| 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 | $169,463.23 | $615,224.58 |
| CAGR % | 2.10% | 7.44% |
| Max % Drawdown | (41.31%) | (54.82%) |
| Standard Deviation | 3.04% | 4.37% |
| Annualized Sharpe | (0.03) | 0.35 |
| MAR Ratio | 0.05 | 0.14 |
| Win Rate % | 76.0% | 0.0% |
| Avg Win / Loss Ratio | 0.62 | — |
| Expectancy | $0.23 | — |
| Avg Win % | 7.37% | 0.00% |
| Avg Loss % | (12.13%) | 0.00% |
| Longest Drawdown Duration | 202.6 months | 73.5 months |
| Avg Trades Per Year | 0.99 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $169,463.23 | $615,224.58 |
| Open Equity | $1,768.39 | $515,224.58 |
| Gross Profit | $138,592.44 | $0.00 |
| Gross Loss | ($70,897.60) | $0.00 |
| Net Profit | $67,694.84 | $0.00 |
| Net Long Profit | $67,694.84 | $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 | $0.00 | $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 | 843.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.05 | 0.14 |
| Calmar Ratio | 0.06 | 0.15 |
| Modified Sharpe Ratio | 0.25 | 0.55 |
| Robust Sharpe Ratio | 0.24 | 0.59 |
| R-Squared | 0.6104 | 0.8821 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.10% | 7.44% |
| RAR | 2.55% | 8.96% |
| Profit Factor | 1.95 | 0.00 |
| Percent Profit Factor | 1.93 | 0.00 |
| Expectancy | $0.23 | — |
| Percentage Expectancy | 0.03 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (54.82%) |
| Longest Drawdown Duration | 202.6 months | 73.5 months |
| Max Monthly % Drawdown | (38.17%) | (50.54%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (35.85%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 33.2 months |
| Avg of All % Drawdowns | (2.91%) | (1.94%) |
| Std Dev of All % Drawdowns | 6.31% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | 0.00% |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | 0.00% |
| Closed-Equity Avg of All % Drawdown | (17.27%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 0.0% |
| Lose Rate % | 24.0% | 0.0% |
| Winning Trades | 19 | 0 |
| Losing Trades | 6 | 0 |
| Total Trades | 25 | 0 |
| Max Consecutive Wins | 10 | 0 |
| Max Consecutive Losses | 3 | 0 |
| Avg Trade Duration | 183.0 days | 0.0 days |
| Avg Winning Trade Duration | 183.9 days | 0.0 days |
| Avg Losing Trade Duration | 184.0 days | 0.0 days |
| Largest Winning Trade | $20,747.09 | $0.00 |
| Largest Losing Trade | ($28,267.54) | $0.00 |
| Largest Win as % of Net Profit | 30.65% | — |
| Avg Win | $7,294.34 | $0.00 |
| Avg Loss | ($11,816.27) | $0.00 |
| Avg Win / Loss Ratio | 0.62 | — |
| Avg Trade | $2,707.79 | $0.00 |
| Avg Win % | 7.37% | 0.00% |
| Avg Loss % | (12.13%) | 0.00% |
| Avg Trade % | 2.69% | 0.00% |
| Avg Risk % | (98.25%) | 0.00% |
| Avg Trades Per Year | 0.99 | 0.00 |
| Avg Trades Per Month | 0.08 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.3% | 64.3% |
| Losing Months % | 19.7% | 35.7% |
| Winning Months | 245 | 196 |
| Losing Months | 60 | 109 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 23 | 15 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 73.1% |
| Losing Years % | 23.1% | 26.9% |
| Winning Years | 20 | 19 |
| Losing Years | 6 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 10 | 9 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.9% | 68.3% |
| Rolling 6-Month Win Rate | 68.3% | 71.7% |
| Rolling 12-Month Win Rate | 72.4% | 76.9% |
| Rolling 3-Year Win Rate | 70.8% | 79.2% |
| Rolling 5-Year Win Rate | 72.7% | 86.4% |
| Rolling 10-Year Win Rate | 82.4% | 94.1% |
| 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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