| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-01 | 2026-05-01 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $348,226.23 | $112,068.96 |
| CAGR % | 4.85% | 0.43% |
| Max % Drawdown | (60.26%) | (42.03%) |
| Standard Deviation | 4.60% | 2.27% |
| Annualized Sharpe | 0.19 | (0.28) |
| MAR Ratio | 0.08 | 0.01 |
| Win Rate % | 39.3% | 79.0% |
| Avg Win / Loss Ratio | 2.27 | 0.32 |
| Expectancy | $0.28 | $0.04 |
| Avg Win % | 19.57% | 0.95% |
| Avg Loss % | (6.45%) | (2.82%) |
| Longest Drawdown Duration | 212.3 months | 278.8 months |
| Avg Trades Per Year | 1.06 | 3.99 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $348,226.23 | $112,068.96 |
| Open Equity | $122,751.60 | $0.00 |
| Gross Profit | $303,703.87 | $71,754.00 |
| Gross Loss | ($206,835.83) | ($59,686.04) |
| Net Profit | $96,868.04 | $12,068.96 |
| Net Long Profit | $96,868.04 | $12,068.96 |
| 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 | $28,606.59 | $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 | 1,264.0 | 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 | 0.08 | 0.01 |
| Calmar Ratio | 0.08 | 0.01 |
| Modified Sharpe Ratio | 0.38 | 0.10 |
| Robust Sharpe Ratio | 0.08 | 0.05 |
| R-Squared | 0.1565 | 0.0720 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.85% | 0.43% |
| RAR | 1.25% | 0.37% |
| Profit Factor | 1.47 | 1.20 |
| Percent Profit Factor | 1.96 | 1.28 |
| Expectancy | $0.28 | $0.04 |
| Percentage Expectancy | 0.04 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (60.26%) | (42.03%) |
| Longest Drawdown Duration | 212.3 months | 278.8 months |
| Max Monthly % Drawdown | (58.84%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (30.52%) | (9.44%) |
| Avg Duration of Top-5 Longest Drawdowns | 57.6 months | 60.2 months |
| Avg of All % Drawdowns | (4.48%) | (1.89%) |
| Std Dev of All % Drawdowns | 8.63% | 8.03% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (43.60%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (43.56%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (19.00%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 17.80% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 39.3% | 79.0% |
| Lose Rate % | 60.7% | 21.0% |
| Winning Trades | 11 | 83 |
| Losing Trades | 17 | 22 |
| Total Trades | 28 | 105 |
| Max Consecutive Wins | 4 | 15 |
| Max Consecutive Losses | 7 | 4 |
| Avg Trade Duration | 191.5 days | 136.3 days |
| Avg Winning Trade Duration | 357.3 days | 81.0 days |
| Avg Losing Trade Duration | 84.2 days | 341.3 days |
| Largest Winning Trade | $106,576.40 | $3,296.90 |
| Largest Losing Trade | ($34,666.80) | ($7,363.83) |
| Largest Win as % of Net Profit | 110.02% | 27.32% |
| Avg Win | $27,609.44 | $864.52 |
| Avg Loss | ($12,166.81) | ($2,713.00) |
| Avg Win / Loss Ratio | 2.27 | 0.32 |
| Avg Trade | $3,459.57 | $114.94 |
| Avg Win % | 19.57% | 0.95% |
| Avg Loss % | (6.45%) | (2.82%) |
| Avg Trade % | 3.77% | 0.16% |
| Avg Risk % | (98.65%) | (18.82%) |
| Avg Trades Per Year | 1.06 | 3.99 |
| Avg Trades Per Month | 0.09 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 71.3% | 66.6% |
| Losing Months % | 28.7% | 33.4% |
| Winning Months | 226 | 211 |
| Losing Months | 91 | 106 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 22 | 23 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 63.0% | 63.0% |
| Losing Years % | 37.0% | 37.0% |
| Winning Years | 17 | 17 |
| Losing Years | 10 | 10 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 4 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 64.8% | 69.5% |
| Rolling 6-Month Win Rate | 55.4% | 70.5% |
| Rolling 12-Month Win Rate | 52.6% | 64.1% |
| Rolling 3-Year Win Rate | 64.0% | 72.0% |
| Rolling 5-Year Win Rate | 65.2% | 65.2% |
| Rolling 10-Year Win Rate | 55.6% | 50.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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