| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-06-26 | 2026-06-26 |
| Time Elapsed | 26 years, 6 months | 26 years, 6 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $87,179.32 | $591,949.45 |
| CAGR % | (0.52%) | 6.95% |
| Max % Drawdown | (48.93%) | (14.90%) |
| Standard Deviation | 3.29% | 1.96% |
| Annualized Sharpe | (0.25) | 0.59 |
| MAR Ratio | (0.01) | 0.47 |
| Win Rate % | 61.5% | 49.1% |
| Avg Win / Loss Ratio | 0.55 | 3.41 |
| Expectancy | ($0.05) | $1.17 |
| Avg Win % | 9.28% | 4.08% |
| Avg Loss % | (13.62%) | (0.93%) |
| Longest Drawdown Duration | 217.2 months | 30.5 months |
| Avg Trades Per Year | 0.98 | 4.23 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $87,179.32 | $591,949.45 |
| Open Equity | $1,452.46 | $87,172.86 |
| Gross Profit | $106,549.12 | $533,054.19 |
| Gross Loss | ($120,822.26) | ($162,060.66) |
| Net Profit | ($14,273.14) | $370,993.53 |
| Net Long Profit | ($14,273.14) | $370,993.53 |
| 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 | $33,783.06 |
| 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 | 1,185.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.01) | 0.47 |
| Calmar Ratio | (0.01) | 0.64 |
| Modified Sharpe Ratio | 0.01 | 1.02 |
| Robust Sharpe Ratio | (0.03) | 0.88 |
| R-Squared | 0.0442 | 0.9464 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.52%) | 6.95% |
| RAR | (0.32%) | 5.97% |
| Profit Factor | 0.88 | 3.29 |
| Percent Profit Factor | 1.09 | 4.25 |
| Expectancy | ($0.05) | $1.17 |
| Percentage Expectancy | 0.00 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (14.90%) |
| Longest Drawdown Duration | 217.2 months | 30.5 months |
| Max Monthly % Drawdown | (41.16%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 78.3 months | 24.2 months |
| Avg of All % Drawdowns | (17.84%) | (1.29%) |
| Std Dev of All % Drawdowns | 23.47% | 2.02% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (2.50%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.57% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.5% | 49.1% |
| Lose Rate % | 38.5% | 50.9% |
| Winning Trades | 16 | 55 |
| Losing Trades | 10 | 57 |
| Total Trades | 26 | 112 |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 184.0 days | 285.6 days |
| Avg Winning Trade Duration | 183.9 days | 499.5 days |
| Avg Losing Trade Duration | 184.3 days | 79.2 days |
| Largest Winning Trade | $18,925.42 | $61,124.70 |
| Largest Losing Trade | ($39,151.52) | ($9,079.40) |
| Largest Win as % of Net Profit | (132.59%) | 16.48% |
| Avg Win | $6,659.32 | $9,691.89 |
| Avg Loss | ($12,082.23) | ($2,843.17) |
| Avg Win / Loss Ratio | 0.55 | 3.41 |
| Avg Trade | ($548.97) | $3,312.44 |
| Avg Win % | 9.28% | 4.08% |
| Avg Loss % | (13.62%) | (0.93%) |
| Avg Trade % | 0.47% | 1.53% |
| Avg Risk % | (96.32%) | (18.11%) |
| Avg Trades Per Year | 0.98 | 4.23 |
| Avg Trades Per Month | 0.08 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.2% | 66.4% |
| Losing Months % | 25.8% | 33.6% |
| Winning Months | 236 | 211 |
| Losing Months | 82 | 107 |
| Total Months | 318 | 318 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 63.0% | 85.2% |
| Losing Years % | 37.0% | 14.8% |
| Winning Years | 17 | 23 |
| Losing Years | 10 | 4 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 5 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.8% | 68.4% |
| Rolling 6-Month Win Rate | 55.3% | 76.0% |
| Rolling 12-Month Win Rate | 59.6% | 79.5% |
| Rolling 3-Year Win Rate | 56.0% | 100.0% |
| Rolling 5-Year Win Rate | 43.5% | 100.0% |
| Rolling 10-Year Win Rate | 44.4% | 100.0% |
| Rolling 3-Month Periods | 316 | 316 |
| Rolling 6-Month Periods | 313 | 313 |
| Rolling 12-Month Periods | 307 | 307 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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