| 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 | $501,335.18 | $111,236.61 |
| CAGR % | 6.54% | 0.42% |
| Max % Drawdown | (14.90%) | (42.03%) |
| Standard Deviation | 1.96% | 2.31% |
| Annualized Sharpe | 0.53 | (0.28) |
| MAR Ratio | 0.44 | 0.01 |
| Win Rate % | 48.2% | 78.0% |
| Avg Win / Loss Ratio | 3.44 | 0.32 |
| Expectancy | $1.14 | $0.03 |
| Avg Win % | 4.18% | 0.97% |
| Avg Loss % | (0.93%) | (2.82%) |
| Longest Drawdown Duration | 30.5 months | 278.8 months |
| Avg Trades Per Year | 4.32 | 3.93 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $501,335.18 | $111,236.61 |
| Open Equity | $12,673.27 | $3,102.11 |
| Gross Profit | $518,557.13 | $67,820.53 |
| Gross Loss | ($162,060.66) | ($59,686.04) |
| Net Profit | $356,496.47 | $8,134.49 |
| Net Long Profit | $356,496.47 | $8,134.49 |
| 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 | $32,165.44 | $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 | 1,169.0 | 1,822.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.01 |
| Calmar Ratio | 0.60 | 0.01 |
| Modified Sharpe Ratio | 0.97 | 0.09 |
| Robust Sharpe Ratio | 0.88 | 0.03 |
| R-Squared | 0.9404 | 0.0368 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.54% | 0.42% |
| RAR | 5.97% | 0.27% |
| Profit Factor | 3.20 | 1.14 |
| Percent Profit Factor | 4.20 | 1.22 |
| Expectancy | $1.14 | $0.03 |
| Percentage Expectancy | 0.08 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (42.03%) |
| Longest Drawdown Duration | 30.5 months | 278.8 months |
| Max Monthly % Drawdown | (10.84%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (9.19%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 58.5 months |
| Avg of All % Drawdowns | (1.36%) | (2.13%) |
| Std Dev of All % Drawdowns | 2.09% | 8.71% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (2.66%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.2% | 78.0% |
| Lose Rate % | 51.8% | 22.0% |
| Winning Trades | 53 | 78 |
| Losing Trades | 57 | 22 |
| Total Trades | 110 | 100 |
| Max Consecutive Wins | 6 | 13 |
| Max Consecutive Losses | 8 | 4 |
| Avg Trade Duration | 283.9 days | 140.1 days |
| Avg Winning Trade Duration | 504.0 days | 83.4 days |
| Avg Losing Trade Duration | 79.2 days | 341.3 days |
| Largest Winning Trade | $61,124.70 | $3,296.90 |
| Largest Losing Trade | ($9,079.40) | ($7,363.83) |
| Largest Win as % of Net Profit | 17.15% | 40.53% |
| Avg Win | $9,784.10 | $869.49 |
| Avg Loss | ($2,843.17) | ($2,713.00) |
| Avg Win / Loss Ratio | 3.44 | 0.32 |
| Avg Trade | $3,240.88 | $81.34 |
| Avg Win % | 4.18% | 0.97% |
| Avg Loss % | (0.93%) | (2.82%) |
| Avg Trade % | 1.53% | 0.13% |
| Avg Risk % | (18.09%) | (18.82%) |
| Avg Trades Per Year | 4.32 | 3.93 |
| Avg Trades Per Month | 0.36 | 0.33 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.7% | 65.7% |
| Losing Months % | 34.3% | 34.3% |
| Winning Months | 201 | 201 |
| Losing Months | 105 | 105 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 11 | 23 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | 61.5% |
| Losing Years % | 15.4% | 38.5% |
| Winning Years | 22 | 16 |
| Losing Years | 4 | 10 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 4 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.1% | 68.4% |
| Rolling 6-Month Win Rate | 75.1% | 69.4% |
| Rolling 12-Month Win Rate | 78.6% | 62.7% |
| Rolling 3-Year Win Rate | 100.0% | 70.8% |
| Rolling 5-Year Win Rate | 100.0% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 47.1% |
| 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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