| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-06-30 | 2025-06-30 |
| Time Elapsed | 25 years, 6 months | 25 years, 6 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $535,955.33 | $672,873.57 |
| CAGR % | 6.81% | 7.77% |
| Max % Drawdown | (10.05%) | (54.82%) |
| Standard Deviation | 1.92% | 4.38% |
| Annualized Sharpe | 0.58 | 0.38 |
| MAR Ratio | 0.68 | 0.14 |
| Win Rate % | 52.0% | 0.0% |
| Avg Win / Loss Ratio | 3.16 | — |
| Expectancy | $1.16 | — |
| Avg Win % | 4.26% | 0.00% |
| Avg Loss % | (1.00%) | 0.00% |
| Longest Drawdown Duration | 28.1 months | 73.5 months |
| Avg Trades Per Year | 3.92 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $535,955.33 | $672,873.57 |
| Open Equity | $29,938.33 | $572,873.57 |
| Gross Profit | $529,274.92 | $0.00 |
| Gross Loss | ($154,744.72) | $0.00 |
| Net Profit | $374,530.20 | $0.00 |
| Net Long Profit | $374,530.20 | $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 | $31,486.80 | $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 | 4,012.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.14 |
| Calmar Ratio | 0.75 | 0.15 |
| Modified Sharpe Ratio | 1.02 | 0.57 |
| Robust Sharpe Ratio | 0.95 | 0.59 |
| R-Squared | 0.9505 | 0.8840 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.81% | 7.77% |
| RAR | 6.33% | 9.01% |
| Profit Factor | 3.42 | 0.00 |
| Percent Profit Factor | 4.63 | 0.00 |
| Expectancy | $1.16 | — |
| Percentage Expectancy | 0.42 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (54.82%) |
| Longest Drawdown Duration | 28.1 months | 73.5 months |
| Max Monthly % Drawdown | (9.11%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (35.85%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 33.2 months |
| Avg of All % Drawdowns | (1.08%) | (2.00%) |
| Std Dev of All % Drawdowns | 1.80% | 5.45% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (2.77%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 52.0% | 0.0% |
| Lose Rate % | 48.0% | 0.0% |
| Winning Trades | 52 | 0 |
| Losing Trades | 48 | 0 |
| Total Trades | 100 | 0 |
| Max Consecutive Wins | 9 | 0 |
| Max Consecutive Losses | 8 | 0 |
| Avg Trade Duration | 314.9 days | 0.0 days |
| Avg Winning Trade Duration | 526.0 days | 0.0 days |
| Avg Losing Trade Duration | 86.2 days | 0.0 days |
| Largest Winning Trade | $61,124.70 | $0.00 |
| Largest Losing Trade | ($8,254.00) | $0.00 |
| Largest Win as % of Net Profit | 16.32% | — |
| Avg Win | $10,178.36 | $0.00 |
| Avg Loss | ($3,223.85) | $0.00 |
| Avg Win / Loss Ratio | 3.16 | — |
| Avg Trade | $3,745.30 | $0.00 |
| Avg Win % | 4.26% | 0.00% |
| Avg Loss % | (1.00%) | 0.00% |
| Avg Trade % | 1.74% | 0.00% |
| Avg Risk % | (4.11%) | 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 % | 68.3% | 64.4% |
| Losing Months % | 31.7% | 35.6% |
| Winning Months | 209 | 197 |
| Losing Months | 97 | 109 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 12 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 76.9% |
| Losing Years % | 19.2% | 23.1% |
| Winning Years | 21 | 20 |
| Losing Years | 5 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 9 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.8% | 68.4% |
| Rolling 6-Month Win Rate | 74.4% | 71.8% |
| Rolling 12-Month Win Rate | 81.4% | 76.9% |
| Rolling 3-Year Win Rate | 100.0% | 79.2% |
| Rolling 5-Year Win Rate | 100.0% | 86.4% |
| Rolling 10-Year Win Rate | 100.0% | 94.1% |
| 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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