| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-08-15 | 2025-08-15 |
| Time Elapsed | 25 years, 7 months | 25 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $319,606.65 | $2,390,943.37 |
| CAGR % | 4.64% | 13.19% |
| Max % Drawdown | (14.87%) | (59.17%) |
| Standard Deviation | 1.42% | 6.17% |
| Annualized Sharpe | 0.34 | 0.55 |
| MAR Ratio | 0.31 | 0.22 |
| Win Rate % | 68.8% | 0.0% |
| Avg Win / Loss Ratio | 2.10 | — |
| Expectancy | $1.13 | — |
| Avg Win % | 11.80% | 0.00% |
| Avg Loss % | (3.22%) | 0.00% |
| Longest Drawdown Duration | 55.4 months | 42.9 months |
| Avg Trades Per Year | 0.62 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $319,606.65 | $2,390,943.37 |
| Open Equity | $28,660.87 | $2,290,943.37 |
| Gross Profit | $221,289.47 | $0.00 |
| Gross Loss | ($47,865.59) | $0.00 |
| Net Profit | $173,423.88 | $0.00 |
| Net Long Profit | $173,423.88 | $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 | $17,521.90 | $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 | 12,205.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.22 |
| Calmar Ratio | 0.34 | 0.24 |
| Modified Sharpe Ratio | 0.94 | 0.69 |
| Robust Sharpe Ratio | 0.99 | 0.58 |
| R-Squared | 0.9347 | 0.9447 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.64% | 13.19% |
| RAR | 4.90% | 12.29% |
| Profit Factor | 4.62 | 0.00 |
| Percent Profit Factor | 8.05 | 0.00 |
| Expectancy | $1.13 | — |
| Percentage Expectancy | 0.07 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (59.17%) |
| Longest Drawdown Duration | 55.4 months | 42.9 months |
| Max Monthly % Drawdown | (13.69%) | (54.40%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (41.35%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.6 months | 28.6 months |
| Avg of All % Drawdowns | (0.88%) | (3.42%) |
| Std Dev of All % Drawdowns | 1.48% | 7.45% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (6.18%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 0.0% |
| Lose Rate % | 31.2% | 0.0% |
| Winning Trades | 11 | 0 |
| Losing Trades | 5 | 0 |
| Total Trades | 16 | 0 |
| Max Consecutive Wins | 5 | 0 |
| Max Consecutive Losses | 3 | 0 |
| Avg Trade Duration | 417.7 days | 0.0 days |
| Avg Winning Trade Duration | 555.5 days | 0.0 days |
| Avg Losing Trade Duration | 114.6 days | 0.0 days |
| Largest Winning Trade | $85,604.87 | $0.00 |
| Largest Losing Trade | ($15,771.66) | $0.00 |
| Largest Win as % of Net Profit | 49.36% | — |
| Avg Win | $20,117.22 | $0.00 |
| Avg Loss | ($9,573.12) | $0.00 |
| Avg Win / Loss Ratio | 2.10 | — |
| Avg Trade | $10,838.99 | $0.00 |
| Avg Win % | 11.80% | 0.00% |
| Avg Loss % | (3.22%) | 0.00% |
| Avg Trade % | 7.10% | 0.00% |
| Avg Risk % | (99.94%) | 0.00% |
| Avg Trades Per Year | 0.62 | 0.00 |
| Avg Trades Per Month | 0.05 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.2% | 63.6% |
| Losing Months % | 30.8% | 36.4% |
| Winning Months | 213 | 196 |
| Losing Months | 95 | 112 |
| Total Months | 308 | 308 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 84.6% |
| Losing Years % | 26.9% | 15.4% |
| Winning Years | 19 | 22 |
| Losing Years | 7 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 64.7% |
| Rolling 6-Month Win Rate | 70.6% | 68.0% |
| Rolling 12-Month Win Rate | 75.4% | 75.1% |
| Rolling 3-Year Win Rate | 91.7% | 91.7% |
| Rolling 5-Year Win Rate | 90.9% | 95.5% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 306 | 306 |
| Rolling 6-Month Periods | 303 | 303 |
| Rolling 12-Month Periods | 297 | 297 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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