| 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 | $446,334.27 |
| CAGR % | (0.95%) | 6.05% |
| Max % Drawdown | (48.93%) | (35.30%) |
| Standard Deviation | 3.33% | 3.04% |
| Annualized Sharpe | (0.28) | 0.33 |
| MAR Ratio | (0.02) | 0.17 |
| Win Rate % | 60.0% | 76.0% |
| Avg Win / Loss Ratio | 0.53 | 1.37 |
| Expectancy | ($0.08) | $0.80 |
| Avg Win % | 8.94% | 9.92% |
| Avg Loss % | (13.62%) | (7.55%) |
| Longest Drawdown Duration | 205.0 months | 37.4 months |
| Avg Trades Per Year | 0.98 | 0.98 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $78,401.04 | $446,334.27 |
| Open Equity | $3,418.18 | $0.00 |
| Gross Profit | $95,805.13 | $393,024.35 |
| Gross Loss | ($120,822.26) | ($90,465.16) |
| Net Profit | ($25,017.13) | $302,559.19 |
| Net Long Profit | ($25,017.13) | $302,559.19 |
| 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 | $43,775.08 |
| 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 | 1,431.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.02) | 0.17 |
| Calmar Ratio | (0.02) | 0.20 |
| Modified Sharpe Ratio | (0.02) | 0.61 |
| Robust Sharpe Ratio | (0.04) | 0.64 |
| R-Squared | 0.0765 | 0.9612 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.95%) | 6.05% |
| RAR | (0.44%) | 6.76% |
| Profit Factor | 0.79 | 4.34 |
| Percent Profit Factor | 0.99 | 4.16 |
| Expectancy | ($0.08) | $0.80 |
| Percentage Expectancy | (0.00) | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (35.30%) |
| Longest Drawdown Duration | 205.0 months | 37.4 months |
| Max Monthly % Drawdown | (41.16%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 75.2 months | 24.5 months |
| Avg of All % Drawdowns | (17.84%) | (1.70%) |
| Std Dev of All % Drawdowns | 23.47% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 60.0% | 76.0% |
| Lose Rate % | 40.0% | 24.0% |
| Winning Trades | 15 | 19 |
| Losing Trades | 10 | 6 |
| Total Trades | 25 | 25 |
| Max Consecutive Wins | 5 | 10 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 183.0 days | 181.3 days |
| Avg Winning Trade Duration | 183.7 days | 181.3 days |
| Avg Losing Trade Duration | 184.3 days | 181.2 days |
| Largest Winning Trade | $18,925.42 | $78,378.06 |
| Largest Losing Trade | ($39,151.52) | ($34,858.81) |
| Largest Win as % of Net Profit | (75.65%) | 25.91% |
| Avg Win | $6,387.01 | $20,685.49 |
| Avg Loss | ($12,082.23) | ($15,077.53) |
| Avg Win / Loss Ratio | 0.53 | 1.37 |
| Avg Trade | ($1,000.69) | $12,102.37 |
| Avg Win % | 8.94% | 9.92% |
| Avg Loss % | (13.62%) | (7.55%) |
| Avg Trade % | (0.08%) | 5.72% |
| Avg Risk % | (96.21%) | (99.01%) |
| Avg Trades Per Year | 0.98 | 0.98 |
| Avg Trades Per Month | 0.08 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 73.9% | 82.0% |
| Losing Months % | 26.1% | 18.0% |
| Winning Months | 226 | 251 |
| Losing Months | 80 | 55 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 14 | 23 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 76.9% |
| Losing Years % | 38.5% | 23.1% |
| Winning Years | 16 | 20 |
| Losing Years | 10 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 65.8% | 78.9% |
| Rolling 6-Month Win Rate | 53.8% | 73.4% |
| Rolling 12-Month Win Rate | 58.0% | 78.3% |
| 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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