| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-10-11 | 2024-10-11 |
| Time Elapsed | 24 years, 9 months | 24 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $170,247.13 | $624,697.26 |
| CAGR % | 2.17% | 7.68% |
| Max % Drawdown | (41.31%) | (54.82%) |
| Standard Deviation | 3.08% | 4.39% |
| Annualized Sharpe | (0.02) | 0.37 |
| MAR Ratio | 0.05 | 0.14 |
| Win Rate % | 75.0% | 0.0% |
| Avg Win / Loss Ratio | 0.55 | — |
| Expectancy | $0.17 | — |
| Avg Win % | 7.00% | 0.00% |
| Avg Loss % | (12.13%) | 0.00% |
| Longest Drawdown Duration | 202.6 months | 73.5 months |
| Avg Trades Per Year | 0.97 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $170,247.13 | $624,697.26 |
| Open Equity | $23,299.38 | $524,697.26 |
| Gross Profit | $117,845.35 | $0.00 |
| Gross Loss | ($70,897.60) | $0.00 |
| Net Profit | $46,947.75 | $0.00 |
| Net Long Profit | $46,947.75 | $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 | 830.0 | 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 | 0.26 | 0.56 |
| Robust Sharpe Ratio | 0.23 | 0.58 |
| R-Squared | 0.5836 | 0.8756 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.17% | 7.68% |
| RAR | 2.43% | 8.78% |
| Profit Factor | 1.66 | 0.00 |
| Percent Profit Factor | 1.73 | 0.00 |
| Expectancy | $0.17 | — |
| Percentage Expectancy | 0.02 | 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 | (2.95%) | (1.95%) |
| Std Dev of All % Drawdowns | 6.36% | 5.43% |
| 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 | (29.90%) | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 75.0% | 0.0% |
| Lose Rate % | 25.0% | 0.0% |
| Winning Trades | 18 | 0 |
| Losing Trades | 6 | 0 |
| Total Trades | 24 | 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 | $18,641.80 | $0.00 |
| Largest Losing Trade | ($28,267.54) | $0.00 |
| Largest Win as % of Net Profit | 39.71% | — |
| Avg Win | $6,546.96 | $0.00 |
| Avg Loss | ($11,816.27) | $0.00 |
| Avg Win / Loss Ratio | 0.55 | — |
| Avg Trade | $1,956.16 | $0.00 |
| Avg Win % | 7.00% | 0.00% |
| Avg Loss % | (12.13%) | 0.00% |
| Avg Trade % | 2.22% | 0.00% |
| Avg Risk % | (98.31%) | 0.00% |
| Avg Trades Per Year | 0.97 | 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 % | 80.2% | 65.1% |
| Losing Months % | 19.8% | 34.9% |
| Winning Months | 239 | 194 |
| Losing Months | 59 | 104 |
| Total Months | 298 | 298 |
| Max Consecutive Winning Months | 23 | 15 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.0% | 76.0% |
| Losing Years % | 24.0% | 24.0% |
| Winning Years | 19 | 19 |
| Losing Years | 6 | 6 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 10 | 9 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.6% | 68.9% |
| Rolling 6-Month Win Rate | 67.9% | 72.0% |
| Rolling 12-Month Win Rate | 71.8% | 76.3% |
| Rolling 3-Year Win Rate | 69.6% | 78.3% |
| Rolling 5-Year Win Rate | 71.4% | 85.7% |
| Rolling 10-Year Win Rate | 81.2% | 93.8% |
| Rolling 3-Month Periods | 296 | 296 |
| Rolling 6-Month Periods | 293 | 293 |
| Rolling 12-Month Periods | 287 | 287 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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