| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-10 | 2025-10-10 |
| Time Elapsed | 25 years, 9 months | 25 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,051,522.65 | $539,569.93 |
| CAGR % | 9.56% | 6.76% |
| Max % Drawdown | (33.73%) | (33.47%) |
| Standard Deviation | 3.45% | 3.11% |
| Annualized Sharpe | 0.58 | 0.39 |
| MAR Ratio | 0.28 | 0.20 |
| Win Rate % | 60.0% | 76.0% |
| Avg Win / Loss Ratio | 2.90 | 1.17 |
| Expectancy | $1.34 | $0.65 |
| Avg Win % | 17.47% | 11.39% |
| Avg Loss % | (3.99%) | (8.58%) |
| Longest Drawdown Duration | 36.7 months | 41.8 months |
| Avg Trades Per Year | 1.36 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,051,522.65 | $539,569.93 |
| Open Equity | ($17,564.40) | $0.00 |
| Gross Profit | $1,256,738.12 | $525,846.57 |
| Gross Loss | ($288,990.67) | ($142,169.87) |
| Net Profit | $967,747.45 | $383,676.70 |
| Net Long Profit | $967,747.45 | $383,676.70 |
| 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 | $1,339.61 | $55,893.23 |
| 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 | 11,291.0 | 947.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.28 | 0.20 |
| Calmar Ratio | 0.43 | 0.26 |
| Modified Sharpe Ratio | 0.82 | 0.66 |
| Robust Sharpe Ratio | 0.79 | 0.61 |
| R-Squared | 0.9555 | 0.9661 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.56% | 6.76% |
| RAR | 9.47% | 6.62% |
| Profit Factor | 4.35 | 3.70 |
| Percent Profit Factor | 6.56 | 4.20 |
| Expectancy | $1.34 | $0.65 |
| Percentage Expectancy | 0.09 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (33.47%) |
| Longest Drawdown Duration | 36.7 months | 41.8 months |
| Max Monthly % Drawdown | (22.15%) | (26.06%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (23.64%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 24.3 months |
| Avg of All % Drawdowns | (2.06%) | (2.32%) |
| Std Dev of All % Drawdowns | 4.29% | 4.69% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | (15.43%) |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | (15.43%) |
| Closed-Equity Avg of All % Drawdown | (8.58%) | (10.15%) |
| Closed-Equity Std Dev of All % Drawdown | 4.42% | 5.03% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 60.0% | 76.0% |
| Lose Rate % | 40.0% | 24.0% |
| Winning Trades | 21 | 19 |
| Losing Trades | 14 | 6 |
| Total Trades | 35 | 25 |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 267.8 days | 181.3 days |
| Avg Winning Trade Duration | 341.8 days | 181.3 days |
| Avg Losing Trade Duration | 156.9 days | 181.3 days |
| Largest Winning Trade | $255,900.48 | $81,648.82 |
| Largest Losing Trade | ($51,833.25) | ($53,296.88) |
| Largest Win as % of Net Profit | 26.44% | 21.28% |
| Avg Win | $59,844.67 | $27,676.14 |
| Avg Loss | ($20,642.19) | ($23,694.98) |
| Avg Win / Loss Ratio | 2.90 | 1.17 |
| Avg Trade | $27,649.93 | $15,347.07 |
| Avg Win % | 17.47% | 11.39% |
| Avg Loss % | (3.99%) | (8.58%) |
| Avg Trade % | 8.88% | 6.60% |
| Avg Risk % | (99.47%) | (98.64%) |
| Avg Trades Per Year | 1.36 | 0.97 |
| Avg Trades Per Month | 0.11 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.2% | 78.1% |
| Losing Months % | 34.8% | 21.9% |
| Winning Months | 202 | 242 |
| Losing Months | 108 | 68 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 15 | 14 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 80.8% |
| Losing Years % | 19.2% | 19.2% |
| Winning Years | 21 | 21 |
| Losing Years | 5 | 5 |
| 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 | 69.5% | 76.9% |
| Rolling 6-Month Win Rate | 72.5% | 71.1% |
| Rolling 12-Month Win Rate | 76.9% | 76.6% |
| Rolling 3-Year Win Rate | 100.0% | 95.8% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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