| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-01-02 | 2026-01-02 |
| Time Elapsed | 26 years | 26 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,146,716.30 | $799,380.13 |
| CAGR % | 9.84% | 8.32% |
| Max % Drawdown | (33.73%) | (24.14%) |
| Standard Deviation | 3.44% | 2.92% |
| Annualized Sharpe | 0.60 | 0.55 |
| MAR Ratio | 0.29 | 0.34 |
| Win Rate % | 61.1% | 61.1% |
| Avg Win / Loss Ratio | 2.85 | 2.67 |
| Expectancy | $1.35 | $1.24 |
| Avg Win % | 16.83% | 24.36% |
| Avg Loss % | (3.99%) | (6.20%) |
| Longest Drawdown Duration | 36.7 months | 32.9 months |
| Avg Trades Per Year | 1.38 | 0.69 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,146,716.30 | $799,380.13 |
| Open Equity | $42,119.05 | $116,231.96 |
| Gross Profit | $1,292,231.96 | $731,934.07 |
| Gross Loss | ($288,990.67) | ($174,306.09) |
| Net Profit | $1,003,241.29 | $557,627.98 |
| Net Long Profit | $1,003,241.29 | $557,627.98 |
| 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 | $1,355.96 | $25,520.19 |
| 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 | 1,390.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.29 | 0.34 |
| Calmar Ratio | 0.44 | 0.39 |
| Modified Sharpe Ratio | 0.85 | 0.84 |
| Robust Sharpe Ratio | 0.80 | 0.83 |
| R-Squared | 0.9566 | 0.9832 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.84% | 8.32% |
| RAR | 9.47% | 8.39% |
| Profit Factor | 4.47 | 4.20 |
| Percent Profit Factor | 6.62 | 6.17 |
| Expectancy | $1.35 | $1.24 |
| Percentage Expectancy | 0.09 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.73%) | (24.14%) |
| Longest Drawdown Duration | 36.7 months | 32.9 months |
| Max Monthly % Drawdown | (22.15%) | (21.48%) |
| Avg of Top-5 Max % Drawdowns | (22.87%) | (18.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.0 months | 27.6 months |
| Avg of All % Drawdowns | (2.06%) | (1.68%) |
| Std Dev of All % Drawdowns | 4.25% | 2.99% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.75%) | (12.79%) |
| Closed-Equity Max Monthly % Drawdown | (15.75%) | (12.52%) |
| Closed-Equity Avg of All % Drawdown | (8.58%) | (8.30%) |
| Closed-Equity Std Dev of All % Drawdown | 4.42% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.1% | 61.1% |
| Lose Rate % | 38.9% | 38.9% |
| Winning Trades | 22 | 11 |
| Losing Trades | 14 | 7 |
| Total Trades | 36 | 18 |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 261.3 days | 379.2 days |
| Avg Winning Trade Duration | 327.7 days | 589.6 days |
| Avg Losing Trade Duration | 156.9 days | 48.4 days |
| Largest Winning Trade | $255,900.48 | $188,616.32 |
| Largest Losing Trade | ($51,833.25) | ($52,117.18) |
| Largest Win as % of Net Profit | 25.51% | 33.82% |
| Avg Win | $58,737.82 | $66,539.46 |
| Avg Loss | ($20,642.19) | ($24,900.87) |
| Avg Win / Loss Ratio | 2.85 | 2.67 |
| Avg Trade | $27,867.81 | $30,979.33 |
| Avg Win % | 16.83% | 24.36% |
| Avg Loss % | (3.99%) | (6.20%) |
| Avg Trade % | 8.73% | 12.48% |
| Avg Risk % | (99.49%) | (99.29%) |
| Avg Trades Per Year | 1.38 | 0.69 |
| Avg Trades Per Month | 0.12 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 75.7% |
| Losing Months % | 34.2% | 24.3% |
| Winning Months | 206 | 237 |
| Losing Months | 107 | 76 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 15 | 21 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 77.8% |
| Losing Years % | 18.5% | 22.2% |
| Winning Years | 22 | 21 |
| Losing Years | 5 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.8% | 75.2% |
| Rolling 6-Month Win Rate | 72.7% | 76.0% |
| Rolling 12-Month Win Rate | 77.2% | 75.2% |
| 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 | 311 | 311 |
| Rolling 6-Month Periods | 308 | 308 |
| Rolling 12-Month Periods | 302 | 302 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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