| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-12-05 | 2025-12-05 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $85,726.86 | $548,391.55 |
| CAGR % | (0.59%) | 6.79% |
| Max % Drawdown | (48.93%) | (33.47%) |
| Standard Deviation | 3.32% | 3.10% |
| Annualized Sharpe | (0.25) | 0.39 |
| MAR Ratio | (0.01) | 0.20 |
| Win Rate % | 61.5% | 76.0% |
| Avg Win / Loss Ratio | 0.55 | 1.17 |
| Expectancy | ($0.05) | $0.65 |
| Avg Win % | 9.28% | 11.39% |
| Avg Loss % | (13.62%) | (8.58%) |
| Longest Drawdown Duration | 210.5 months | 41.8 months |
| Avg Trades Per Year | 1.00 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $85,726.86 | $548,391.55 |
| Open Equity | $0.00 | $7,698.99 |
| Gross Profit | $106,549.12 | $525,846.57 |
| Gross Loss | ($120,822.26) | ($142,169.87) |
| Net Profit | ($14,273.14) | $383,676.70 |
| Net Long Profit | ($14,273.14) | $383,676.70 |
| 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 | $57,015.86 |
| 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 | 372.0 | 947.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.01) | 0.20 |
| Calmar Ratio | (0.01) | 0.26 |
| Modified Sharpe Ratio | 0.01 | 0.66 |
| Robust Sharpe Ratio | (0.03) | 0.62 |
| R-Squared | 0.0626 | 0.9666 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.59%) | 6.79% |
| RAR | (0.39%) | 6.64% |
| Profit Factor | 0.88 | 3.70 |
| Percent Profit Factor | 1.09 | 4.20 |
| Expectancy | ($0.05) | $0.65 |
| Percentage Expectancy | 0.00 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (33.47%) |
| Longest Drawdown Duration | 210.5 months | 41.8 months |
| Max Monthly % Drawdown | (41.16%) | (26.06%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (23.64%) |
| Avg Duration of Top-5 Longest Drawdowns | 76.6 months | 24.3 months |
| Avg of All % Drawdowns | (17.84%) | (2.31%) |
| Std Dev of All % Drawdowns | 23.47% | 4.68% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (15.43%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (15.43%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (10.15%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.03% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.5% | 76.0% |
| Lose Rate % | 38.5% | 24.0% |
| Winning Trades | 16 | 19 |
| Losing Trades | 10 | 6 |
| Total Trades | 26 | 25 |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 184.0 days | 181.3 days |
| Avg Winning Trade Duration | 183.9 days | 181.3 days |
| Avg Losing Trade Duration | 184.3 days | 181.3 days |
| Largest Winning Trade | $18,925.42 | $81,648.82 |
| Largest Losing Trade | ($39,151.52) | ($53,296.88) |
| Largest Win as % of Net Profit | (132.59%) | 21.28% |
| Avg Win | $6,659.32 | $27,676.14 |
| Avg Loss | ($12,082.23) | ($23,694.98) |
| Avg Win / Loss Ratio | 0.55 | 1.17 |
| Avg Trade | ($548.97) | $15,347.07 |
| Avg Win % | 9.28% | 11.39% |
| Avg Loss % | (13.62%) | (8.58%) |
| Avg Trade % | 0.47% | 6.60% |
| Avg Risk % | (96.32%) | (98.64%) |
| Avg Trades Per Year | 1.00 | 0.96 |
| Avg Trades Per Month | 0.08 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.0% | 78.2% |
| Losing Months % | 26.0% | 21.8% |
| Winning Months | 231 | 244 |
| Losing Months | 81 | 68 |
| Total Months | 312 | 312 |
| Max Consecutive Winning Months | 14 | 14 |
| 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 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.5% | 77.1% |
| Rolling 6-Month Win Rate | 54.7% | 71.3% |
| Rolling 12-Month Win Rate | 58.8% | 76.7% |
| Rolling 3-Year Win Rate | 54.2% | 95.8% |
| Rolling 5-Year Win Rate | 40.9% | 100.0% |
| Rolling 10-Year Win Rate | 41.2% | 100.0% |
| Rolling 3-Month Periods | 310 | 310 |
| Rolling 6-Month Periods | 307 | 307 |
| Rolling 12-Month Periods | 301 | 301 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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