| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-06-20 | 2025-06-20 |
| Time Elapsed | 25 years, 5 months | 25 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $78,401.04 | $980,258.17 |
| CAGR % | (0.95%) | 9.38% |
| Max % Drawdown | (48.93%) | (33.73%) |
| Standard Deviation | 3.33% | 3.46% |
| Annualized Sharpe | (0.28) | 0.56 |
| MAR Ratio | (0.02) | 0.28 |
| Win Rate % | 60.0% | 56.2% |
| Avg Win / Loss Ratio | 0.53 | 3.00 |
| Expectancy | ($0.08) | $1.25 |
| Avg Win % | 8.94% | 19.56% |
| Avg Loss % | (13.62%) | (3.99%) |
| Longest Drawdown Duration | 205.0 months | 36.7 months |
| Avg Trades Per Year | 0.98 | 1.26 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $78,401.04 | $980,258.17 |
| Open Equity | $3,418.18 | $52,854.56 |
| Gross Profit | $95,805.13 | $1,115,103.06 |
| Gross Loss | ($120,822.26) | ($288,990.67) |
| Net Profit | ($25,017.13) | $826,112.39 |
| Net Long Profit | ($25,017.13) | $826,112.39 |
| 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 | $0.00 | $1,291.22 |
| 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 | 366.0 | 9,201.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.02) | 0.28 |
| Calmar Ratio | (0.02) | 0.42 |
| Modified Sharpe Ratio | (0.02) | 0.81 |
| Robust Sharpe Ratio | (0.04) | 0.79 |
| R-Squared | 0.0765 | 0.9543 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.95%) | 9.38% |
| RAR | (0.44%) | 9.49% |
| Profit Factor | 0.79 | 3.86 |
| Percent Profit Factor | 0.99 | 6.30 |
| Expectancy | ($0.08) | $1.25 |
| Percentage Expectancy | (0.00) | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (33.73%) |
| Longest Drawdown Duration | 205.0 months | 36.7 months |
| Max Monthly % Drawdown | (41.16%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 75.2 months | 24.0 months |
| Avg of All % Drawdowns | (17.84%) | (2.02%) |
| Std Dev of All % Drawdowns | 23.47% | 4.22% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (8.58%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.42% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 60.0% | 56.2% |
| Lose Rate % | 40.0% | 43.8% |
| Winning Trades | 15 | 18 |
| Losing Trades | 10 | 14 |
| Total Trades | 25 | 32 |
| Max Consecutive Wins | 5 | 4 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 183.0 days | 288.2 days |
| Avg Winning Trade Duration | 183.7 days | 390.2 days |
| Avg Losing Trade Duration | 184.3 days | 156.9 days |
| Largest Winning Trade | $18,925.42 | $255,900.48 |
| Largest Losing Trade | ($39,151.52) | ($51,833.25) |
| Largest Win as % of Net Profit | (75.65%) | 30.98% |
| Avg Win | $6,387.01 | $61,950.17 |
| Avg Loss | ($12,082.23) | ($20,642.19) |
| Avg Win / Loss Ratio | 0.53 | 3.00 |
| Avg Trade | ($1,000.69) | $25,816.01 |
| Avg Win % | 8.94% | 19.56% |
| Avg Loss % | (13.62%) | (3.99%) |
| Avg Trade % | (0.08%) | 9.26% |
| Avg Risk % | (96.21%) | (99.49%) |
| Avg Trades Per Year | 0.98 | 1.26 |
| Avg Trades Per Month | 0.08 | 0.10 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 73.9% | 65.4% |
| Losing Months % | 26.1% | 34.6% |
| Winning Months | 226 | 200 |
| Losing Months | 80 | 106 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 14 | 15 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 80.8% |
| Losing Years % | 38.5% | 19.2% |
| Winning Years | 16 | 21 |
| Losing Years | 10 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 7 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 65.8% | 69.1% |
| Rolling 6-Month Win Rate | 53.8% | 72.1% |
| Rolling 12-Month Win Rate | 58.0% | 76.6% |
| Rolling 3-Year Win Rate | 54.2% | 100.0% |
| Rolling 5-Year Win Rate | 36.4% | 100.0% |
| Rolling 10-Year Win Rate | 41.2% | 100.0% |
| Rolling 3-Month Periods | 304 | 304 |
| Rolling 6-Month Periods | 301 | 301 |
| Rolling 12-Month Periods | 295 | 295 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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