| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-04-10 | 2026-04-10 |
| Time Elapsed | 26 years, 3 months | 26 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $589,678.54 | $326,382.99 |
| CAGR % | 6.99% | 4.61% |
| Max % Drawdown | (14.90%) | (14.87%) |
| Standard Deviation | 1.95% | 1.42% |
| Annualized Sharpe | 0.60 | 0.34 |
| MAR Ratio | 0.47 | 0.31 |
| Win Rate % | 48.6% | 70.6% |
| Avg Win / Loss Ratio | 3.45 | 2.23 |
| Expectancy | $1.17 | $1.28 |
| Avg Win % | 4.14% | 11.82% |
| Avg Loss % | (0.93%) | (3.22%) |
| Longest Drawdown Duration | 30.5 months | 63.2 months |
| Avg Trades Per Year | 4.23 | 0.65 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $589,678.54 | $326,382.99 |
| Open Equity | $88,641.84 | $0.00 |
| Gross Profit | $529,800.95 | $256,446.76 |
| Gross Loss | ($162,060.66) | ($47,865.59) |
| Net Profit | $367,740.29 | $208,581.17 |
| Net Long Profit | $367,740.29 | $208,581.17 |
| 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 | $33,296.40 | $17,801.82 |
| 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 | 1,176.0 | 12,905.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.47 | 0.31 |
| Calmar Ratio | 0.64 | 0.34 |
| Modified Sharpe Ratio | 1.03 | 0.94 |
| Robust Sharpe Ratio | 0.88 | 0.98 |
| R-Squared | 0.9451 | 0.9317 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.99% | 4.61% |
| RAR | 5.95% | 4.80% |
| Profit Factor | 3.27 | 5.36 |
| Percent Profit Factor | 4.24 | 8.80 |
| Expectancy | $1.17 | $1.28 |
| Percentage Expectancy | 0.09 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (14.87%) |
| Longest Drawdown Duration | 30.5 months | 63.2 months |
| Max Monthly % Drawdown | (10.84%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 26.1 months |
| Avg of All % Drawdowns | (1.31%) | (0.88%) |
| Std Dev of All % Drawdowns | 2.04% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (2.50%) | (4.52%) |
| Closed-Equity Std Dev of All % Drawdown | 2.57% | 5.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.6% | 70.6% |
| Lose Rate % | 51.4% | 29.4% |
| Winning Trades | 54 | 12 |
| Losing Trades | 57 | 5 |
| Total Trades | 111 | 17 |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 284.0 days | 443.2 days |
| Avg Winning Trade Duration | 500.3 days | 580.2 days |
| Avg Losing Trade Duration | 79.2 days | 114.6 days |
| Largest Winning Trade | $61,124.70 | $85,604.87 |
| Largest Losing Trade | ($9,079.40) | ($15,771.66) |
| Largest Win as % of Net Profit | 16.62% | 41.04% |
| Avg Win | $9,811.13 | $21,370.56 |
| Avg Loss | ($2,843.17) | ($9,573.12) |
| Avg Win / Loss Ratio | 3.45 | 2.23 |
| Avg Trade | $3,312.98 | $12,269.48 |
| Avg Win % | 4.14% | 11.82% |
| Avg Loss % | (0.93%) | (3.22%) |
| Avg Trade % | 1.54% | 7.40% |
| Avg Risk % | (18.09%) | (99.95%) |
| Avg Trades Per Year | 4.23 | 0.65 |
| Avg Trades Per Month | 0.35 | 0.05 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 66.8% | 69.3% |
| Losing Months % | 33.2% | 30.7% |
| Winning Months | 211 | 219 |
| Losing Months | 105 | 97 |
| Total Months | 316 | 316 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 85.2% | 70.4% |
| Losing Years % | 14.8% | 29.6% |
| Winning Years | 23 | 19 |
| Losing Years | 4 | 8 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.2% | 70.1% |
| Rolling 6-Month Win Rate | 75.9% | 70.7% |
| Rolling 12-Month Win Rate | 79.3% | 76.1% |
| Rolling 3-Year Win Rate | 100.0% | 92.0% |
| Rolling 5-Year Win Rate | 100.0% | 91.3% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 314 | 314 |
| Rolling 6-Month Periods | 311 | 311 |
| Rolling 12-Month Periods | 305 | 305 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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