| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-10-09 | 2026-10-09 |
| Time Elapsed | 26 years, 9 months | 26 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,049,717.23 | $87,517.91 |
| CAGR % | 9.18% | (0.50%) |
| Max % Drawdown | (21.03%) | (48.93%) |
| Standard Deviation | 3.60% | 3.27% |
| Annualized Sharpe | 0.53 | (0.25) |
| MAR Ratio | 0.44 | (0.01) |
| Win Rate % | 57.1% | 61.5% |
| Avg Win / Loss Ratio | 3.69 | 0.55 |
| Expectancy | $1.68 | ($0.05) |
| Avg Win % | 25.96% | 9.28% |
| Avg Loss % | (3.68%) | (13.62%) |
| Longest Drawdown Duration | 50.0 months | 220.6 months |
| Avg Trades Per Year | 0.78 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,049,717.23 | $87,517.91 |
| Open Equity | $0.00 | $1,791.05 |
| Gross Profit | $1,093,145.76 | $106,549.12 |
| Gross Loss | ($222,099.67) | ($120,822.26) |
| Net Profit | $871,046.10 | ($14,273.14) |
| Net Long Profit | $871,046.10 | ($14,273.14) |
| 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 | $78,671.13 | $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 | 2,182.0 | 372.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | (0.01) |
| Calmar Ratio | 0.44 | (0.01) |
| Modified Sharpe Ratio | 0.77 | 0.01 |
| Robust Sharpe Ratio | 0.71 | (0.02) |
| R-Squared | 0.9143 | 0.0338 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.18% | (0.50%) |
| RAR | 8.91% | (0.28%) |
| Profit Factor | 4.92 | 0.88 |
| Percent Profit Factor | 9.40 | 1.09 |
| Expectancy | $1.68 | ($0.05) |
| Percentage Expectancy | 0.13 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (48.93%) |
| Longest Drawdown Duration | 50.0 months | 220.6 months |
| Max Monthly % Drawdown | (21.03%) | (41.16%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (25.62%) |
| Avg Duration of Top-5 Longest Drawdowns | 31.4 months | 79.2 months |
| Avg of All % Drawdowns | (6.84%) | (17.84%) |
| Std Dev of All % Drawdowns | 5.78% | 23.47% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (38.72%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (38.72%) |
| Closed-Equity Avg of All % Drawdown | (4.84%) | (38.72%) |
| Closed-Equity Std Dev of All % Drawdown | 3.67% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.1% | 61.5% |
| Lose Rate % | 42.9% | 38.5% |
| Winning Trades | 12 | 16 |
| Losing Trades | 9 | 10 |
| Total Trades | 21 | 26 |
| Max Consecutive Wins | 3 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 334.5 days | 184.0 days |
| Avg Winning Trade Duration | 522.1 days | 183.9 days |
| Avg Losing Trade Duration | 84.4 days | 184.3 days |
| Largest Winning Trade | $216,040.20 | $18,925.42 |
| Largest Losing Trade | ($55,980.54) | ($39,151.52) |
| Largest Win as % of Net Profit | 24.80% | (132.59%) |
| Avg Win | $91,095.48 | $6,659.32 |
| Avg Loss | ($24,677.74) | ($12,082.23) |
| Avg Win / Loss Ratio | 3.69 | 0.55 |
| Avg Trade | $41,478.39 | ($548.97) |
| Avg Win % | 25.96% | 9.28% |
| Avg Loss % | (3.68%) | (13.62%) |
| Avg Trade % | 13.26% | 0.47% |
| Avg Risk % | (99.46%) | (96.32%) |
| Avg Trades Per Year | 0.78 | 0.97 |
| Avg Trades Per Month | 0.07 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 73.9% | 74.2% |
| Losing Months % | 26.1% | 25.8% |
| Winning Months | 238 | 239 |
| Losing Months | 84 | 83 |
| Total Months | 322 | 322 |
| Max Consecutive Winning Months | 18 | 14 |
| Max Consecutive Losing Months | 3 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 66.7% | 63.0% |
| Losing Years % | 33.3% | 37.0% |
| Winning Years | 18 | 17 |
| Losing Years | 9 | 10 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 5 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 66.9% |
| Rolling 6-Month Win Rate | 69.7% | 55.8% |
| Rolling 12-Month Win Rate | 74.6% | 60.1% |
| Rolling 3-Year Win Rate | 92.0% | 56.0% |
| Rolling 5-Year Win Rate | 95.7% | 43.5% |
| Rolling 10-Year Win Rate | 100.0% | 44.4% |
| Rolling 3-Month Periods | 320 | 320 |
| Rolling 6-Month Periods | 317 | 317 |
| Rolling 12-Month Periods | 311 | 311 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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