| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-08-15 | 2025-08-15 |
| Time Elapsed | 25 years, 7 months | 25 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $2,215,282.19 | $450,061.90 |
| CAGR % | 12.86% | 6.05% |
| Max % Drawdown | (69.78%) | (28.57%) |
| Standard Deviation | 6.32% | 3.07% |
| Annualized Sharpe | 0.53 | 0.33 |
| MAR Ratio | 0.18 | 0.21 |
| Win Rate % | 0.0% | 42.1% |
| Avg Win / Loss Ratio | — | 4.36 |
| Expectancy | — | $1.26 |
| Avg Win % | 0.00% | 30.88% |
| Avg Loss % | 0.00% | (5.29%) |
| Longest Drawdown Duration | 63.2 months | 48.9 months |
| Avg Trades Per Year | 0.00 | 0.74 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $2,215,282.19 | $450,061.90 |
| Open Equity | $2,115,282.19 | $74,091.71 |
| Gross Profit | $0.00 | $370,996.94 |
| Gross Loss | $0.00 | ($117,116.58) |
| Net Profit | $0.00 | $253,880.36 |
| Net Long Profit | $0.00 | $253,880.36 |
| 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 | $22,089.83 |
| 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 | 669.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.18 | 0.21 |
| Calmar Ratio | 0.20 | 0.23 |
| Modified Sharpe Ratio | 0.66 | 0.61 |
| Robust Sharpe Ratio | 0.53 | 0.49 |
| R-Squared | 0.9179 | 0.8355 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 12.86% | 6.05% |
| RAR | 11.52% | 5.23% |
| Profit Factor | 0.00 | 3.17 |
| Percent Profit Factor | 0.00 | 4.24 |
| Expectancy | — | $1.26 |
| Percentage Expectancy | 0.00 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (69.78%) | (28.57%) |
| Longest Drawdown Duration | 63.2 months | 48.9 months |
| Max Monthly % Drawdown | (64.91%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (41.05%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 35.9 months | 37.9 months |
| Avg of All % Drawdowns | (2.39%) | (2.77%) |
| Std Dev of All % Drawdowns | 7.05% | 4.60% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (14.59%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 42.1% |
| Lose Rate % | 0.0% | 57.9% |
| Winning Trades | 0 | 8 |
| Losing Trades | 0 | 11 |
| Total Trades | 0 | 19 |
| Max Consecutive Wins | 0 | 3 |
| Max Consecutive Losses | 0 | 3 |
| Avg Trade Duration | 0.0 days | 314.0 days |
| Avg Winning Trade Duration | 0.0 days | 608.4 days |
| Avg Losing Trade Duration | 0.0 days | 99.9 days |
| Largest Winning Trade | $0.00 | $126,225.36 |
| Largest Losing Trade | $0.00 | ($32,828.35) |
| Largest Win as % of Net Profit | — | 49.72% |
| Avg Win | $0.00 | $46,374.62 |
| Avg Loss | $0.00 | ($10,646.96) |
| Avg Win / Loss Ratio | — | 4.36 |
| Avg Trade | $0.00 | $13,362.12 |
| Avg Win % | 0.00% | 30.88% |
| Avg Loss % | 0.00% | (5.29%) |
| Avg Trade % | 0.00% | 9.94% |
| Avg Risk % | 0.00% | (98.26%) |
| Avg Trades Per Year | 0.00 | 0.74 |
| Avg Trades Per Month | 0.00 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 60.4% | 72.1% |
| Losing Months % | 39.6% | 27.9% |
| Winning Months | 186 | 222 |
| Losing Months | 122 | 86 |
| Total Months | 308 | 308 |
| Max Consecutive Winning Months | 13 | 22 |
| Max Consecutive Losing Months | 10 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 57.7% |
| Losing Years % | 23.1% | 42.3% |
| Winning Years | 20 | 15 |
| Losing Years | 6 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 5 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 62.1% | 69.6% |
| Rolling 6-Month Win Rate | 64.4% | 65.0% |
| Rolling 12-Month Win Rate | 67.7% | 63.3% |
| Rolling 3-Year Win Rate | 87.5% | 87.5% |
| Rolling 5-Year Win Rate | 86.4% | 81.8% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 306 | 306 |
| Rolling 6-Month Periods | 303 | 303 |
| Rolling 12-Month Periods | 297 | 297 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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