| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-05-02 | 2025-05-02 |
| Time Elapsed | 25 years, 4 months | 25 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,003,573.01 | $972,236.01 |
| CAGR % | 9.53% | 9.40% |
| Max % Drawdown | (21.03%) | (68.13%) |
| Standard Deviation | 3.59% | 5.72% |
| Annualized Sharpe | 0.56 | 0.41 |
| MAR Ratio | 0.45 | 0.14 |
| Win Rate % | 57.9% | 0.0% |
| Avg Win / Loss Ratio | 3.73 | — |
| Expectancy | $1.74 | — |
| Avg Win % | 27.89% | 0.00% |
| Avg Loss % | (3.92%) | 0.00% |
| Longest Drawdown Duration | 39.1 months | 71.1 months |
| Avg Trades Per Year | 0.75 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,003,573.01 | $972,236.01 |
| Open Equity | $0.00 | $872,236.01 |
| Gross Profit | $1,044,934.50 | $0.00 |
| Gross Loss | ($203,958.92) | $0.00 |
| Net Profit | $840,975.58 | $0.00 |
| Net Long Profit | $840,975.58 | $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 | $62,597.43 | $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 | 1,990.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.14 |
| Calmar Ratio | 0.45 | 0.14 |
| Modified Sharpe Ratio | 0.79 | 0.56 |
| Robust Sharpe Ratio | 0.75 | 0.44 |
| R-Squared | 0.9168 | 0.9064 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.53% | 9.40% |
| RAR | 9.30% | 8.72% |
| Profit Factor | 5.12 | 0.00 |
| Percent Profit Factor | 9.78 | 0.00 |
| Expectancy | $1.74 | — |
| Percentage Expectancy | 0.15 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (68.13%) |
| Longest Drawdown Duration | 39.1 months | 71.1 months |
| Max Monthly % Drawdown | (21.03%) | (68.13%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (31.07%) |
| Avg Duration of Top-5 Longest Drawdowns | 29.0 months | 30.3 months |
| Avg of All % Drawdowns | (6.65%) | (9.27%) |
| Std Dev of All % Drawdowns | 5.36% | 13.71% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (5.45%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.9% | 0.0% |
| Lose Rate % | 42.1% | 0.0% |
| Winning Trades | 11 | 0 |
| Losing Trades | 8 | 0 |
| Total Trades | 19 | 0 |
| Max Consecutive Wins | 3 | 0 |
| Max Consecutive Losses | 4 | 0 |
| Avg Trade Duration | 350.4 days | 0.0 days |
| Avg Winning Trade Duration | 541.9 days | 0.0 days |
| Avg Losing Trade Duration | 87.1 days | 0.0 days |
| Largest Winning Trade | $216,040.20 | $0.00 |
| Largest Losing Trade | ($55,980.54) | $0.00 |
| Largest Win as % of Net Profit | 25.69% | — |
| Avg Win | $94,994.05 | $0.00 |
| Avg Loss | ($25,494.86) | $0.00 |
| Avg Win / Loss Ratio | 3.73 | — |
| Avg Trade | $44,261.87 | $0.00 |
| Avg Win % | 27.89% | 0.00% |
| Avg Loss % | (3.92%) | 0.00% |
| Avg Trade % | 14.49% | 0.00% |
| Avg Risk % | (99.50%) | 0.00% |
| Avg Trades Per Year | 0.75 | 0.00 |
| Avg Trades Per Month | 0.06 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.4% | 63.6% |
| Losing Months % | 25.6% | 36.4% |
| Winning Months | 227 | 194 |
| Losing Months | 78 | 111 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 18 | 14 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 65.4% | 80.8% |
| Losing Years % | 34.6% | 19.2% |
| Winning Years | 17 | 21 |
| Losing Years | 9 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 65.7% |
| Rolling 6-Month Win Rate | 70.3% | 72.0% |
| Rolling 12-Month Win Rate | 74.5% | 77.2% |
| Rolling 3-Year Win Rate | 91.7% | 83.3% |
| Rolling 5-Year Win Rate | 100.0% | 86.4% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 303 | 303 |
| Rolling 6-Month Periods | 300 | 300 |
| Rolling 12-Month Periods | 294 | 294 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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