| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-22 | 2024-11-22 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $2,163,385.66 | $467,853.33 |
| CAGR % | 13.15% | 6.40% |
| Max % Drawdown | (69.84%) | (35.30%) |
| Standard Deviation | 6.37% | 3.04% |
| Annualized Sharpe | 0.54 | 0.36 |
| MAR Ratio | 0.19 | 0.18 |
| Win Rate % | 0.0% | 79.2% |
| Avg Win / Loss Ratio | — | 1.21 |
| Expectancy | — | $0.75 |
| Avg Win % | 0.00% | 9.92% |
| Avg Loss % | 0.00% | (8.86%) |
| Longest Drawdown Duration | 61.9 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 | $2,163,385.66 | $467,853.33 |
| Open Equity | $2,063,385.66 | $19,343.45 |
| Gross Profit | $0.00 | $393,024.35 |
| Gross Loss | $0.00 | ($85,809.46) |
| Net Profit | $0.00 | $307,214.89 |
| Net Long Profit | $0.00 | $307,214.89 |
| 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 | $41,294.99 |
| 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 | 1,396.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.19 | 0.18 |
| Calmar Ratio | 0.20 | 0.21 |
| Modified Sharpe Ratio | 0.67 | 0.64 |
| Robust Sharpe Ratio | 0.53 | 0.64 |
| R-Squared | 0.9132 | 0.9591 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 13.15% | 6.40% |
| RAR | 11.63% | 6.70% |
| Profit Factor | 0.00 | 4.58 |
| Percent Profit Factor | 0.00 | 4.25 |
| Expectancy | — | $0.75 |
| Percentage Expectancy | 0.00 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (69.84%) | (35.30%) |
| Longest Drawdown Duration | 61.9 months | 37.4 months |
| Max Monthly % Drawdown | (64.87%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (41.26%) | (25.32%) |
| Avg Duration of Top-5 Longest Drawdowns | 33.9 months | 24.5 months |
| Avg of All % Drawdowns | (2.36%) | (1.70%) |
| Std Dev of All % Drawdowns | 6.94% | 4.27% |
| 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% | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 79.2% |
| Lose Rate % | 0.0% | 20.8% |
| Winning Trades | 0 | 19 |
| Losing Trades | 0 | 5 |
| Total Trades | 0 | 24 |
| 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 | — | 25.51% |
| Avg Win | $0.00 | $20,685.49 |
| Avg Loss | $0.00 | ($17,161.89) |
| Avg Win / Loss Ratio | — | 1.21 |
| Avg Trade | $0.00 | $12,800.62 |
| Avg Win % | 0.00% | 9.92% |
| Avg Loss % | 0.00% | (8.86%) |
| Avg Trade % | 0.00% | 6.00% |
| Avg Risk % | 0.00% | (99.06%) |
| 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 % | 60.2% | 82.9% |
| Losing Months % | 39.8% | 17.1% |
| Winning Months | 180 | 248 |
| Losing Months | 119 | 51 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 13 | 23 |
| Max Consecutive Losing Months | 10 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.0% | 80.0% |
| Losing Years % | 24.0% | 20.0% |
| Winning Years | 19 | 20 |
| Losing Years | 6 | 5 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 62.6% | 79.8% |
| Rolling 6-Month Win Rate | 65.0% | 74.1% |
| Rolling 12-Month Win Rate | 67.7% | 78.1% |
| Rolling 3-Year Win Rate | 91.3% | 91.3% |
| Rolling 5-Year Win Rate | 85.7% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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