| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-17 | 2025-10-17 |
| Time Elapsed | 25 years, 9 months | 25 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $85,060.68 | $556,721.37 |
| CAGR % | (0.63%) | 6.88% |
| Max % Drawdown | (48.93%) | (10.05%) |
| Standard Deviation | 3.33% | 1.91% |
| Annualized Sharpe | (0.25) | 0.59 |
| MAR Ratio | (0.01) | 0.68 |
| Win Rate % | 60.0% | 52.0% |
| Avg Win / Loss Ratio | 0.53 | 3.16 |
| Expectancy | ($0.08) | $1.16 |
| Avg Win % | 8.94% | 4.26% |
| Avg Loss % | (13.62%) | (1.00%) |
| Longest Drawdown Duration | 208.9 months | 28.1 months |
| Avg Trades Per Year | 0.97 | 3.88 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $85,060.68 | $556,721.37 |
| Open Equity | $10,077.82 | $49,973.18 |
| Gross Profit | $95,805.13 | $529,274.92 |
| Gross Loss | ($120,822.26) | ($154,744.72) |
| Net Profit | ($25,017.13) | $374,530.20 |
| Net Long Profit | ($25,017.13) | $374,530.20 |
| 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 | $32,217.98 |
| 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 | 4,012.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.01) | 0.68 |
| Calmar Ratio | (0.02) | 0.76 |
| Modified Sharpe Ratio | 0.00 | 1.04 |
| Robust Sharpe Ratio | (0.04) | 0.95 |
| R-Squared | 0.0676 | 0.9518 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.63%) | 6.88% |
| RAR | (0.41%) | 6.32% |
| Profit Factor | 0.79 | 3.42 |
| Percent Profit Factor | 0.99 | 4.63 |
| Expectancy | ($0.08) | $1.16 |
| Percentage Expectancy | (0.00) | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (10.05%) |
| Longest Drawdown Duration | 208.9 months | 28.1 months |
| Max Monthly % Drawdown | (41.16%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 76.2 months | 23.8 months |
| Avg of All % Drawdowns | (17.84%) | (1.04%) |
| Std Dev of All % Drawdowns | 23.47% | 1.77% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (2.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 60.0% | 52.0% |
| Lose Rate % | 40.0% | 48.0% |
| Winning Trades | 15 | 52 |
| Losing Trades | 10 | 48 |
| Total Trades | 25 | 100 |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 183.0 days | 314.9 days |
| Avg Winning Trade Duration | 183.7 days | 526.0 days |
| Avg Losing Trade Duration | 184.3 days | 86.2 days |
| Largest Winning Trade | $18,925.42 | $61,124.70 |
| Largest Losing Trade | ($39,151.52) | ($8,254.00) |
| Largest Win as % of Net Profit | (75.65%) | 16.32% |
| Avg Win | $6,387.01 | $10,178.36 |
| Avg Loss | ($12,082.23) | ($3,223.85) |
| Avg Win / Loss Ratio | 0.53 | 3.16 |
| Avg Trade | ($1,000.69) | $3,745.30 |
| Avg Win % | 8.94% | 4.26% |
| Avg Loss % | (13.62%) | (1.00%) |
| Avg Trade % | (0.08%) | 1.74% |
| Avg Risk % | (96.21%) | (4.11%) |
| Avg Trades Per Year | 0.97 | 3.88 |
| Avg Trades Per Month | 0.08 | 0.32 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.2% | 68.4% |
| Losing Months % | 25.8% | 31.6% |
| Winning Months | 230 | 212 |
| Losing Months | 80 | 98 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| 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 | 8 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.2% | 69.2% |
| Rolling 6-Month Win Rate | 54.4% | 74.8% |
| Rolling 12-Month Win Rate | 58.5% | 81.6% |
| Rolling 3-Year Win Rate | 54.2% | 100.0% |
| Rolling 5-Year Win Rate | 40.9% | 100.0% |
| Rolling 10-Year Win Rate | 41.2% | 100.0% |
| Rolling 3-Month Periods | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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