| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $304,682.17 | $339,887.94 |
| CAGR % | 4.56% | 5.02% |
| Max % Drawdown | (14.87%) | (41.00%) |
| Standard Deviation | 1.43% | 3.52% |
| Annualized Sharpe | 0.33 | 0.22 |
| MAR Ratio | 0.31 | 0.12 |
| 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 | 47.0 months | 57.8 months |
| Avg Trades Per Year | 0.64 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $304,682.17 | $339,887.94 |
| Open Equity | $13,739.25 | $239,887.94 |
| 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 | $17,519.04 | $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 | 0.12 |
| Calmar Ratio | 0.33 | 0.13 |
| Modified Sharpe Ratio | 0.92 | 0.46 |
| Robust Sharpe Ratio | 1.01 | 0.46 |
| R-Squared | 0.9406 | 0.8938 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.56% | 5.02% |
| RAR | 5.03% | 5.58% |
| 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%) | (41.00%) |
| Longest Drawdown Duration | 47.0 months | 57.8 months |
| Max Monthly % Drawdown | (13.69%) | (38.14%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (22.98%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.1 months | 34.1 months |
| Avg of All % Drawdowns | (0.88%) | (3.01%) |
| Std Dev of All % Drawdowns | 1.48% | 4.35% |
| 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 | 0.64 | 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 % | 69.1% | 56.1% |
| Losing Months % | 30.9% | 43.9% |
| Winning Months | 208 | 169 |
| Losing Months | 93 | 132 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 12 | 6 |
| Max Consecutive Losing Months | 4 | 7 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 69.2% | 69.2% |
| Losing Years % | 30.8% | 30.8% |
| Winning Years | 18 | 18 |
| Losing Years | 8 | 8 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 59.2% |
| Rolling 6-Month Win Rate | 70.3% | 60.8% |
| Rolling 12-Month Win Rate | 74.8% | 70.3% |
| Rolling 3-Year Win Rate | 87.5% | 83.3% |
| Rolling 5-Year Win Rate | 90.9% | 77.3% |
| Rolling 10-Year Win Rate | 100.0% | 88.2% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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