| 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 | $1,008,611.23 |
| CAGR % | (0.95%) | 9.50% |
| Max % Drawdown | (48.93%) | (21.03%) |
| Standard Deviation | 3.33% | 3.59% |
| Annualized Sharpe | (0.28) | 0.56 |
| MAR Ratio | (0.02) | 0.45 |
| Win Rate % | 60.0% | 57.9% |
| Avg Win / Loss Ratio | 0.53 | 3.73 |
| Expectancy | ($0.08) | $1.74 |
| Avg Win % | 8.94% | 27.89% |
| Avg Loss % | (13.62%) | (3.92%) |
| Longest Drawdown Duration | 205.0 months | 40.7 months |
| Avg Trades Per Year | 0.98 | 0.75 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $78,401.04 | $1,008,611.23 |
| Open Equity | $3,418.18 | $0.00 |
| Gross Profit | $95,805.13 | $1,044,934.50 |
| Gross Loss | ($120,822.26) | ($203,958.92) |
| Net Profit | ($25,017.13) | $840,975.58 |
| Net Long Profit | ($25,017.13) | $840,975.58 |
| 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 | $67,635.65 |
| 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 | 1,990.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.02) | 0.45 |
| Calmar Ratio | (0.02) | 0.45 |
| Modified Sharpe Ratio | (0.02) | 0.79 |
| Robust Sharpe Ratio | (0.04) | 0.75 |
| R-Squared | 0.0765 | 0.9164 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.95%) | 9.50% |
| RAR | (0.44%) | 9.26% |
| Profit Factor | 0.79 | 5.12 |
| Percent Profit Factor | 0.99 | 9.78 |
| Expectancy | ($0.08) | $1.74 |
| Percentage Expectancy | (0.00) | 0.15 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (21.03%) |
| Longest Drawdown Duration | 205.0 months | 40.7 months |
| Max Monthly % Drawdown | (41.16%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 75.2 months | 29.3 months |
| Avg of All % Drawdowns | (17.84%) | (6.65%) |
| Std Dev of All % Drawdowns | 23.47% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (5.45%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 60.0% | 57.9% |
| Lose Rate % | 40.0% | 42.1% |
| Winning Trades | 15 | 11 |
| Losing Trades | 10 | 8 |
| Total Trades | 25 | 19 |
| Max Consecutive Wins | 5 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 183.0 days | 350.4 days |
| Avg Winning Trade Duration | 183.7 days | 541.9 days |
| Avg Losing Trade Duration | 184.3 days | 87.1 days |
| Largest Winning Trade | $18,925.42 | $216,040.20 |
| Largest Losing Trade | ($39,151.52) | ($55,980.54) |
| Largest Win as % of Net Profit | (75.65%) | 25.69% |
| Avg Win | $6,387.01 | $94,994.05 |
| Avg Loss | ($12,082.23) | ($25,494.86) |
| Avg Win / Loss Ratio | 0.53 | 3.73 |
| Avg Trade | ($1,000.69) | $44,261.87 |
| Avg Win % | 8.94% | 27.89% |
| Avg Loss % | (13.62%) | (3.92%) |
| Avg Trade % | (0.08%) | 14.49% |
| Avg Risk % | (96.21%) | (99.50%) |
| Avg Trades Per Year | 0.98 | 0.75 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 73.9% | 74.5% |
| Losing Months % | 26.1% | 25.5% |
| Winning Months | 226 | 228 |
| Losing Months | 80 | 78 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 14 | 18 |
| Max Consecutive Losing Months | 5 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 65.4% |
| Losing Years % | 38.5% | 34.6% |
| Winning Years | 16 | 17 |
| Losing Years | 10 | 9 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 65.8% | 69.7% |
| Rolling 6-Month Win Rate | 53.8% | 70.4% |
| Rolling 12-Month Win Rate | 58.0% | 74.6% |
| Rolling 3-Year Win Rate | 54.2% | 91.7% |
| 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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