| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $2,085,127.60 | $975,144.67 |
| CAGR % | 12.92% | 9.54% |
| Max % Drawdown | (69.84%) | (33.73%) |
| Standard Deviation | 6.35% | 3.45% |
| Annualized Sharpe | 0.53 | 0.57 |
| MAR Ratio | 0.18 | 0.28 |
| Win Rate % | 0.0% | 54.8% |
| Avg Win / Loss Ratio | — | 2.64 |
| Expectancy | — | $0.00 |
| Avg Win % | 0.00% | 19.22% |
| Avg Loss % | 0.00% | (3.99%) |
| Longest Drawdown Duration | 61.9 months | 36.7 months |
| Avg Trades Per Year | 0.00 | 1.24 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $2,085,127.60 | $975,144.67 |
| Open Equity | $1,985,127.60 | $235,699.62 |
| Gross Profit | $0.00 | $927,259.98 |
| Gross Loss | $0.00 | ($288,990.67) |
| Net Profit | $0.00 | $638,269.31 |
| Net Long Profit | $0.00 | $638,269.31 |
| 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 | $1,175.75 |
| 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 | 9,127.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.18 | 0.28 |
| Calmar Ratio | 0.20 | 0.43 |
| Modified Sharpe Ratio | 0.66 | 0.82 |
| Robust Sharpe Ratio | 0.53 | 0.80 |
| R-Squared | 0.9142 | 0.9529 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 12.92% | 9.54% |
| RAR | 11.63% | 9.55% |
| Profit Factor | 0.00 | 3.21 |
| Percent Profit Factor | 0.00 | 5.84 |
| Expectancy | — | $0.00 |
| Percentage Expectancy | 0.00 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (69.84%) | (33.73%) |
| Longest Drawdown Duration | 61.9 months | 36.7 months |
| Max Monthly % Drawdown | (64.87%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (41.26%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 34.2 months | 24.0 months |
| Avg of All % Drawdowns | (2.36%) | (2.01%) |
| Std Dev of All % Drawdowns | 6.94% | 4.24% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (15.75%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (9.46%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.54% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 54.8% |
| Lose Rate % | 0.0% | 45.2% |
| Winning Trades | 0 | 17 |
| Losing Trades | 0 | 14 |
| Total Trades | 0 | 31 |
| Max Consecutive Wins | 0 | 4 |
| Max Consecutive Losses | 0 | 3 |
| Avg Trade Duration | 0.0 days | 280.8 days |
| Avg Winning Trade Duration | 0.0 days | 382.8 days |
| Avg Losing Trade Duration | 0.0 days | 156.9 days |
| Largest Winning Trade | $0.00 | $255,900.48 |
| Largest Losing Trade | $0.00 | ($51,833.25) |
| Largest Win as % of Net Profit | — | 40.09% |
| Avg Win | $0.00 | $54,544.70 |
| Avg Loss | $0.00 | ($20,642.19) |
| Avg Win / Loss Ratio | — | 2.64 |
| Avg Trade | $0.00 | $20,589.33 |
| Avg Win % | 0.00% | 19.22% |
| Avg Loss % | 0.00% | (3.99%) |
| Avg Trade % | 0.00% | 8.73% |
| Avg Risk % | 0.00% | (99.51%) |
| Avg Trades Per Year | 0.00 | 1.24 |
| Avg Trades Per Month | 0.00 | 0.10 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 60.1% | 65.8% |
| Losing Months % | 39.9% | 34.2% |
| Winning Months | 181 | 198 |
| Losing Months | 120 | 103 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 13 | 15 |
| Max Consecutive Losing Months | 10 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 80.8% |
| Losing Years % | 23.1% | 19.2% |
| Winning Years | 20 | 21 |
| Losing Years | 6 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 62.9% | 69.9% |
| Rolling 6-Month Win Rate | 65.2% | 72.6% |
| Rolling 12-Month Win Rate | 67.9% | 76.2% |
| Rolling 3-Year Win Rate | 87.5% | 100.0% |
| Rolling 5-Year Win Rate | 86.4% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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