| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-02-20 | 2026-02-20 |
| Time Elapsed | 26 years, 1 month | 26 years, 1 month |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $573,334.56 | $519,353.81 |
| CAGR % | 6.91% | 6.51% |
| Max % Drawdown | (14.90%) | (28.57%) |
| Standard Deviation | 1.95% | 3.05% |
| Annualized Sharpe | 0.59 | 0.37 |
| MAR Ratio | 0.46 | 0.23 |
| Win Rate % | 48.2% | 42.1% |
| Avg Win / Loss Ratio | 3.44 | 4.36 |
| Expectancy | $1.14 | $1.26 |
| Avg Win % | 4.18% | 30.88% |
| Avg Loss % | (0.93%) | (5.29%) |
| Longest Drawdown Duration | 30.5 months | 48.9 months |
| Avg Trades Per Year | 4.21 | 0.73 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $573,334.56 | $519,353.81 |
| Open Equity | $83,664.11 | $143,263.30 |
| Gross Profit | $518,557.13 | $370,996.94 |
| Gross Loss | ($162,060.66) | ($117,116.58) |
| Net Profit | $356,496.47 | $253,880.36 |
| Net Long Profit | $356,496.47 | $253,880.36 |
| 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 | $33,173.98 | $22,210.16 |
| 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 | 669.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.46 | 0.23 |
| Calmar Ratio | 0.64 | 0.25 |
| Modified Sharpe Ratio | 1.02 | 0.65 |
| Robust Sharpe Ratio | 0.88 | 0.50 |
| R-Squared | 0.9442 | 0.8449 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.91% | 6.51% |
| RAR | 5.95% | 5.29% |
| Profit Factor | 3.20 | 3.17 |
| Percent Profit Factor | 4.20 | 4.24 |
| Expectancy | $1.14 | $1.26 |
| Percentage Expectancy | 0.08 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (28.57%) |
| Longest Drawdown Duration | 30.5 months | 48.9 months |
| Max Monthly % Drawdown | (10.84%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 37.9 months |
| Avg of All % Drawdowns | (1.31%) | (2.62%) |
| Std Dev of All % Drawdowns | 2.05% | 4.40% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (2.66%) | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.2% | 42.1% |
| Lose Rate % | 51.8% | 57.9% |
| Winning Trades | 53 | 8 |
| Losing Trades | 57 | 11 |
| Total Trades | 110 | 19 |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 283.9 days | 314.0 days |
| Avg Winning Trade Duration | 504.0 days | 608.4 days |
| Avg Losing Trade Duration | 79.2 days | 99.9 days |
| Largest Winning Trade | $61,124.70 | $126,225.36 |
| Largest Losing Trade | ($9,079.40) | ($32,828.35) |
| Largest Win as % of Net Profit | 17.15% | 49.72% |
| Avg Win | $9,784.10 | $46,374.62 |
| Avg Loss | ($2,843.17) | ($10,646.96) |
| Avg Win / Loss Ratio | 3.44 | 4.36 |
| Avg Trade | $3,240.88 | $13,362.12 |
| Avg Win % | 4.18% | 30.88% |
| Avg Loss % | (0.93%) | (5.29%) |
| Avg Trade % | 1.53% | 9.94% |
| Avg Risk % | (18.09%) | (98.26%) |
| Avg Trades Per Year | 4.21 | 0.73 |
| Avg Trades Per Month | 0.35 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 66.6% | 72.6% |
| Losing Months % | 33.4% | 27.4% |
| Winning Months | 209 | 228 |
| Losing Months | 105 | 86 |
| Total Months | 314 | 314 |
| Max Consecutive Winning Months | 11 | 22 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 85.2% | 59.3% |
| Losing Years % | 14.8% | 40.7% |
| Winning Years | 23 | 16 |
| Losing Years | 4 | 11 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.9% | 70.2% |
| Rolling 6-Month Win Rate | 75.7% | 65.7% |
| Rolling 12-Month Win Rate | 79.2% | 64.0% |
| Rolling 3-Year Win Rate | 100.0% | 88.0% |
| Rolling 5-Year Win Rate | 100.0% | 82.6% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 312 | 312 |
| Rolling 6-Month Periods | 309 | 309 |
| Rolling 12-Month Periods | 303 | 303 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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