| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-06-27 | 2025-06-27 |
| Time Elapsed | 25 years, 6 months | 25 years, 6 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,565.50 | $267,727.09 |
| CAGR % | 0.36% | 3.94% |
| Max % Drawdown | (42.03%) | (20.79%) |
| Standard Deviation | 2.31% | 1.80% |
| Annualized Sharpe | (0.28) | 0.18 |
| MAR Ratio | 0.01 | 0.19 |
| Win Rate % | 78.0% | 0.0% |
| Avg Win / Loss Ratio | 0.32 | — |
| Expectancy | $0.03 | — |
| Avg Win % | 0.97% | 0.00% |
| Avg Loss % | (2.82%) | 0.00% |
| Longest Drawdown Duration | 278.8 months | 58.7 months |
| Avg Trades Per Year | 3.92 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,565.50 | $267,727.09 |
| Open Equity | $1,431.00 | $167,727.09 |
| Gross Profit | $67,820.53 | $0.00 |
| Gross Loss | ($59,686.04) | $0.00 |
| Net Profit | $8,134.49 | $0.00 |
| Net Long Profit | $8,134.49 | $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 | 1,822.0 | 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 | 0.19 |
| Calmar Ratio | 0.01 | 0.20 |
| Modified Sharpe Ratio | 0.09 | 0.65 |
| Robust Sharpe Ratio | 0.03 | 0.60 |
| R-Squared | 0.0375 | 0.8886 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.36% | 3.94% |
| RAR | 0.27% | 3.72% |
| Profit Factor | 1.14 | 0.00 |
| Percent Profit Factor | 1.22 | 0.00 |
| Expectancy | $0.03 | — |
| Percentage Expectancy | 0.01 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (20.79%) |
| Longest Drawdown Duration | 278.8 months | 58.7 months |
| Max Monthly % Drawdown | (40.26%) | (19.92%) |
| Avg of Top-5 Max % Drawdowns | (9.42%) | (11.43%) |
| Avg Duration of Top-5 Longest Drawdowns | 58.5 months | 31.7 months |
| Avg of All % Drawdowns | (2.13%) | (1.40%) |
| Std Dev of All % Drawdowns | 8.71% | 1.95% |
| 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 % | 78.0% | 0.0% |
| Lose Rate % | 22.0% | 0.0% |
| Winning Trades | 78 | 0 |
| Losing Trades | 22 | 0 |
| Total Trades | 100 | 0 |
| Max Consecutive Wins | 13 | 0 |
| Max Consecutive Losses | 4 | 0 |
| Avg Trade Duration | 140.1 days | 0.0 days |
| Avg Winning Trade Duration | 83.4 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 | 40.53% | — |
| Avg Win | $869.49 | $0.00 |
| Avg Loss | ($2,713.00) | $0.00 |
| Avg Win / Loss Ratio | 0.32 | — |
| Avg Trade | $81.34 | $0.00 |
| Avg Win % | 0.97% | 0.00% |
| Avg Loss % | (2.82%) | 0.00% |
| Avg Trade % | 0.13% | 0.00% |
| Avg Risk % | (18.82%) | 0.00% |
| Avg Trades Per Year | 3.92 | 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 % | 65.7% | 57.2% |
| Losing Months % | 34.3% | 42.8% |
| Winning Months | 201 | 175 |
| Losing Months | 105 | 131 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 23 | 8 |
| Max Consecutive Losing Months | 6 | 6 |
| 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 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.4% | 61.5% |
| Rolling 6-Month Win Rate | 69.4% | 66.1% |
| Rolling 12-Month Win Rate | 62.7% | 71.5% |
| Rolling 3-Year Win Rate | 70.8% | 87.5% |
| Rolling 5-Year Win Rate | 63.6% | 90.9% |
| Rolling 10-Year Win Rate | 47.1% | 100.0% |
| Rolling 3-Month Periods | 304 | 304 |
| Rolling 6-Month Periods | 301 | 301 |
| Rolling 12-Month Periods | 295 | 295 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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