| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-08-07 | 2026-08-07 |
| Time Elapsed | 26 years, 7 months | 26 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $345,844.27 | $644,179.90 |
| CAGR % | 4.78% | 7.26% |
| Max % Drawdown | (41.00%) | (10.05%) |
| Standard Deviation | 3.47% | 1.93% |
| Annualized Sharpe | 0.20 | 0.64 |
| MAR Ratio | 0.12 | 0.72 |
| Win Rate % | 0.0% | 51.9% |
| Avg Win / Loss Ratio | — | 3.23 |
| Expectancy | — | $1.20 |
| Avg Win % | 0.00% | 4.19% |
| Avg Loss % | 0.00% | (0.97%) |
| Longest Drawdown Duration | 76.9 months | 28.1 months |
| Avg Trades Per Year | 0.00 | 3.91 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $345,844.27 | $644,179.90 |
| Open Equity | $245,844.27 | $117,324.39 |
| Gross Profit | $0.00 | $551,618.40 |
| Gross Loss | $0.00 | ($157,994.17) |
| Net Profit | $0.00 | $393,624.22 |
| Net Long Profit | $0.00 | $393,624.22 |
| 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 | $33,231.29 |
| 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 | 4,476.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.12 | 0.72 |
| Calmar Ratio | 0.13 | 0.80 |
| Modified Sharpe Ratio | 0.45 | 1.08 |
| Robust Sharpe Ratio | 0.42 | 0.95 |
| R-Squared | 0.8495 | 0.9558 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.78% | 7.26% |
| RAR | 5.03% | 6.32% |
| Profit Factor | 0.00 | 3.49 |
| Percent Profit Factor | 0.00 | 4.67 |
| Expectancy | — | $1.20 |
| Percentage Expectancy | 0.00 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.00%) | (10.05%) |
| Longest Drawdown Duration | 76.9 months | 28.1 months |
| Max Monthly % Drawdown | (38.14%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (22.98%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 23.8 months |
| Avg of All % Drawdowns | (3.01%) | (1.04%) |
| Std Dev of All % Drawdowns | 4.35% | 1.73% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (8.74%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.46% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 51.9% |
| Lose Rate % | 0.0% | 48.1% |
| Winning Trades | 0 | 54 |
| Losing Trades | 0 | 50 |
| Total Trades | 0 | 104 |
| Max Consecutive Wins | 0 | 9 |
| Max Consecutive Losses | 0 | 8 |
| Avg Trade Duration | 0.0 days | 315.4 days |
| Avg Winning Trade Duration | 0.0 days | 527.9 days |
| Avg Losing Trade Duration | 0.0 days | 85.9 days |
| Largest Winning Trade | $0.00 | $61,124.70 |
| Largest Losing Trade | $0.00 | ($8,254.00) |
| Largest Win as % of Net Profit | — | 15.53% |
| Avg Win | $0.00 | $10,215.16 |
| Avg Loss | $0.00 | ($3,159.88) |
| Avg Win / Loss Ratio | — | 3.23 |
| Avg Trade | $0.00 | $3,784.85 |
| Avg Win % | 0.00% | 4.19% |
| Avg Loss % | 0.00% | (0.97%) |
| Avg Trade % | 0.00% | 1.71% |
| Avg Risk % | 0.00% | (4.10%) |
| Avg Trades Per Year | 0.00 | 3.91 |
| Avg Trades Per Month | 0.00 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 55.9% | 69.1% |
| Losing Months % | 44.1% | 30.9% |
| Winning Months | 179 | 221 |
| Losing Months | 141 | 99 |
| Total Months | 320 | 320 |
| Max Consecutive Winning Months | 6 | 12 |
| Max Consecutive Losing Months | 7 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 70.4% | 81.5% |
| Losing Years % | 29.6% | 18.5% |
| Winning Years | 19 | 22 |
| Losing Years | 8 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 9 | 8 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 58.5% | 70.1% |
| Rolling 6-Month Win Rate | 60.0% | 75.6% |
| Rolling 12-Month Win Rate | 70.9% | 82.2% |
| Rolling 3-Year Win Rate | 84.0% | 100.0% |
| Rolling 5-Year Win Rate | 73.9% | 100.0% |
| Rolling 10-Year Win Rate | 88.9% | 100.0% |
| Rolling 3-Month Periods | 318 | 318 |
| Rolling 6-Month Periods | 315 | 315 |
| Rolling 12-Month Periods | 309 | 309 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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