| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-10-09 | 2026-10-09 |
| Time Elapsed | 26 years, 9 months | 26 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $653,357.18 | $1,049,717.23 |
| CAGR % | 7.26% | 9.18% |
| Max % Drawdown | (10.05%) | (21.03%) |
| Standard Deviation | 1.92% | 3.60% |
| Annualized Sharpe | 0.64 | 0.53 |
| MAR Ratio | 0.72 | 0.44 |
| Win Rate % | 52.4% | 57.1% |
| Avg Win / Loss Ratio | 3.20 | 3.69 |
| Expectancy | $1.20 | $1.68 |
| Avg Win % | 4.13% | 25.96% |
| Avg Loss % | (0.97%) | (3.68%) |
| Longest Drawdown Duration | 28.1 months | 50.0 months |
| Avg Trades Per Year | 3.92 | 0.78 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $653,357.18 | $1,049,717.23 |
| Open Equity | $120,671.79 | $0.00 |
| Gross Profit | $556,693.27 | $1,093,145.76 |
| Gross Loss | ($157,994.17) | ($222,099.67) |
| Net Profit | $398,699.09 | $871,046.10 |
| Net Long Profit | $398,699.09 | $871,046.10 |
| 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 | $33,986.30 | $78,671.13 |
| 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 | 4,486.0 | 2,182.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.72 | 0.44 |
| Calmar Ratio | 0.80 | 0.44 |
| Modified Sharpe Ratio | 1.09 | 0.77 |
| Robust Sharpe Ratio | 0.95 | 0.71 |
| R-Squared | 0.9566 | 0.9143 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.26% | 9.18% |
| RAR | 6.33% | 8.91% |
| Profit Factor | 3.52 | 4.92 |
| Percent Profit Factor | 4.69 | 9.40 |
| Expectancy | $1.20 | $1.68 |
| Percentage Expectancy | 0.42 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (21.03%) |
| Longest Drawdown Duration | 28.1 months | 50.0 months |
| Max Monthly % Drawdown | (9.11%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 31.4 months |
| Avg of All % Drawdowns | (1.03%) | (6.84%) |
| Std Dev of All % Drawdowns | 1.72% | 5.78% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (2.48%) | (4.84%) |
| Closed-Equity Std Dev of All % Drawdown | 2.45% | 3.67% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 52.4% | 57.1% |
| Lose Rate % | 47.6% | 42.9% |
| Winning Trades | 55 | 12 |
| Losing Trades | 50 | 9 |
| Total Trades | 105 | 21 |
| Max Consecutive Wins | 9 | 3 |
| Max Consecutive Losses | 8 | 4 |
| Avg Trade Duration | 315.3 days | 334.5 days |
| Avg Winning Trade Duration | 523.9 days | 522.1 days |
| Avg Losing Trade Duration | 85.9 days | 84.4 days |
| Largest Winning Trade | $61,124.70 | $216,040.20 |
| Largest Losing Trade | ($8,254.00) | ($55,980.54) |
| Largest Win as % of Net Profit | 15.33% | 24.80% |
| Avg Win | $10,121.70 | $91,095.48 |
| Avg Loss | ($3,159.88) | ($24,677.74) |
| Avg Win / Loss Ratio | 3.20 | 3.69 |
| Avg Trade | $3,797.13 | $41,478.39 |
| Avg Win % | 4.13% | 25.96% |
| Avg Loss % | (0.97%) | (3.68%) |
| Avg Trade % | 1.70% | 13.26% |
| Avg Risk % | (4.10%) | (99.46%) |
| Avg Trades Per Year | 3.92 | 0.78 |
| Avg Trades Per Month | 0.33 | 0.07 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.9% | 73.9% |
| Losing Months % | 31.1% | 26.1% |
| Winning Months | 222 | 238 |
| Losing Months | 100 | 84 |
| Total Months | 322 | 322 |
| Max Consecutive Winning Months | 12 | 18 |
| Max Consecutive Losing Months | 4 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 66.7% |
| Losing Years % | 18.5% | 33.3% |
| Winning Years | 22 | 18 |
| Losing Years | 5 | 9 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.3% | 69.7% |
| Rolling 6-Month Win Rate | 75.7% | 69.7% |
| Rolling 12-Month Win Rate | 82.3% | 74.6% |
| Rolling 3-Year Win Rate | 100.0% | 92.0% |
| Rolling 5-Year Win Rate | 100.0% | 95.7% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 320 | 320 |
| Rolling 6-Month Periods | 317 | 317 |
| Rolling 12-Month Periods | 311 | 311 |
| 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.
