| 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 | $452,110.94 |
| CAGR % | 9.36% | 5.99% |
| Max % Drawdown | (54.26%) | (35.30%) |
| Standard Deviation | 5.08% | 3.01% |
| Annualized Sharpe | 0.43 | 0.33 |
| MAR Ratio | 0.17 | 0.17 |
| Win Rate % | 0.0% | 76.0% |
| Avg Win / Loss Ratio | — | 1.37 |
| Expectancy | — | $0.80 |
| Avg Win % | 0.00% | 9.92% |
| Avg Loss % | 0.00% | (7.55%) |
| Longest Drawdown Duration | 47.8 months | 37.4 months |
| Avg Trades Per Year | 0.00 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,015,980.58 | $452,110.94 |
| Open Equity | $915,980.58 | ($107.01) |
| Gross Profit | $0.00 | $393,024.35 |
| Gross Loss | $0.00 | ($90,465.16) |
| Net Profit | $0.00 | $302,559.19 |
| Net Long Profit | $0.00 | $302,559.19 |
| 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 | $49,658.77 |
| 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 | 1,431.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.17 |
| Calmar Ratio | 0.19 | 0.20 |
| Modified Sharpe Ratio | 0.60 | 0.61 |
| Robust Sharpe Ratio | 0.58 | 0.65 |
| R-Squared | 0.9479 | 0.9632 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.36% | 5.99% |
| RAR | 10.18% | 6.78% |
| Profit Factor | 0.00 | 4.34 |
| Percent Profit Factor | 0.00 | 4.16 |
| Expectancy | — | $0.80 |
| Percentage Expectancy | 0.00 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (54.26%) | (35.30%) |
| Longest Drawdown Duration | 47.8 months | 37.4 months |
| Max Monthly % Drawdown | (49.94%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (37.22%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.9 months | 24.5 months |
| Avg of All % Drawdowns | (3.25%) | (1.70%) |
| Std Dev of All % Drawdowns | 6.46% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (16.57%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (8.82%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 6.04% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 76.0% |
| Lose Rate % | 0.0% | 24.0% |
| Winning Trades | 0 | 19 |
| Losing Trades | 0 | 6 |
| Total Trades | 0 | 25 |
| Max Consecutive Wins | 0 | 10 |
| Max Consecutive Losses | 0 | 2 |
| Avg Trade Duration | 0.0 days | 181.3 days |
| Avg Winning Trade Duration | 0.0 days | 181.3 days |
| Avg Losing Trade Duration | 0.0 days | 181.2 days |
| Largest Winning Trade | $0.00 | $78,378.06 |
| Largest Losing Trade | $0.00 | ($34,858.81) |
| Largest Win as % of Net Profit | — | 25.91% |
| Avg Win | $0.00 | $20,685.49 |
| Avg Loss | $0.00 | ($15,077.53) |
| Avg Win / Loss Ratio | — | 1.37 |
| Avg Trade | $0.00 | $12,102.37 |
| Avg Win % | 0.00% | 9.92% |
| Avg Loss % | 0.00% | (7.55%) |
| Avg Trade % | 0.00% | 5.72% |
| Avg Risk % | 0.00% | (99.01%) |
| Avg Trades Per Year | 0.00 | 0.96 |
| Avg Trades Per Month | 0.00 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 62.5% | 82.1% |
| Losing Months % | 37.5% | 17.9% |
| Winning Months | 195 | 256 |
| Losing Months | 117 | 56 |
| Total Months | 312 | 312 |
| Max Consecutive Winning Months | 8 | 23 |
| Max Consecutive Losing Months | 6 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 76.9% |
| Losing Years % | 26.9% | 23.1% |
| Winning Years | 19 | 20 |
| Losing Years | 7 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 6 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.5% | 79.4% |
| Rolling 6-Month Win Rate | 71.7% | 73.3% |
| Rolling 12-Month Win Rate | 73.1% | 78.1% |
| Rolling 3-Year Win Rate | 83.3% | 91.7% |
| 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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