| 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 | $460,095.57 |
| CAGR % | 9.53% | 6.33% |
| Max % Drawdown | (33.73%) | (35.30%) |
| Standard Deviation | 3.45% | 3.03% |
| Annualized Sharpe | 0.58 | 0.36 |
| MAR Ratio | 0.28 | 0.18 |
| Win Rate % | 54.8% | 79.2% |
| Avg Win / Loss Ratio | 2.64 | 1.21 |
| Expectancy | $0.00 | $0.75 |
| Avg Win % | 19.22% | 9.92% |
| Avg Loss % | (3.99%) | (8.86%) |
| Longest Drawdown Duration | 36.7 months | 37.4 months |
| Avg Trades Per Year | 1.25 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $961,593.54 | $460,095.57 |
| Open Equity | $222,197.58 | $11,593.05 |
| Gross Profit | $927,259.98 | $393,024.35 |
| Gross Loss | ($288,990.67) | ($85,809.46) |
| Net Profit | $638,269.31 | $307,214.89 |
| Net Long Profit | $638,269.31 | $307,214.89 |
| 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 | $41,287.63 |
| 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 | 1,396.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.28 | 0.18 |
| Calmar Ratio | 0.43 | 0.21 |
| Modified Sharpe Ratio | 0.82 | 0.64 |
| Robust Sharpe Ratio | 0.80 | 0.64 |
| R-Squared | 0.9523 | 0.9591 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.53% | 6.33% |
| RAR | 9.56% | 6.70% |
| Profit Factor | 3.21 | 4.58 |
| Percent Profit Factor | 5.84 | 4.25 |
| Expectancy | $0.00 | $0.75 |
| Percentage Expectancy | 0.09 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (35.30%) |
| Longest Drawdown Duration | 36.7 months | 37.4 months |
| Max Monthly % Drawdown | (22.15%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (25.32%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 24.5 months |
| Avg of All % Drawdowns | (2.03%) | (1.70%) |
| Std Dev of All % Drawdowns | 4.27% | 4.27% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (9.46%) | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 4.54% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 54.8% | 79.2% |
| Lose Rate % | 45.2% | 20.8% |
| Winning Trades | 17 | 19 |
| Losing Trades | 14 | 5 |
| Total Trades | 31 | 24 |
| Max Consecutive Wins | 4 | 10 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 280.8 days | 181.3 days |
| Avg Winning Trade Duration | 382.8 days | 181.3 days |
| Avg Losing Trade Duration | 156.9 days | 181.2 days |
| Largest Winning Trade | $255,900.48 | $78,378.06 |
| Largest Losing Trade | ($51,833.25) | ($34,858.81) |
| Largest Win as % of Net Profit | 40.09% | 25.51% |
| Avg Win | $54,544.70 | $20,685.49 |
| Avg Loss | ($20,642.19) | ($17,161.89) |
| Avg Win / Loss Ratio | 2.64 | 1.21 |
| Avg Trade | $20,589.33 | $12,800.62 |
| Avg Win % | 19.22% | 9.92% |
| Avg Loss % | (3.99%) | (8.86%) |
| Avg Trade % | 8.73% | 6.00% |
| Avg Risk % | (99.51%) | (99.06%) |
| Avg Trades Per Year | 1.25 | 0.96 |
| Avg Trades Per Month | 0.10 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.9% | 82.9% |
| Losing Months % | 34.1% | 17.1% |
| Winning Months | 197 | 248 |
| Losing Months | 102 | 51 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 15 | 23 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.0% | 80.0% |
| Losing Years % | 20.0% | 20.0% |
| Winning Years | 20 | 20 |
| Losing Years | 5 | 5 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 79.8% |
| Rolling 6-Month Win Rate | 72.4% | 74.1% |
| Rolling 12-Month Win Rate | 76.0% | 78.1% |
| Rolling 3-Year Win Rate | 100.0% | 91.3% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| 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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