| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-01 | 2026-05-01 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $664,244.87 | $377,014.72 |
| CAGR % | 7.46% | 5.17% |
| Max % Drawdown | (61.39%) | (60.11%) |
| Standard Deviation | 5.99% | 4.75% |
| Annualized Sharpe | 0.31 | 0.21 |
| MAR Ratio | 0.12 | 0.09 |
| Win Rate % | 0.0% | 0.0% |
| Avg Win / Loss Ratio | — | — |
| Expectancy | — | — |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Longest Drawdown Duration | 115.4 months | 75.7 months |
| Avg Trades Per Year | 0.00 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $664,244.87 | $377,014.72 |
| Open Equity | $564,244.87 | $277,014.72 |
| Gross Profit | $0.00 | $0.00 |
| Gross Loss | $0.00 | $0.00 |
| Net Profit | $0.00 | $0.00 |
| Net Long Profit | $0.00 | $0.00 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | — | — |
| Net Short Profit as % of Net Profit | — | — |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $0.00 | $0.00 |
| 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 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.12 | 0.09 |
| Calmar Ratio | 0.12 | 0.09 |
| Modified Sharpe Ratio | 0.45 | 0.39 |
| Robust Sharpe Ratio | 0.36 | 0.34 |
| R-Squared | 0.8003 | 0.8640 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.46% | 5.17% |
| RAR | 7.50% | 5.65% |
| Profit Factor | 0.00 | 0.00 |
| Percent Profit Factor | 0.00 | 0.00 |
| Expectancy | — | — |
| Percentage Expectancy | 0.00 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (61.39%) | (60.11%) |
| Longest Drawdown Duration | 115.4 months | 75.7 months |
| Max Monthly % Drawdown | (61.39%) | (56.36%) |
| Avg of Top-5 Max % Drawdowns | (39.55%) | (39.21%) |
| Avg Duration of Top-5 Longest Drawdowns | 50.5 months | 42.8 months |
| Avg of All % Drawdowns | (5.18%) | (3.23%) |
| Std Dev of All % Drawdowns | 11.88% | 7.87% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | 0.00% |
| Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
| Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 0.0% |
| Lose Rate % | 0.0% | 0.0% |
| Winning Trades | 0 | 0 |
| Losing Trades | 0 | 0 |
| Total Trades | 0 | 0 |
| Max Consecutive Wins | 0 | 0 |
| Max Consecutive Losses | 0 | 0 |
| Avg Trade Duration | 0.0 days | 0.0 days |
| Avg Winning Trade Duration | 0.0 days | 0.0 days |
| Avg Losing Trade Duration | 0.0 days | 0.0 days |
| Largest Winning Trade | $0.00 | $0.00 |
| Largest Losing Trade | $0.00 | $0.00 |
| Largest Win as % of Net Profit | — | — |
| Avg Win | $0.00 | $0.00 |
| Avg Loss | $0.00 | $0.00 |
| Avg Win / Loss Ratio | — | — |
| Avg Trade | $0.00 | $0.00 |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Avg Trade % | 0.00% | 0.00% |
| Avg Risk % | 0.00% | 0.00% |
| Avg Trades Per Year | 0.00 | 0.00 |
| Avg Trades Per Month | 0.00 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 59.0% | 58.7% |
| Losing Months % | 41.0% | 41.3% |
| Winning Months | 187 | 186 |
| Losing Months | 130 | 131 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 12 | 13 |
| Max Consecutive Losing Months | 6 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 59.3% | 66.7% |
| Losing Years % | 40.7% | 33.3% |
| Winning Years | 16 | 18 |
| Losing Years | 11 | 9 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 5 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 60.6% | 60.3% |
| Rolling 6-Month Win Rate | 62.2% | 63.8% |
| Rolling 12-Month Win Rate | 66.0% | 64.4% |
| Rolling 3-Year Win Rate | 64.0% | 76.0% |
| Rolling 5-Year Win Rate | 87.0% | 87.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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