| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-08-14 | 2026-08-14 |
| Time Elapsed | 26 years, 7 months | 26 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $623,696.15 | $482,182.64 |
| CAGR % | 7.12% | 6.09% |
| Max % Drawdown | (14.90%) | (35.30%) |
| Standard Deviation | 1.96% | 3.04% |
| Annualized Sharpe | 0.61 | 0.33 |
| MAR Ratio | 0.48 | 0.17 |
| Win Rate % | 48.7% | 76.9% |
| Avg Win / Loss Ratio | 3.44 | 1.39 |
| Expectancy | $1.16 | $0.84 |
| Avg Win % | 4.08% | 9.70% |
| Avg Loss % | (0.91%) | (7.55%) |
| Longest Drawdown Duration | 30.5 months | 37.4 months |
| Avg Trades Per Year | 4.25 | 0.98 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $623,696.15 | $482,182.64 |
| Open Equity | $119,951.52 | $0.00 |
| Gross Profit | $533,054.19 | $418,473.88 |
| Gross Loss | ($163,263.84) | ($90,465.16) |
| Net Profit | $369,790.34 | $328,008.72 |
| Net Long Profit | $369,790.34 | $328,008.72 |
| 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 | $33,954.29 | $54,173.92 |
| 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 | 1,195.0 | 1,460.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.48 | 0.17 |
| Calmar Ratio | 0.66 | 0.20 |
| Modified Sharpe Ratio | 1.05 | 0.61 |
| Robust Sharpe Ratio | 0.88 | 0.65 |
| R-Squared | 0.9471 | 0.9659 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.12% | 6.09% |
| RAR | 5.98% | 6.81% |
| Profit Factor | 3.26 | 4.63 |
| Percent Profit Factor | 4.23 | 4.28 |
| Expectancy | $1.16 | $0.84 |
| Percentage Expectancy | 0.08 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (35.30%) |
| Longest Drawdown Duration | 30.5 months | 37.4 months |
| Max Monthly % Drawdown | (10.84%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 25.7 months |
| Avg of All % Drawdowns | (1.30%) | (1.70%) |
| Std Dev of All % Drawdowns | 2.02% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (2.51%) | (8.82%) |
| Closed-Equity Std Dev of All % Drawdown | 2.57% | 6.04% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.7% | 76.9% |
| Lose Rate % | 51.3% | 23.1% |
| Winning Trades | 55 | 20 |
| Losing Trades | 58 | 6 |
| Total Trades | 113 | 26 |
| Max Consecutive Wins | 6 | 10 |
| Max Consecutive Losses | 8 | 2 |
| Avg Trade Duration | 283.3 days | 181.2 days |
| Avg Winning Trade Duration | 499.5 days | 181.2 days |
| Avg Losing Trade Duration | 78.4 days | 181.2 days |
| Largest Winning Trade | $61,124.70 | $78,378.06 |
| Largest Losing Trade | ($9,079.40) | ($34,858.81) |
| Largest Win as % of Net Profit | 16.53% | 23.90% |
| Avg Win | $9,691.89 | $20,923.69 |
| Avg Loss | ($2,814.89) | ($15,077.53) |
| Avg Win / Loss Ratio | 3.44 | 1.39 |
| Avg Trade | $3,272.48 | $12,615.72 |
| Avg Win % | 4.08% | 9.70% |
| Avg Loss % | (0.91%) | (7.55%) |
| Avg Trade % | 1.52% | 5.72% |
| Avg Risk % | (18.12%) | (98.97%) |
| Avg Trades Per Year | 4.25 | 0.98 |
| Avg Trades Per Month | 0.35 | 0.08 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 66.6% | 81.9% |
| Losing Months % | 33.4% | 18.1% |
| Winning Months | 213 | 262 |
| Losing Months | 107 | 58 |
| Total Months | 320 | 320 |
| Max Consecutive Winning Months | 12 | 23 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 85.2% | 77.8% |
| Losing Years % | 14.8% | 22.2% |
| Winning Years | 23 | 21 |
| Losing Years | 4 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 9 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.6% | 79.6% |
| Rolling 6-Month Win Rate | 76.2% | 73.7% |
| Rolling 12-Month Win Rate | 79.6% | 77.7% |
| Rolling 3-Year Win Rate | 100.0% | 92.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 318 | 318 |
| Rolling 6-Month Periods | 315 | 315 |
| Rolling 12-Month Periods | 309 | 309 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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