| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-01-02 | 2026-01-02 |
| Time Elapsed | 26 years | 26 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $85,726.86 | $480,930.50 |
| CAGR % | (0.59%) | 6.23% |
| Max % Drawdown | (48.93%) | (28.57%) |
| Standard Deviation | 3.31% | 3.04% |
| Annualized Sharpe | (0.25) | 0.34 |
| MAR Ratio | (0.01) | 0.22 |
| Win Rate % | 61.5% | 42.1% |
| Avg Win / Loss Ratio | 0.55 | 4.36 |
| Expectancy | ($0.05) | $1.26 |
| Avg Win % | 9.28% | 30.88% |
| Avg Loss % | (13.62%) | (5.29%) |
| Longest Drawdown Duration | 211.4 months | 48.9 months |
| Avg Trades Per Year | 0.00 | 0.73 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $85,726.86 | $480,930.50 |
| Open Equity | $0.00 | $104,869.76 |
| Gross Profit | $106,549.12 | $370,996.94 |
| Gross Loss | ($120,822.26) | ($117,116.58) |
| Net Profit | ($14,273.14) | $253,880.36 |
| Net Long Profit | ($14,273.14) | $253,880.36 |
| 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 | $22,180.38 |
| 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 | 669.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | (0.01) | 0.22 |
| Calmar Ratio | (0.01) | 0.23 |
| Modified Sharpe Ratio | 0.01 | 0.63 |
| Robust Sharpe Ratio | (0.03) | 0.50 |
| R-Squared | 0.0598 | 0.8426 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | (0.59%) | 6.23% |
| RAR | (0.38%) | 5.27% |
| Profit Factor | 0.88 | 3.17 |
| Percent Profit Factor | 1.09 | 4.24 |
| Expectancy | ($0.05) | $1.26 |
| Percentage Expectancy | 0.00 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (48.93%) | (28.57%) |
| Longest Drawdown Duration | 211.4 months | 48.9 months |
| Max Monthly % Drawdown | (41.16%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (25.62%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 76.9 months | 37.9 months |
| Avg of All % Drawdowns | (17.84%) | (2.66%) |
| Std Dev of All % Drawdowns | 23.47% | 4.45% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (38.72%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (38.72%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (38.72%) | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.5% | 42.1% |
| Lose Rate % | 38.5% | 57.9% |
| Winning Trades | 16 | 8 |
| Losing Trades | 10 | 11 |
| Total Trades | 26 | 19 |
| Max Consecutive Wins | 5 | 3 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 184.0 days | 314.0 days |
| Avg Winning Trade Duration | 183.9 days | 608.4 days |
| Avg Losing Trade Duration | 184.3 days | 99.9 days |
| Largest Winning Trade | $18,925.42 | $126,225.36 |
| Largest Losing Trade | ($39,151.52) | ($32,828.35) |
| Largest Win as % of Net Profit | (132.59%) | 49.72% |
| Avg Win | $6,659.32 | $46,374.62 |
| Avg Loss | ($12,082.23) | ($10,646.96) |
| Avg Win / Loss Ratio | 0.55 | 4.36 |
| Avg Trade | ($548.97) | $13,362.12 |
| Avg Win % | 9.28% | 30.88% |
| Avg Loss % | (13.62%) | (5.29%) |
| Avg Trade % | 0.47% | 9.94% |
| Avg Risk % | (96.32%) | (98.26%) |
| Avg Trades Per Year | 0.00 | 0.73 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.1% | 72.5% |
| Losing Months % | 25.9% | 27.5% |
| Winning Months | 232 | 227 |
| Losing Months | 81 | 86 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 14 | 22 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 63.0% | 59.3% |
| Losing Years % | 37.0% | 40.7% |
| Winning Years | 17 | 16 |
| Losing Years | 10 | 11 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 5 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.2% | 70.1% |
| Rolling 6-Month Win Rate | 54.9% | 65.6% |
| Rolling 12-Month Win Rate | 58.9% | 63.9% |
| Rolling 3-Year Win Rate | 56.0% | 88.0% |
| Rolling 5-Year Win Rate | 43.5% | 82.6% |
| Rolling 10-Year Win Rate | 44.4% | 100.0% |
| Rolling 3-Month Periods | 311 | 311 |
| Rolling 6-Month Periods | 308 | 308 |
| Rolling 12-Month Periods | 302 | 302 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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