| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-15 | 2024-11-15 |
| Time Elapsed | 24 years, 10 months | 24 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $961,593.54 | $366,083.00 |
| CAGR % | 9.53% | 5.36% |
| Max % Drawdown | (33.73%) | (28.57%) |
| Standard Deviation | 3.45% | 3.08% |
| Annualized Sharpe | 0.58 | 0.27 |
| MAR Ratio | 0.28 | 0.19 |
| Win Rate % | 54.8% | 38.9% |
| Avg Win / Loss Ratio | 2.64 | 4.44 |
| Expectancy | $0.00 | $1.11 |
| Avg Win % | 19.22% | 33.57% |
| Avg Loss % | (3.99%) | (5.29%) |
| Longest Drawdown Duration | 36.7 months | 48.9 months |
| Avg Trades Per Year | 1.25 | 0.72 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $961,593.54 | $366,083.00 |
| Open Equity | $222,197.58 | $32,916.35 |
| Gross Profit | $927,259.98 | $330,750.35 |
| Gross Loss | ($288,990.67) | ($117,116.58) |
| Net Profit | $638,269.31 | $213,633.77 |
| Net Long Profit | $638,269.31 | $213,633.77 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | 100.0% | 100.0% |
| Net Short Profit as % of Net Profit | 0.0% | 0.0% |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $1,126.66 | $19,533.88 |
| 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 | 9,127.0 | 637.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.28 | 0.19 |
| Calmar Ratio | 0.43 | 0.20 |
| Modified Sharpe Ratio | 0.82 | 0.54 |
| Robust Sharpe Ratio | 0.80 | 0.49 |
| R-Squared | 0.9523 | 0.8231 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.53% | 5.36% |
| RAR | 9.56% | 5.22% |
| Profit Factor | 3.21 | 2.82 |
| Percent Profit Factor | 5.84 | 4.04 |
| Expectancy | $0.00 | $1.11 |
| Percentage Expectancy | 0.09 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (28.57%) |
| Longest Drawdown Duration | 36.7 months | 48.9 months |
| Max Monthly % Drawdown | (22.15%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 37.9 months |
| Avg of All % Drawdowns | (2.03%) | (2.77%) |
| Std Dev of All % Drawdowns | 4.27% | 4.67% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (9.46%) | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 4.54% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 54.8% | 38.9% |
| Lose Rate % | 45.2% | 61.1% |
| Winning Trades | 17 | 7 |
| Losing Trades | 14 | 11 |
| Total Trades | 31 | 18 |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 280.8 days | 311.1 days |
| Avg Winning Trade Duration | 382.8 days | 642.9 days |
| Avg Losing Trade Duration | 156.9 days | 99.9 days |
| Largest Winning Trade | $255,900.48 | $126,225.36 |
| Largest Losing Trade | ($51,833.25) | ($32,828.35) |
| Largest Win as % of Net Profit | 40.09% | 59.08% |
| Avg Win | $54,544.70 | $47,250.05 |
| Avg Loss | ($20,642.19) | ($10,646.96) |
| Avg Win / Loss Ratio | 2.64 | 4.44 |
| Avg Trade | $20,589.33 | $11,868.54 |
| Avg Win % | 19.22% | 33.57% |
| Avg Loss % | (3.99%) | (5.29%) |
| Avg Trade % | 8.73% | 9.82% |
| Avg Risk % | (99.51%) | (98.28%) |
| Avg Trades Per Year | 1.25 | 0.72 |
| Avg Trades Per Month | 0.10 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.9% | 71.9% |
| Losing Months % | 34.1% | 28.1% |
| Winning Months | 197 | 215 |
| Losing Months | 102 | 84 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 15 | 22 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.0% | 56.0% |
| Losing Years % | 20.0% | 44.0% |
| Winning Years | 20 | 14 |
| Losing Years | 5 | 11 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 7 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 69.0% |
| Rolling 6-Month Win Rate | 72.4% | 65.0% |
| Rolling 12-Month Win Rate | 76.0% | 62.2% |
| Rolling 3-Year Win Rate | 100.0% | 87.0% |
| Rolling 5-Year Win Rate | 100.0% | 81.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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