69) |
| Avg Win % | 0.96% | 8.94% |
| Avg Loss % | (2.82%) | (13.62%) |
| Avg Trade % | 0.15% | (0.08%) |
| Avg Risk % | (18.87%) | (96.21%) |
| Avg Trades Per Year | 3.95 | 0.97 |
| Avg Trades Per Month | 0.33 | 0.08 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 74.2% |
| Losing Months % | 34.2% | 25.8% |
| Winning Months | 204 | 230 |
| Losing Months | 106 | 80 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 23 | 14 |
| Max Consecutive Losing Months | 6 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 61.5% |
| Losing Years % | 38.5% | 38.5% |
| Winning Years | 16 | 16 |
| Losing Years | 10 | 10 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.8% | 66.2% |
| Rolling 6-Month Win Rate | 69.8% | 54.4% |
| Rolling 12-Month Win Rate | 63.2% | 58.5% |
| Rolling 3-Year Win Rate | 70.8% | 54.2% |
| Rolling 5-Year Win Rate | 63.6% | 40.9% |
| Rolling 10-Year Win Rate | 47.1% | 41.2% |
| Rolling 3-Month Periods | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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