| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-24 | 2025-10-24 |
| Time Elapsed | 25 years, 10 months | 25 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $570,780.40 | $330,396.93 |
| CAGR % | 6.98% | 4.74% |
| Max % Drawdown | (61.39%) | (14.87%) |
| Standard Deviation | 5.92% | 1.42% |
| Annualized Sharpe | 0.29 | 0.36 |
| MAR Ratio | 0.11 | 0.32 |
| Win Rate % | 0.0% | 68.8% |
| Avg Win / Loss Ratio | — | 2.10 |
| Expectancy | — | $1.13 |
| Avg Win % | 0.00% | 11.80% |
| Avg Loss % | 0.00% | (3.22%) |
| Longest Drawdown Duration | 115.4 months | 57.6 months |
| Avg Trades Per Year | 0.00 | 0.62 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $570,780.40 | $330,396.93 |
| Open Equity | $470,780.40 | $39,450.32 |
| Gross Profit | $0.00 | $221,289.47 |
| Gross Loss | $0.00 | ($47,865.59) |
| Net Profit | $0.00 | $173,423.88 |
| Net Long Profit | $0.00 | $173,423.88 |
| 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 | $17,522.73 |
| 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 | 12,205.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.11 | 0.32 |
| Calmar Ratio | 0.11 | 0.35 |
| Modified Sharpe Ratio | 0.43 | 0.97 |
| Robust Sharpe Ratio | 0.37 | 0.99 |
| R-Squared | 0.7904 | 0.9338 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.98% | 4.74% |
| RAR | 7.49% | 4.87% |
| Profit Factor | 0.00 | 4.62 |
| Percent Profit Factor | 0.00 | 8.05 |
| Expectancy | — | $1.13 |
| Percentage Expectancy | 0.00 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (61.39%) | (14.87%) |
| Longest Drawdown Duration | 115.4 months | 57.6 months |
| Max Monthly % Drawdown | (61.39%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (39.09%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 50.5 months | 25.0 months |
| Avg of All % Drawdowns | (5.58%) | (0.88%) |
| Std Dev of All % Drawdowns | 12.78% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (10.14%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (6.18%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.47% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 68.8% |
| Lose Rate % | 0.0% | 31.2% |
| Winning Trades | 0 | 11 |
| Losing Trades | 0 | 5 |
| Total Trades | 0 | 16 |
| Max Consecutive Wins | 0 | 5 |
| Max Consecutive Losses | 0 | 3 |
| Avg Trade Duration | 0.0 days | 417.7 days |
| Avg Winning Trade Duration | 0.0 days | 555.5 days |
| Avg Losing Trade Duration | 0.0 days | 114.6 days |
| Largest Winning Trade | $0.00 | $85,604.87 |
| Largest Losing Trade | $0.00 | ($15,771.66) |
| Largest Win as % of Net Profit | — | 49.36% |
| Avg Win | $0.00 | $20,117.22 |
| Avg Loss | $0.00 | ($9,573.12) |
| Avg Win / Loss Ratio | — | 2.10 |
| Avg Trade | $0.00 | $10,838.99 |
| Avg Win % | 0.00% | 11.80% |
| Avg Loss % | 0.00% | (3.22%) |
| Avg Trade % | 0.00% | 7.10% |
| Avg Risk % | 0.00% | (99.94%) |
| Avg Trades Per Year | 0.00 | 0.62 |
| Avg Trades Per Month | 0.00 | 0.05 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 58.7% | 69.4% |
| Losing Months % | 41.3% | 30.6% |
| Winning Months | 182 | 215 |
| Losing Months | 128 | 95 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 57.7% | 73.1% |
| Losing Years % | 42.3% | 26.9% |
| Winning Years | 15 | 19 |
| Losing Years | 11 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 7 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 60.4% | 70.1% |
| Rolling 6-Month Win Rate | 61.3% | 70.8% |
| Rolling 12-Month Win Rate | 65.2% | 75.6% |
| Rolling 3-Year Win Rate | 62.5% | 91.7% |
| Rolling 5-Year Win Rate | 86.4% | 90.9% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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