| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-03-31 | 2025-03-31 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $244,575.63 | $138,211.84 |
| CAGR % | 3.61% | 1.29% |
| Max % Drawdown | (60.26%) | (88.50%) |
| Standard Deviation | 4.42% | 6.52% |
| Annualized Sharpe | 0.11 | 0.04 |
| MAR Ratio | 0.06 | 0.01 |
| Win Rate % | 40.7% | 0.0% |
| Avg Win / Loss Ratio | 2.24 | — |
| Expectancy | $0.32 | — |
| Avg Win % | 19.57% | 0.00% |
| Avg Loss % | (6.60%) | 0.00% |
| Longest Drawdown Duration | 200.8 months | 200.8 months |
| Avg Trades Per Year | 1.07 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $244,575.63 | $138,211.84 |
| Open Equity | $10,924.20 | $38,211.84 |
| Gross Profit | $303,703.87 | $0.00 |
| Gross Loss | ($197,205.02) | $0.00 |
| Net Profit | $106,498.85 | $0.00 |
| Net Long Profit | $106,498.85 | $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 | $27,152.58 | $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 | 1,201.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.06 | 0.01 |
| Calmar Ratio | 0.06 | 0.01 |
| Modified Sharpe Ratio | 0.31 | 0.17 |
| Robust Sharpe Ratio | 0.07 | (0.11) |
| R-Squared | 0.1104 | 0.2512 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 3.61% | 1.29% |
| RAR | 1.07% | (2.57%) |
| Profit Factor | 1.54 | 0.00 |
| Percent Profit Factor | 2.04 | 0.00 |
| Expectancy | $0.32 | — |
| Percentage Expectancy | 0.04 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (60.26%) | (88.50%) |
| Longest Drawdown Duration | 200.8 months | 200.8 months |
| Max Monthly % Drawdown | (58.84%) | (87.18%) |
| Avg of Top-5 Max % Drawdowns | (30.52%) | (40.24%) |
| Avg Duration of Top-5 Longest Drawdowns | 55.3 months | 53.0 months |
| Avg of All % Drawdowns | (3.67%) | (4.19%) |
| Std Dev of All % Drawdowns | 5.66% | 6.80% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (43.60%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (43.56%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (18.63%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 17.80% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 40.7% | 0.0% |
| Lose Rate % | 59.3% | 0.0% |
| Winning Trades | 11 | 0 |
| Losing Trades | 16 | 0 |
| Total Trades | 27 | 0 |
| Max Consecutive Wins | 4 | 0 |
| Max Consecutive Losses | 7 | 0 |
| Avg Trade Duration | 194.1 days | 0.0 days |
| Avg Winning Trade Duration | 357.3 days | 0.0 days |
| Avg Losing Trade Duration | 82.0 days | 0.0 days |
| Largest Winning Trade | $106,576.40 | $0.00 |
| Largest Losing Trade | ($34,666.80) | $0.00 |
| Largest Win as % of Net Profit | 100.07% | — |
| Avg Win | $27,609.44 | $0.00 |
| Avg Loss | ($12,325.31) | $0.00 |
| Avg Win / Loss Ratio | 2.24 | — |
| Avg Trade | $3,944.40 | $0.00 |
| Avg Win % | 19.57% | 0.00% |
| Avg Loss % | (6.60%) | 0.00% |
| Avg Trade % | 4.06% | 0.00% |
| Avg Risk % | (98.65%) | 0.00% |
| Avg Trades Per Year | 1.07 | 0.00 |
| Avg Trades Per Month | 0.09 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 71.6% | 55.8% |
| Losing Months % | 28.4% | 44.2% |
| Winning Months | 217 | 169 |
| Losing Months | 86 | 134 |
| Total Months | 303 | 303 |
| Max Consecutive Winning Months | 22 | 8 |
| Max Consecutive Losing Months | 4 | 8 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 61.5% |
| Losing Years % | 38.5% | 38.5% |
| Winning Years | 16 | 16 |
| Losing Years | 10 | 10 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 64.1% | 56.5% |
| Rolling 6-Month Win Rate | 55.4% | 58.1% |
| Rolling 12-Month Win Rate | 51.7% | 54.1% |
| Rolling 3-Year Win Rate | 66.7% | 62.5% |
| Rolling 5-Year Win Rate | 63.6% | 45.5% |
| Rolling 10-Year Win Rate | 52.9% | 41.2% |
| Rolling 3-Month Periods | 301 | 301 |
| Rolling 6-Month Periods | 298 | 298 |
| Rolling 12-Month Periods | 292 | 292 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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