| 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 | $1,104,236.60 | $635,904.76 |
| CAGR % | 9.55% | 7.28% |
| Max % Drawdown | (21.03%) | (10.05%) |
| Standard Deviation | 3.60% | 1.92% |
| Annualized Sharpe | 0.56 | 0.64 |
| MAR Ratio | 0.45 | 0.72 |
| Win Rate % | 55.0% | 52.4% |
| Avg Win / Loss Ratio | 3.85 | 3.20 |
| Expectancy | $1.67 | $1.20 |
| Avg Win % | 27.89% | 4.19% |
| Avg Loss % | (3.68%) | (0.98%) |
| Longest Drawdown Duration | 50.0 months | 28.1 months |
| Avg Trades Per Year | 0.76 | 3.91 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,104,236.60 | $635,904.76 |
| Open Equity | $103,763.65 | $107,795.16 |
| Gross Profit | $1,044,934.50 | $551,618.40 |
| Gross Loss | ($222,099.67) | ($156,614.90) |
| Net Profit | $822,834.83 | $395,003.50 |
| Net Long Profit | $822,834.83 | $395,003.50 |
| 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 | $77,638.11 | $33,106.10 |
| 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 | 2,087.0 | 4,250.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.72 |
| Calmar Ratio | 0.45 | 0.80 |
| Modified Sharpe Ratio | 0.79 | 1.09 |
| Robust Sharpe Ratio | 0.72 | 0.95 |
| R-Squared | 0.9139 | 0.9544 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.55% | 7.28% |
| RAR | 9.01% | 6.31% |
| Profit Factor | 4.70 | 3.52 |
| Percent Profit Factor | 9.25 | 4.69 |
| Expectancy | $1.67 | $1.20 |
| Percentage Expectancy | 0.14 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (10.05%) |
| Longest Drawdown Duration | 50.0 months | 28.1 months |
| Max Monthly % Drawdown | (21.03%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 31.4 months | 23.8 months |
| Avg of All % Drawdowns | (7.10%) | (1.03%) |
| Std Dev of All % Drawdowns | 5.73% | 1.73% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (5.55%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 2.46% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 55.0% | 52.4% |
| Lose Rate % | 45.0% | 47.6% |
| Winning Trades | 11 | 54 |
| Losing Trades | 9 | 49 |
| Total Trades | 20 | 103 |
| Max Consecutive Wins | 3 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Avg Trade Duration | 336.1 days | 317.6 days |
| Avg Winning Trade Duration | 541.9 days | 527.9 days |
| Avg Losing Trade Duration | 84.4 days | 85.8 days |
| Largest Winning Trade | $216,040.20 | $61,124.70 |
| Largest Losing Trade | ($55,980.54) | ($8,254.00) |
| Largest Win as % of Net Profit | 26.26% | 15.47% |
| Avg Win | $94,994.05 | $10,215.16 |
| Avg Loss | ($24,677.74) | ($3,196.22) |
| Avg Win / Loss Ratio | 3.85 | 3.20 |
| Avg Trade | $41,141.74 | $3,834.99 |
| Avg Win % | 27.89% | 4.19% |
| Avg Loss % | (3.68%) | (0.98%) |
| Avg Trade % | 13.68% | 1.73% |
| Avg Risk % | (99.48%) | (4.10%) |
| Avg Trades Per Year | 0.76 | 3.91 |
| Avg Trades Per Month | 0.06 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.4% | 69.1% |
| Losing Months % | 25.6% | 30.9% |
| Winning Months | 236 | 219 |
| Losing Months | 81 | 98 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 18 | 12 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 66.7% | 81.5% |
| Losing Years % | 33.3% | 18.5% |
| Winning Years | 18 | 22 |
| Losing Years | 9 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.8% | 69.8% |
| Rolling 6-Month Win Rate | 69.6% | 75.3% |
| Rolling 12-Month Win Rate | 74.2% | 82.0% |
| Rolling 3-Year Win Rate | 92.0% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| 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 |
© Copyright 2013 - 2026
Extrategic Investing, LLC.
All rights reserved.
