| 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 | $1,015,980.58 | $989,098.29 |
| CAGR % | 9.36% | 9.24% |
| Max % Drawdown | (54.26%) | (68.13%) |
| Standard Deviation | 5.08% | 5.66% |
| Annualized Sharpe | 0.43 | 0.40 |
| MAR Ratio | 0.17 | 0.14 |
| Win Rate % | 0.0% | 0.0% |
| Avg Win / Loss Ratio | — | — |
| Expectancy | — | — |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Longest Drawdown Duration | 47.8 months | 71.1 months |
| Avg Trades Per Year | 0.00 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,015,980.58 | $989,098.29 |
| Open Equity | $915,980.58 | $889,098.29 |
| Gross Profit | $0.00 | $0.00 |
| Gross Loss | $0.00 | $0.00 |
| Net Profit | $0.00 | $0.00 |
| Net Long Profit | $0.00 | $0.00 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | — | — |
| Net Short Profit as % of Net Profit | — | — |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $0.00 | $0.00 |
| 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 | 0.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.14 |
| Calmar Ratio | 0.19 | 0.14 |
| Modified Sharpe Ratio | 0.60 | 0.55 |
| Robust Sharpe Ratio | 0.58 | 0.44 |
| R-Squared | 0.9479 | 0.9087 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.36% | 9.24% |
| RAR | 10.18% | 8.62% |
| Profit Factor | 0.00 | 0.00 |
| Percent Profit Factor | 0.00 | 0.00 |
| Expectancy | — | — |
| Percentage Expectancy | 0.00 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (54.26%) | (68.13%) |
| Longest Drawdown Duration | 47.8 months | 71.1 months |
| Max Monthly % Drawdown | (49.94%) | (68.13%) |
| Avg of Top-5 Max % Drawdowns | (37.22%) | (31.07%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.9 months | 31.7 months |
| Avg of All % Drawdowns | (3.25%) | (9.27%) |
| Std Dev of All % Drawdowns | 6.46% | 13.71% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | 0.00% |
| Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
| Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 0.0% |
| Lose Rate % | 0.0% | 0.0% |
| Winning Trades | 0 | 0 |
| Losing Trades | 0 | 0 |
| Total Trades | 0 | 0 |
| Max Consecutive Wins | 0 | 0 |
| Max Consecutive Losses | 0 | 0 |
| Avg Trade Duration | 0.0 days | 0.0 days |
| Avg Winning Trade Duration | 0.0 days | 0.0 days |
| Avg Losing Trade Duration | 0.0 days | 0.0 days |
| Largest Winning Trade | $0.00 | $0.00 |
| Largest Losing Trade | $0.00 | $0.00 |
| Largest Win as % of Net Profit | — | — |
| Avg Win | $0.00 | $0.00 |
| Avg Loss | $0.00 | $0.00 |
| Avg Win / Loss Ratio | — | — |
| Avg Trade | $0.00 | $0.00 |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Avg Trade % | 0.00% | 0.00% |
| Avg Risk % | 0.00% | 0.00% |
| Avg Trades Per Year | 0.00 | 0.00 |
| Avg Trades Per Month | 0.00 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 62.5% | 63.8% |
| Losing Months % | 37.5% | 36.2% |
| Winning Months | 195 | 199 |
| Losing Months | 117 | 113 |
| Total Months | 312 | 312 |
| Max Consecutive Winning Months | 8 | 14 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 80.8% |
| Losing Years % | 26.9% | 19.2% |
| Winning Years | 19 | 21 |
| Losing Years | 7 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 6 | 9 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.5% | 65.5% |
| Rolling 6-Month Win Rate | 71.7% | 72.0% |
| Rolling 12-Month Win Rate | 73.1% | 76.4% |
| Rolling 3-Year Win Rate | 83.3% | 83.3% |
| Rolling 5-Year Win Rate | 100.0% | 86.4% |
| Rolling 10-Year Win Rate | 100.0% | 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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