| 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 | $521,396.83 | $111,477.74 |
| CAGR % | 6.36% | 0.41% |
| Max % Drawdown | (28.57%) | (42.03%) |
| Standard Deviation | 3.12% | 2.25% |
| Annualized Sharpe | 0.35 | (0.29) |
| MAR Ratio | 0.22 | 0.01 |
| Win Rate % | 42.1% | 79.0% |
| Avg Win / Loss Ratio | 4.36 | 0.32 |
| Expectancy | $1.26 | $0.04 |
| Avg Win % | 30.88% | 0.95% |
| Avg Loss % | (5.29%) | (2.82%) |
| Longest Drawdown Duration | 48.9 months | 278.8 months |
| Avg Trades Per Year | 0.71 | 3.92 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $521,396.83 | $111,477.74 |
| Open Equity | $145,158.53 | ($591.36) |
| Gross Profit | $370,996.94 | $71,755.14 |
| Gross Loss | ($117,116.58) | ($59,686.04) |
| Net Profit | $253,880.36 | $12,069.10 |
| Net Long Profit | $253,880.36 | $12,069.10 |
| 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 | $22,357.94 | $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 | 669.0 | 1,881.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.22 | 0.01 |
| Calmar Ratio | 0.24 | 0.01 |
| Modified Sharpe Ratio | 0.63 | 0.09 |
| Robust Sharpe Ratio | 0.50 | 0.05 |
| R-Squared | 0.8552 | 0.0930 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.36% | 0.41% |
| RAR | 5.39% | 0.43% |
| Profit Factor | 3.17 | 1.20 |
| Percent Profit Factor | 4.24 | 1.28 |
| Expectancy | $1.26 | $0.04 |
| Percentage Expectancy | 0.10 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (28.57%) | (42.03%) |
| Longest Drawdown Duration | 48.9 months | 278.8 months |
| Max Monthly % Drawdown | (26.50%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (21.46%) | (9.48%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 60.3 months |
| Avg of All % Drawdowns | (2.62%) | (1.89%) |
| Std Dev of All % Drawdowns | 4.36% | 8.03% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (14.59%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (14.59%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (8.06%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 5.71% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 42.1% | 79.0% |
| Lose Rate % | 57.9% | 21.0% |
| Winning Trades | 8 | 83 |
| Losing Trades | 11 | 22 |
| Total Trades | 19 | 105 |
| Max Consecutive Wins | 3 | 15 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 314.0 days | 136.3 days |
| Avg Winning Trade Duration | 608.4 days | 81.0 days |
| Avg Losing Trade Duration | 99.9 days | 341.3 days |
| Largest Winning Trade | $126,225.36 | $3,296.90 |
| Largest Losing Trade | ($32,828.35) | ($7,363.83) |
| Largest Win as % of Net Profit | 49.72% | 27.32% |
| Avg Win | $46,374.62 | $864.52 |
| Avg Loss | ($10,646.96) | ($2,713.00) |
| Avg Win / Loss Ratio | 4.36 | 0.32 |
| Avg Trade | $13,362.12 | $114.94 |
| Avg Win % | 30.88% | 0.95% |
| Avg Loss % | (5.29%) | (2.82%) |
| Avg Trade % | 9.94% | 0.16% |
| Avg Risk % | (98.26%) | (18.82%) |
| Avg Trades Per Year | 0.71 | 3.92 |
| Avg Trades Per Month | 0.06 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 72.4% | 66.8% |
| Losing Months % | 27.6% | 33.2% |
| Winning Months | 233 | 215 |
| Losing Months | 89 | 107 |
| Total Months | 322 | 322 |
| Max Consecutive Winning Months | 22 | 23 |
| Max Consecutive Losing Months | 5 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 59.3% | 63.0% |
| Losing Years % | 40.7% | 37.0% |
| Winning Years | 16 | 17 |
| Losing Years | 11 | 10 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 5 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.0% | 69.4% |
| Rolling 6-Month Win Rate | 66.6% | 70.7% |
| Rolling 12-Month Win Rate | 65.0% | 64.6% |
| Rolling 3-Year Win Rate | 88.0% | 72.0% |
| Rolling 5-Year Win Rate | 82.6% | 65.2% |
| Rolling 10-Year Win Rate | 100.0% | 50.0% |
| 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 |
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