| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-06-05 | 2026-06-05 |
| Time Elapsed | 26 years, 5 months | 26 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,281,546.43 | $601,957.28 |
| CAGR % | 10.14% | 7.03% |
| Max % Drawdown | (33.73%) | (14.90%) |
| Standard Deviation | 3.54% | 1.96% |
| Annualized Sharpe | 0.61 | 0.60 |
| MAR Ratio | 0.30 | 0.47 |
| Win Rate % | 61.1% | 49.1% |
| Avg Win / Loss Ratio | 2.85 | 3.41 |
| Expectancy | $1.35 | $1.17 |
| Avg Win % | 16.83% | 4.08% |
| Avg Loss % | (3.99%) | (0.93%) |
| Longest Drawdown Duration | 36.7 months | 30.5 months |
| Avg Trades Per Year | 1.36 | 4.24 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,281,546.43 | $601,957.28 |
| Open Equity | $176,935.63 | $97,391.71 |
| Gross Profit | $1,292,231.96 | $533,054.19 |
| Gross Loss | ($288,990.67) | ($162,060.66) |
| Net Profit | $1,003,241.29 | $370,993.53 |
| Net Long Profit | $1,003,241.29 | $370,993.53 |
| 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 | $1,369.52 | $33,572.05 |
| 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 | 11,363.0 | 1,185.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.30 | 0.47 |
| Calmar Ratio | 0.46 | 0.65 |
| Modified Sharpe Ratio | 0.85 | 1.03 |
| Robust Sharpe Ratio | 0.77 | 0.88 |
| R-Squared | 0.9586 | 0.9460 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 10.14% | 7.03% |
| RAR | 9.49% | 5.96% |
| Profit Factor | 4.47 | 3.29 |
| Percent Profit Factor | 6.62 | 4.25 |
| Expectancy | $1.35 | $1.17 |
| Percentage Expectancy | 0.09 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (14.90%) |
| Longest Drawdown Duration | 36.7 months | 30.5 months |
| Max Monthly % Drawdown | (22.15%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 24.2 months |
| Avg of All % Drawdowns | (2.07%) | (1.29%) |
| Std Dev of All % Drawdowns | 4.22% | 2.02% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (8.58%) | (2.50%) |
| Closed-Equity Std Dev of All % Drawdown | 4.42% | 2.57% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.1% | 49.1% |
| Lose Rate % | 38.9% | 50.9% |
| Winning Trades | 22 | 55 |
| Losing Trades | 14 | 57 |
| Total Trades | 36 | 112 |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 261.3 days | 285.6 days |
| Avg Winning Trade Duration | 327.7 days | 499.5 days |
| Avg Losing Trade Duration | 156.9 days | 79.2 days |
| Largest Winning Trade | $255,900.48 | $61,124.70 |
| Largest Losing Trade | ($51,833.25) | ($9,079.40) |
| Largest Win as % of Net Profit | 25.51% | 16.48% |
| Avg Win | $58,737.82 | $9,691.89 |
| Avg Loss | ($20,642.19) | ($2,843.17) |
| Avg Win / Loss Ratio | 2.85 | 3.41 |
| Avg Trade | $27,867.81 | $3,312.44 |
| Avg Win % | 16.83% | 4.08% |
| Avg Loss % | (3.99%) | (0.93%) |
| Avg Trade % | 8.73% | 1.53% |
| Avg Risk % | (99.49%) | (18.11%) |
| Avg Trades Per Year | 1.36 | 4.24 |
| Avg Trades Per Month | 0.11 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.7% | 66.4% |
| Losing Months % | 34.3% | 33.6% |
| Winning Months | 209 | 211 |
| Losing Months | 109 | 107 |
| Total Months | 318 | 318 |
| Max Consecutive Winning Months | 15 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 85.2% |
| Losing Years % | 18.5% | 14.8% |
| Winning Years | 22 | 23 |
| Losing Years | 5 | 4 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 68.4% |
| Rolling 6-Month Win Rate | 73.2% | 76.0% |
| Rolling 12-Month Win Rate | 77.5% | 79.5% |
| Rolling 3-Year Win Rate | 100.0% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 316 | 316 |
| Rolling 6-Month Periods | 313 | 313 |
| Rolling 12-Month Periods | 307 | 307 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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