| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | — |
| End Date | 2025-06-30 | — |
| Time Elapsed | 25 years, 6 months | — |
| Starting Equity | $100,000.00 | — |
| Ending Equity | $220,264.33 | — |
| CAGR % | 3.15% | — |
| Max % Drawdown | (12.72%) | — |
| Standard Deviation | 1.08% | — |
| Annualized Sharpe | 0.06 | — |
| MAR Ratio | 0.25 | — |
| Win Rate % | 0.0% | — |
| Avg Win / Loss Ratio | — | — |
| Expectancy | — | — |
| Avg Win % | 0.00% | — |
| Avg Loss % | 0.00% | — |
| Longest Drawdown Duration | 58.8 months | — |
| Avg Trades Per Year | 0.00 | — |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | — |
| Ending Equity | $220,264.33 | — |
| Open Equity | $120,264.33 | — |
| Gross Profit | $0.00 | — |
| Gross Loss | $0.00 | — |
| Net Profit | $0.00 | — |
| Net Long Profit | $0.00 | — |
| Net Short Profit | $0.00 | — |
| Net Long Profit as % of Net Profit | — | — |
| Net Short Profit as % of Net Profit | — | — |
| Earned Dividends | $0.00 | — |
| Earned Interest | $0.00 | — |
| Margin Interest | $0.00 | — |
| Total Slippage | $0.00 | — |
| Total Forex Carry | $0.00 | — |
| Total Commissions | $0.00 | — |
| Expenses | ||
|---|---|---|
| Model | Benchmark | |
| Margin Interest | $0.00 | — |
| Total Commissions | $0.00 | — |
| Round Turns | 0.0 | — |
| Commissions Per Round Turn | $0.00 | — |
| Slippage Per Round Turn | $0.00 | — |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.25 | — |
| Calmar Ratio | 0.27 | — |
| Modified Sharpe Ratio | 0.85 | — |
| Robust Sharpe Ratio | 0.70 | — |
| R-Squared | 0.8687 | — |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 3.15% | — |
| RAR | 2.64% | — |
| Profit Factor | 0.00 | — |
| Percent Profit Factor | 0.00 | — |
| Expectancy | — | — |
| Percentage Expectancy | 0.00 | — |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (12.72%) | — |
| Longest Drawdown Duration | 58.8 months | — |
| Max Monthly % Drawdown | (11.84%) | — |
| Avg of Top-5 Max % Drawdowns | (6.72%) | — |
| Avg Duration of Top-5 Longest Drawdowns | 30.4 months | — |
| Avg of All % Drawdowns | (0.61%) | — |
| Std Dev of All % Drawdowns | 0.93% | — |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | — |
| Closed-Equity Max Monthly % Drawdown | 0.00% | — |
| Closed-Equity Avg of All % Drawdown | 0.00% | — |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | — |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | — |
| Lose Rate % | 0.0% | — |
| Winning Trades | 0 | — |
| Losing Trades | 0 | — |
| Total Trades | 0 | — |
| Max Consecutive Wins | 0 | — |
| Max Consecutive Losses | 0 | — |
| Avg Trade Duration | 0.0 days | — |
| Avg Winning Trade Duration | 0.0 days | — |
| Avg Losing Trade Duration | 0.0 days | — |
| Largest Winning Trade | $0.00 | — |
| Largest Losing Trade | $0.00 | — |
| Largest Win as % of Net Profit | — | — |
| Avg Win | $0.00 | — |
| Avg Loss | $0.00 | — |
| Avg Win / Loss Ratio | — | — |
| Avg Trade | $0.00 | — |
| Avg Win % | 0.00% | — |
| Avg Loss % | 0.00% | — |
| Avg Trade % | 0.00% | — |
| Avg Risk % | 0.00% | — |
| Avg Trades Per Year | 0.00 | — |
| Avg Trades Per Month | 0.00 | — |
| Avg Trades Per Day | 0.00 | — |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 59.8% | — |
| Losing Months % | 40.2% | — |
| Winning Months | 183 | — |
| Losing Months | 123 | — |
| Total Months | 306 | — |
| Max Consecutive Winning Months | 11 | — |
| Max Consecutive Losing Months | 6 | — |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | — |
| Losing Years % | 15.4% | — |
| Winning Years | 22 | — |
| Losing Years | 4 | — |
| Total Years | 26 | — |
| Max Consecutive Winning Years | 9 | — |
| Max Consecutive Losing Years | 2 | — |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 64.5% | — |
| Rolling 6-Month Win Rate | 68.4% | — |
| Rolling 12-Month Win Rate | 75.6% | — |
| Rolling 3-Year Win Rate | 87.5% | — |
| Rolling 5-Year Win Rate | 100.0% | — |
| Rolling 10-Year Win Rate | 100.0% | — |
| Rolling 3-Month Periods | 304 | — |
| Rolling 6-Month Periods | 301 | — |
| Rolling 12-Month Periods | 295 | — |
| Rolling 3-Year Periods | 24 | — |
| Rolling 5-Year Periods | 22 | — |
| Rolling 10-Year Periods | 17 | — |
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