| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-09-04 | 2026-09-04 |
| Time Elapsed | 26 years, 8 months | 26 years, 8 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $112,040.30 | $323,610.22 |
| CAGR % | 0.43% | 4.50% |
| Max % Drawdown | (42.03%) | (14.87%) |
| Standard Deviation | 2.25% | 1.42% |
| Annualized Sharpe | (0.28) | 0.32 |
| MAR Ratio | 0.01 | 0.30 |
| Win Rate % | 79.0% | 66.7% |
| Avg Win / Loss Ratio | 0.32 | 2.46 |
| Expectancy | $0.04 | $1.31 |
| Avg Win % | 0.95% | 11.82% |
| Avg Loss % | (2.82%) | (2.90%) |
| Longest Drawdown Duration | 278.8 months | 68.0 months |
| Avg Trades Per Year | 3.94 | 0.67 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $112,040.30 | $323,610.22 |
| Open Equity | ($28.80) | $0.00 |
| Gross Profit | $71,755.14 | $256,446.76 |
| Gross Loss | ($59,686.04) | ($52,131.59) |
| Net Profit | $12,069.10 | $204,315.17 |
| Net Long Profit | $12,069.10 | $204,315.17 |
| 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 | $19,295.05 |
| 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 | 1,881.0 | 13,604.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.01 | 0.30 |
| Calmar Ratio | 0.01 | 0.33 |
| Modified Sharpe Ratio | 0.09 | 0.92 |
| Robust Sharpe Ratio | 0.05 | 0.96 |
| R-Squared | 0.0884 | 0.9293 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.43% | 4.50% |
| RAR | 0.42% | 4.73% |
| Profit Factor | 1.20 | 4.92 |
| Percent Profit Factor | 1.28 | 8.14 |
| Expectancy | $0.04 | $1.31 |
| Percentage Expectancy | 0.01 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (14.87%) |
| Longest Drawdown Duration | 278.8 months | 68.0 months |
| Max Monthly % Drawdown | (40.26%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (9.44%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 60.2 months | 27.1 months |
| Avg of All % Drawdowns | (1.89%) | (0.88%) |
| Std Dev of All % Drawdowns | 8.03% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (17.44%) | (4.55%) |
| Closed-Equity Std Dev of All % Drawdown | 17.18% | 5.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 79.0% | 66.7% |
| Lose Rate % | 21.0% | 33.3% |
| Winning Trades | 83 | 12 |
| Losing Trades | 22 | 6 |
| Total Trades | 105 | 18 |
| Max Consecutive Wins | 15 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 136.3 days | 423.8 days |
| Avg Winning Trade Duration | 81.0 days | 580.2 days |
| Avg Losing Trade Duration | 341.3 days | 111.2 days |
| Largest Winning Trade | $3,296.90 | $85,604.87 |
| Largest Losing Trade | ($7,363.83) | ($15,771.66) |
| Largest Win as % of Net Profit | 27.32% | 41.90% |
| Avg Win | $864.52 | $21,370.56 |
| Avg Loss | ($2,713.00) | ($8,688.60) |
| Avg Win / Loss Ratio | 0.32 | 2.46 |
| Avg Trade | $114.94 | $11,350.84 |
| Avg Win % | 0.95% | 11.82% |
| Avg Loss % | (2.82%) | (2.90%) |
| Avg Trade % | 0.16% | 6.91% |
| Avg Risk % | (18.82%) | (99.95%) |
| Avg Trades Per Year | 3.94 | 0.67 |
| Avg Trades Per Month | 0.33 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 66.7% | 69.5% |
| Losing Months % | 33.3% | 30.5% |
| Winning Months | 214 | 223 |
| Losing Months | 107 | 98 |
| Total Months | 321 | 321 |
| Max Consecutive Winning Months | 23 | 12 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 63.0% | 70.4% |
| Losing Years % | 37.0% | 29.6% |
| Winning Years | 17 | 19 |
| Losing Years | 10 | 8 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 4 | 7 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 69.3% |
| Rolling 6-Month Win Rate | 70.9% | 70.3% |
| Rolling 12-Month Win Rate | 64.5% | 76.1% |
| Rolling 3-Year Win Rate | 72.0% | 92.0% |
| Rolling 5-Year Win Rate | 65.2% | 87.0% |
| Rolling 10-Year Win Rate | 50.0% | 100.0% |
| Rolling 3-Month Periods | 319 | 319 |
| Rolling 6-Month Periods | 316 | 316 |
| Rolling 12-Month Periods | 310 | 310 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
© Copyright 2013 - 2026
Extrategic Investing, LLC.
All rights reserved.
