| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-06-12 | 2026-06-12 |
| Time Elapsed | 26 years, 5 months | 26 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $601,894.29 | $626,814.99 |
| CAGR % | 7.02% | 7.19% |
| Max % Drawdown | (14.90%) | (10.05%) |
| Standard Deviation | 1.96% | 1.92% |
| Annualized Sharpe | 0.60 | 0.63 |
| MAR Ratio | 0.47 | 0.72 |
| Win Rate % | 49.1% | 52.4% |
| Avg Win / Loss Ratio | 3.41 | 3.20 |
| Expectancy | $1.17 | $1.20 |
| Avg Win % | 4.08% | 4.19% |
| Avg Loss % | (0.93%) | (0.98%) |
| Longest Drawdown Duration | 30.5 months | 28.1 months |
| Avg Trades Per Year | 4.24 | 3.90 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $601,894.29 | $626,814.99 |
| Open Equity | $97,258.82 | $98,672.12 |
| Gross Profit | $533,054.19 | $551,618.40 |
| Gross Loss | ($162,060.66) | ($156,614.90) |
| Net Profit | $370,993.53 | $395,003.50 |
| Net Long Profit | $370,993.53 | $395,003.50 |
| 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 | $33,641.93 | $33,139.36 |
| 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 | 1,185.0 | 4,250.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.47 | 0.72 |
| Calmar Ratio | 0.65 | 0.79 |
| Modified Sharpe Ratio | 1.03 | 1.08 |
| Robust Sharpe Ratio | 0.88 | 0.95 |
| R-Squared | 0.9461 | 0.9550 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.02% | 7.19% |
| RAR | 5.97% | 6.32% |
| Profit Factor | 3.29 | 3.52 |
| Percent Profit Factor | 4.25 | 4.69 |
| Expectancy | $1.17 | $1.20 |
| Percentage Expectancy | 0.08 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (10.05%) |
| Longest Drawdown Duration | 30.5 months | 28.1 months |
| Max Monthly % Drawdown | (10.84%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 23.8 months |
| Avg of All % Drawdowns | (1.29%) | (1.03%) |
| Std Dev of All % Drawdowns | 2.02% | 1.73% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (2.50%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 2.57% | 2.46% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 49.1% | 52.4% |
| Lose Rate % | 50.9% | 47.6% |
| Winning Trades | 55 | 54 |
| Losing Trades | 57 | 49 |
| Total Trades | 112 | 103 |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 8 | 8 |
| Avg Trade Duration | 285.6 days | 317.6 days |
| Avg Winning Trade Duration | 499.5 days | 527.9 days |
| Avg Losing Trade Duration | 79.2 days | 85.8 days |
| Largest Winning Trade | $61,124.70 | $61,124.70 |
| Largest Losing Trade | ($9,079.40) | ($8,254.00) |
| Largest Win as % of Net Profit | 16.48% | 15.47% |
| Avg Win | $9,691.89 | $10,215.16 |
| Avg Loss | ($2,843.17) | ($3,196.22) |
| Avg Win / Loss Ratio | 3.41 | 3.20 |
| Avg Trade | $3,312.44 | $3,834.99 |
| Avg Win % | 4.08% | 4.19% |
| Avg Loss % | (0.93%) | (0.98%) |
| Avg Trade % | 1.53% | 1.73% |
| Avg Risk % | (18.11%) | (4.10%) |
| Avg Trades Per Year | 4.24 | 3.90 |
| Avg Trades Per Month | 0.35 | 0.32 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 66.4% | 68.9% |
| Losing Months % | 33.6% | 31.1% |
| Winning Months | 211 | 219 |
| Losing Months | 107 | 99 |
| Total Months | 318 | 318 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 85.2% | 81.5% |
| Losing Years % | 14.8% | 18.5% |
| Winning Years | 23 | 22 |
| Losing Years | 4 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 8 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.4% | 69.9% |
| Rolling 6-Month Win Rate | 76.0% | 75.4% |
| Rolling 12-Month Win Rate | 79.5% | 82.1% |
| 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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