Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2025-07-04 | 2025-07-04 |
Time Elapsed | 25 years, 6 months | 25 years, 6 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $502,604.50 | $1,013,170.16 |
CAGR % | 6.54% | 9.51% |
Max % Drawdown | (61.39%) | (33.73%) |
Standard Deviation | 5.94% | 3.46% |
Annualized Sharpe | 0.27 | 0.57 |
MAR Ratio | 0.11 | 0.28 |
Win Rate % | 0.0% | 56.2% |
Avg Win / Loss Ratio | — | 3.00 |
Expectancy | — | $1.25 |
Avg Win % | 0.00% | 19.56% |
Avg Loss % | 0.00% | (3.99%) |
Longest Drawdown Duration | 115.4 months | 36.7 months |
Avg Trades Per Year | 0.00 | 1.25 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $502,604.50 | $1,013,170.16 |
Open Equity | $402,604.50 | $85,766.50 |
Gross Profit | $0.00 | $1,115,103.06 |
Gross Loss | $0.00 | ($288,990.67) |
Net Profit | $0.00 | $826,112.39 |
Net Long Profit | $0.00 | $826,112.39 |
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 | $1,291.28 |
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 | 9,201.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.11 | 0.28 |
Calmar Ratio | 0.11 | 0.43 |
Modified Sharpe Ratio | 0.41 | 0.82 |
Robust Sharpe Ratio | 0.37 | 0.79 |
R-Squared | 0.7858 | 0.9544 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 6.54% | 9.51% |
RAR | 7.52% | 9.49% |
Profit Factor | 0.00 | 3.86 |
Percent Profit Factor | 0.00 | 6.30 |
Expectancy | — | $1.25 |
Percentage Expectancy | 0.00 | 0.09 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (61.39%) | (33.73%) |
Longest Drawdown Duration | 115.4 months | 36.7 months |
Max Monthly % Drawdown | (61.39%) | (22.15%) |
Avg of Top-5 Max % Drawdowns | (39.09%) | (22.87%) |
Avg Duration of Top-5 Longest Drawdowns | 50.4 months | 24.0 months |
Avg of All % Drawdowns | (5.83%) | (2.09%) |
Std Dev of All % Drawdowns | 13.32% | 4.36% |
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% | (8.58%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 4.42% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 56.2% |
Lose Rate % | 0.0% | 43.8% |
Winning Trades | 0 | 18 |
Losing Trades | 0 | 14 |
Total Trades | 0 | 32 |
Max Consecutive Wins | 0 | 4 |
Max Consecutive Losses | 0 | 3 |
Avg Trade Duration | 0.0 days | 288.2 days |
Avg Winning Trade Duration | 0.0 days | 390.2 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 | — | 30.98% |
Avg Win | $0.00 | $61,950.17 |
Avg Loss | $0.00 | ($20,642.19) |
Avg Win / Loss Ratio | — | 3.00 |
Avg Trade | $0.00 | $25,816.01 |
Avg Win % | 0.00% | 19.56% |
Avg Loss % | 0.00% | (3.99%) |
Avg Trade % | 0.00% | 9.26% |
Avg Risk % | 0.00% | (99.49%) |
Avg Trades Per Year | 0.00 | 1.25 |
Avg Trades Per Month | 0.00 | 0.10 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 58.3% | 65.5% |
Losing Months % | 41.7% | 34.5% |
Winning Months | 179 | 201 |
Losing Months | 128 | 106 |
Total Months | 307 | 307 |
Max Consecutive Winning Months | 12 | 15 |
Max Consecutive Losing Months | 6 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 57.7% | 80.8% |
Losing Years % | 42.3% | 19.2% |
Winning Years | 15 | 21 |
Losing Years | 11 | 5 |
Total Years | 26 | 26 |
Max Consecutive Winning Years | 5 | 7 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 60.0% | 69.2% |
Rolling 6-Month Win Rate | 60.9% | 72.2% |
Rolling 12-Month Win Rate | 64.9% | 76.7% |
Rolling 3-Year Win Rate | 62.5% | 100.0% |
Rolling 5-Year Win Rate | 86.4% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 305 | 305 |
Rolling 6-Month Periods | 302 | 302 |
Rolling 12-Month Periods | 296 | 296 |
Rolling 3-Year Periods | 24 | 24 |
Rolling 5-Year Periods | 22 | 22 |
Rolling 10-Year Periods | 17 | 17 |