| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-12-06 | 2024-12-06 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $364,031.43 | $373,623.39 |
| CAGR % | 5.32% | 5.43% |
| Max % Drawdown | (41.00%) | (28.57%) |
| Standard Deviation | 3.51% | 3.07% |
| Annualized Sharpe | 0.24 | 0.27 |
| MAR Ratio | 0.13 | 0.19 |
| 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 | 56.9 months | 48.9 months |
| Avg Trades Per Year | 0.00 | 0.76 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $364,031.43 | $373,623.39 |
| Open Equity | $264,031.43 | $0.00 |
| 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 | $19,743.03 |
| 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 | 0.13 | 0.19 |
| Calmar Ratio | 0.14 | 0.20 |
| Modified Sharpe Ratio | 0.49 | 0.55 |
| Robust Sharpe Ratio | 0.46 | 0.49 |
| R-Squared | 0.8963 | 0.8239 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.32% | 5.43% |
| RAR | 5.61% | 5.22% |
| 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 | (41.00%) | (28.57%) |
| Longest Drawdown Duration | 56.9 months | 48.9 months |
| Max Monthly % Drawdown | (38.14%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (22.98%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 33.9 months | 37.9 months |
| Avg of All % Drawdowns | (3.01%) | (2.77%) |
| Std Dev of All % Drawdowns | 4.35% | 4.67% |
| 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 | 0.76 |
| Avg Trades Per Month | 0.00 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 56.7% | 72.0% |
| Losing Months % | 43.3% | 28.0% |
| Winning Months | 170 | 216 |
| Losing Months | 130 | 84 |
| Total Months | 300 | 300 |
| Max Consecutive Winning Months | 6 | 22 |
| Max Consecutive Losing Months | 7 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 72.0% | 56.0% |
| Losing Years % | 28.0% | 44.0% |
| Winning Years | 18 | 14 |
| Losing Years | 7 | 11 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 9 | 5 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 59.4% | 68.8% |
| Rolling 6-Month Win Rate | 61.4% | 65.1% |
| Rolling 12-Month Win Rate | 70.6% | 62.3% |
| Rolling 3-Year Win Rate | 87.0% | 87.0% |
| Rolling 5-Year Win Rate | 81.0% | 81.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 298 | 298 |
| Rolling 6-Month Periods | 295 | 295 |
| Rolling 12-Month Periods | 289 | 289 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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