| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-06-20 | 2025-06-20 |
| Time Elapsed | 25 years, 5 months | 25 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $980,258.17 | $446,334.27 |
| CAGR % | 9.38% | 6.05% |
| Max % Drawdown | (33.73%) | (35.30%) |
| Standard Deviation | 3.46% | 3.04% |
| Annualized Sharpe | 0.56 | 0.33 |
| MAR Ratio | 0.28 | 0.17 |
| Win Rate % | 56.2% | 76.0% |
| Avg Win / Loss Ratio | 3.00 | 1.37 |
| Expectancy | $1.25 | $0.80 |
| Avg Win % | 19.56% | 9.92% |
| Avg Loss % | (3.99%) | (7.55%) |
| Longest Drawdown Duration | 36.7 months | 37.4 months |
| Avg Trades Per Year | 1.26 | 0.98 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $980,258.17 | $446,334.27 |
| Open Equity | $52,854.56 | $0.00 |
| Gross Profit | $1,115,103.06 | $393,024.35 |
| Gross Loss | ($288,990.67) | ($90,465.16) |
| Net Profit | $826,112.39 | $302,559.19 |
| Net Long Profit | $826,112.39 | $302,559.19 |
| 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 | $1,291.22 | $43,775.08 |
| 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 | 9,201.0 | 1,431.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.28 | 0.17 |
| Calmar Ratio | 0.42 | 0.20 |
| Modified Sharpe Ratio | 0.81 | 0.61 |
| Robust Sharpe Ratio | 0.79 | 0.64 |
| R-Squared | 0.9543 | 0.9612 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.38% | 6.05% |
| RAR | 9.49% | 6.76% |
| Profit Factor | 3.86 | 4.34 |
| Percent Profit Factor | 6.30 | 4.16 |
| Expectancy | $1.25 | $0.80 |
| 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%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 24.5 months |
| Avg of All % Drawdowns | (2.02%) | (1.70%) |
| Std Dev of All % Drawdowns | 4.22% | 4.23% |
| 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 | (8.58%) | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 4.42% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 56.2% | 76.0% |
| Lose Rate % | 43.8% | 24.0% |
| Winning Trades | 18 | 19 |
| Losing Trades | 14 | 6 |
| Total Trades | 32 | 25 |
| Max Consecutive Wins | 4 | 10 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 288.2 days | 181.3 days |
| Avg Winning Trade Duration | 390.2 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 | 30.98% | 25.91% |
| Avg Win | $61,950.17 | $20,685.49 |
| Avg Loss | ($20,642.19) | ($15,077.53) |
| Avg Win / Loss Ratio | 3.00 | 1.37 |
| Avg Trade | $25,816.01 | $12,102.37 |
| Avg Win % | 19.56% | 9.92% |
| Avg Loss % | (3.99%) | (7.55%) |
| Avg Trade % | 9.26% | 5.72% |
| Avg Risk % | (99.49%) | (99.01%) |
| Avg Trades Per Year | 1.26 | 0.98 |
| Avg Trades Per Month | 0.10 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.4% | 82.0% |
| Losing Months % | 34.6% | 18.0% |
| Winning Months | 200 | 251 |
| Losing Months | 106 | 55 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 15 | 23 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 76.9% |
| Losing Years % | 19.2% | 23.1% |
| Winning Years | 21 | 20 |
| Losing Years | 5 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.1% | 78.9% |
| Rolling 6-Month Win Rate | 72.1% | 73.4% |
| Rolling 12-Month Win Rate | 76.6% | 78.3% |
| Rolling 3-Year Win Rate | 100.0% | 91.7% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 304 | 304 |
| Rolling 6-Month Periods | 301 | 301 |
| Rolling 12-Month Periods | 295 | 295 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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