| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-24 | 2025-10-24 |
| Time Elapsed | 25 years, 10 months | 25 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,089,941.36 | $86,119.57 |
| CAGR % | 9.70% | (0.58%) |
| Max % Drawdown | (33.73%) | (48.93%) |
| Standard Deviation | 3.45% | 3.33% |
| Annualized Sharpe | 0.59 | (0.25) |
| MAR Ratio | 0.29 | (0.01) |
| Win Rate % | 60.0% | 60.0% |
| Avg Win / Loss Ratio | 2.90 | 0.53 |
| Expectancy | $1.34 | ($0.08) |
| Avg Win % | 17.47% | 8.94% |
| Avg Loss % | (3.99%) | (13.62%) |
| Longest Drawdown Duration | 36.7 months | 209.1 months |
| Avg Trades Per Year | 1.36 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,089,941.36 | $86,119.57 |
| Open Equity | $20,847.60 | $11,136.71 |
| Gross Profit | $1,256,738.12 | $95,805.13 |
| Gross Loss | ($288,990.67) | ($120,822.26) |
| Net Profit | $967,747.45 | ($25,017.13) |
| Net Long Profit | $967,747.45 | ($25,017.13) |
| 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 | $1,346.32 | $0.00 |
| 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 | 366.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.29 | (0.01) |
| Calmar Ratio | 0.44 | (0.01) |
| Modified Sharpe Ratio | 0.84 | 0.01 |
| Robust Sharpe Ratio | 0.79 | (0.03) |
| R-Squared | 0.9557 | 0.0668 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.70% | (0.58%) |
| RAR | 9.47% | (0.40%) |
| Profit Factor | 4.35 | 0.79 |
| Percent Profit Factor | 6.56 | 0.99 |
| Expectancy | $1.34 | ($0.08) |
| Percentage Expectancy | 0.09 | (0.00) |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (48.93%) |
| Longest Drawdown Duration | 36.7 months | 209.1 months |
| Max Monthly % Drawdown | (22.15%) | (41.16%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (25.62%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 76.3 months |
| Avg of All % Drawdowns | (2.07%) | (17.84%) |
| Std Dev of All % Drawdowns | 4.29% | 23.47% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | (38.72%) |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | (38.72%) |
| Closed-Equity Avg of All % Drawdown | (8.58%) | (38.72%) |
| Closed-Equity Std Dev of All % Drawdown | 4.42% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 60.0% | 60.0% |
| Lose Rate % | 40.0% | 40.0% |
| Winning Trades | 21 | 15 |
| Losing Trades | 14 | 10 |
| Total Trades | 35 | 25 |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 267.8 days | 183.0 days |
| Avg Winning Trade Duration | 341.8 days | 183.7 days |
| Avg Losing Trade Duration | 156.9 days | 184.3 days |
| Largest Winning Trade | $255,900.48 | $18,925.42 |
| Largest Losing Trade | ($51,833.25) | ($39,151.52) |
| Largest Win as % of Net Profit | 26.44% | (75.65%) |
| Avg Win | $59,844.67 | $6,387.01 |
| Avg Loss | ($20,642.19) | ($12,082.23) |
| Avg Win / Loss Ratio | 2.90 | 0.53 |
| Avg Trade | $27,649.93 | ($1,000.69) |
| Avg Win % | 17.47% | 8.94% |
| Avg Loss % | (3.99%) | (13.62%) |
| Avg Trade % | 8.88% | (0.08%) |
| Avg Risk % | (99.47%) | (96.21%) |
| 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 % | 65.5% | 74.2% |
| Losing Months % | 34.5% | 25.8% |
| Winning Months | 203 | 230 |
| Losing Months | 107 | 80 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 15 | 14 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 61.5% |
| Losing Years % | 19.2% | 38.5% |
| Winning Years | 21 | 16 |
| Losing Years | 5 | 10 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.5% | 66.2% |
| Rolling 6-Month Win Rate | 72.5% | 54.4% |
| Rolling 12-Month Win Rate | 76.9% | 58.5% |
| Rolling 3-Year Win Rate | 100.0% | 54.2% |
| Rolling 5-Year Win Rate | 100.0% | 40.9% |
| Rolling 10-Year Win Rate | 100.0% | 41.2% |
| 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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