| 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 | $566,232.87 |
| CAGR % | 9.36% | 6.92% |
| Max % Drawdown | (54.26%) | (10.05%) |
| Standard Deviation | 5.08% | 1.91% |
| Annualized Sharpe | 0.43 | 0.60 |
| MAR Ratio | 0.17 | 0.69 |
| Win Rate % | 0.0% | 51.5% |
| Avg Win / Loss Ratio | — | 3.18 |
| Expectancy | — | $1.15 |
| Avg Win % | 0.00% | 4.26% |
| Avg Loss % | 0.00% | (0.98%) |
| Longest Drawdown Duration | 47.8 months | 28.1 months |
| Avg Trades Per Year | 0.00 | 3.90 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,015,980.58 | $566,232.87 |
| Open Equity | $915,980.58 | $61,020.37 |
| Gross Profit | $0.00 | $529,274.92 |
| Gross Loss | $0.00 | ($156,614.90) |
| Net Profit | $0.00 | $372,660.02 |
| Net Long Profit | $0.00 | $372,660.02 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | — | 100.0% |
| Net Short Profit as % of Net Profit | — | 0.0% |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $0.00 | $32,552.48 |
| 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 | 4,022.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.69 |
| Calmar Ratio | 0.19 | 0.76 |
| Modified Sharpe Ratio | 0.60 | 1.05 |
| Robust Sharpe Ratio | 0.58 | 0.96 |
| R-Squared | 0.9479 | 0.9524 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.36% | 6.92% |
| RAR | 10.18% | 6.31% |
| Profit Factor | 0.00 | 3.38 |
| Percent Profit Factor | 0.00 | 4.60 |
| Expectancy | — | $1.15 |
| Percentage Expectancy | 0.00 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (54.26%) | (10.05%) |
| Longest Drawdown Duration | 47.8 months | 28.1 months |
| Max Monthly % Drawdown | (49.94%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (37.22%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.9 months | 23.8 months |
| Avg of All % Drawdowns | (3.25%) | (1.04%) |
| Std Dev of All % Drawdowns | 6.46% | 1.77% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (8.74%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (2.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 51.5% |
| Lose Rate % | 0.0% | 48.5% |
| Winning Trades | 0 | 52 |
| Losing Trades | 0 | 49 |
| Total Trades | 0 | 101 |
| Max Consecutive Wins | 0 | 9 |
| Max Consecutive Losses | 0 | 8 |
| Avg Trade Duration | 0.0 days | 312.4 days |
| Avg Winning Trade Duration | 0.0 days | 526.0 days |
| Avg Losing Trade Duration | 0.0 days | 85.8 days |
| Largest Winning Trade | $0.00 | $61,124.70 |
| Largest Losing Trade | $0.00 | ($8,254.00) |
| Largest Win as % of Net Profit | — | 16.40% |
| Avg Win | $0.00 | $10,178.36 |
| Avg Loss | $0.00 | ($3,196.22) |
| Avg Win / Loss Ratio | — | 3.18 |
| Avg Trade | $0.00 | $3,689.70 |
| Avg Win % | 0.00% | 4.26% |
| Avg Loss % | 0.00% | (0.98%) |
| Avg Trade % | 0.00% | 1.72% |
| Avg Risk % | 0.00% | (4.11%) |
| Avg Trades Per Year | 0.00 | 3.90 |
| Avg Trades Per Month | 0.00 | 0.32 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 62.5% | 68.9% |
| Losing Months % | 37.5% | 31.1% |
| Winning Months | 195 | 215 |
| Losing Months | 117 | 97 |
| Total Months | 312 | 312 |
| Max Consecutive Winning Months | 8 | 12 |
| 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 | 8 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.5% | 69.4% |
| Rolling 6-Month Win Rate | 71.7% | 74.9% |
| Rolling 12-Month Win Rate | 73.1% | 81.7% |
| Rolling 3-Year Win Rate | 83.3% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| 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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