| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-21 | 2025-04-21 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,002,456.42 | $263,355.23 |
| CAGR % | 9.54% | 3.90% |
| Max % Drawdown | (21.03%) | (20.79%) |
| Standard Deviation | 3.60% | 1.81% |
| Annualized Sharpe | 0.56 | 0.17 |
| MAR Ratio | 0.45 | 0.19 |
| 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 | 38.7 months | 56.5 months |
| Avg Trades Per Year | 0.75 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,002,456.42 | $263,355.23 |
| Open Equity | $0.00 | $163,355.23 |
| 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 | $61,480.84 | $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 | 0.19 |
| Calmar Ratio | 0.45 | 0.20 |
| Modified Sharpe Ratio | 0.79 | 0.64 |
| Robust Sharpe Ratio | 0.75 | 0.60 |
| R-Squared | 0.9168 | 0.8909 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.54% | 3.90% |
| RAR | 9.31% | 3.76% |
| 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%) | (20.79%) |
| Longest Drawdown Duration | 38.7 months | 56.5 months |
| Max Monthly % Drawdown | (21.03%) | (19.92%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (11.43%) |
| Avg Duration of Top-5 Longest Drawdowns | 28.9 months | 31.3 months |
| Avg of All % Drawdowns | (6.65%) | (1.40%) |
| Std Dev of All % Drawdowns | 5.36% | 1.95% |
| 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 % | 74.3% | 56.9% |
| Losing Months % | 25.7% | 43.1% |
| Winning Months | 226 | 173 |
| Losing Months | 78 | 131 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 18 | 8 |
| Max Consecutive Losing Months | 3 | 6 |
| 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 | 69.9% | 61.6% |
| Rolling 6-Month Win Rate | 70.6% | 65.9% |
| Rolling 12-Month Win Rate | 74.4% | 71.3% |
| Rolling 3-Year Win Rate | 91.7% | 87.5% |
| Rolling 5-Year Win Rate | 100.0% | 90.9% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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