| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-02-14 | 2025-02-14 |
| Time Elapsed | 25 years, 1 month | 25 years, 1 month |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $532,388.40 | $659,662.68 |
| CAGR % | 6.88% | 7.80% |
| Max % Drawdown | (10.05%) | (54.82%) |
| Standard Deviation | 1.93% | 4.37% |
| Annualized Sharpe | 0.59 | 0.38 |
| MAR Ratio | 0.68 | 0.14 |
| Win Rate % | 51.5% | 0.0% |
| Avg Win / Loss Ratio | 3.11 | — |
| Expectancy | $1.12 | — |
| Avg Win % | 4.30% | 0.00% |
| Avg Loss % | (1.00%) | 0.00% |
| Longest Drawdown Duration | 28.1 months | 73.5 months |
| Avg Trades Per Year | 3.86 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $532,388.40 | $659,662.68 |
| Open Equity | $56,748.10 | $559,662.68 |
| Gross Profit | $496,765.06 | $0.00 |
| Gross Loss | ($150,311.49) | $0.00 |
| Net Profit | $346,453.57 | $0.00 |
| Net Long Profit | $346,453.57 | $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 | $29,186.73 | $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 | 3,965.0 | 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 | 0.76 | 0.15 |
| Modified Sharpe Ratio | 1.03 | 0.57 |
| Robust Sharpe Ratio | 0.95 | 0.59 |
| R-Squared | 0.9493 | 0.8794 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.88% | 7.80% |
| RAR | 6.36% | 8.91% |
| Profit Factor | 3.30 | 0.00 |
| Percent Profit Factor | 4.57 | 0.00 |
| Expectancy | $1.12 | — |
| 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 | (1.06%) | (1.94%) |
| Std Dev of All % Drawdowns | 1.78% | 5.36% |
| 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 | (2.74%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.5% | 0.0% |
| Lose Rate % | 48.5% | 0.0% |
| Winning Trades | 50 | 0 |
| Losing Trades | 47 | 0 |
| Total Trades | 97 | 0 |
| Max Consecutive Wins | 9 | 0 |
| Max Consecutive Losses | 8 | 0 |
| Avg Trade Duration | 315.3 days | 0.0 days |
| Avg Winning Trade Duration | 531.3 days | 0.0 days |
| Avg Losing Trade Duration | 85.5 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 | 17.64% | — |
| Avg Win | $9,935.30 | $0.00 |
| Avg Loss | ($3,198.12) | $0.00 |
| Avg Win / Loss Ratio | 3.11 | — |
| Avg Trade | $3,571.69 | $0.00 |
| Avg Win % | 4.30% | 0.00% |
| Avg Loss % | (1.00%) | 0.00% |
| Avg Trade % | 1.73% | 0.00% |
| Avg Risk % | (4.10%) | 0.00% |
| Avg Trades Per Year | 3.86 | 0.00 |
| Avg Trades Per Month | 0.32 | 0.00 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.5% | 64.9% |
| Losing Months % | 31.5% | 35.1% |
| Winning Months | 207 | 196 |
| Losing Months | 95 | 106 |
| Total Months | 302 | 302 |
| 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 | 69.0% | 69.3% |
| Rolling 6-Month Win Rate | 74.7% | 72.4% |
| Rolling 12-Month Win Rate | 81.1% | 76.6% |
| 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 | 300 | 300 |
| Rolling 6-Month Periods | 297 | 297 |
| Rolling 12-Month Periods | 291 | 291 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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