| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-12-13 | 2024-12-13 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $500,552.43 | $373,893.16 |
| CAGR % | 6.67% | 5.43% |
| Max % Drawdown | (14.90%) | (28.57%) |
| Standard Deviation | 1.97% | 3.07% |
| Annualized Sharpe | 0.55 | 0.27 |
| MAR Ratio | 0.45 | 0.19 |
| Win Rate % | 47.2% | 42.1% |
| Avg Win / Loss Ratio | 3.43 | 4.36 |
| Expectancy | $1.09 | $1.26 |
| Avg Win % | 4.28% | 30.88% |
| Avg Loss % | (0.93%) | (5.29%) |
| Longest Drawdown Duration | 30.5 months | 48.9 months |
| Avg Trades Per Year | 4.25 | 0.76 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $500,552.43 | $373,893.16 |
| Open Equity | $45,962.04 | $0.00 |
| Gross Profit | $483,946.44 | $370,996.94 |
| Gross Loss | ($158,238.91) | ($117,116.58) |
| Net Profit | $325,707.53 | $253,880.36 |
| Net Long Profit | $325,707.53 | $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 | $28,882.86 | $20,012.80 |
| 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 | 1,120.0 | 669.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.19 |
| Calmar Ratio | 0.62 | 0.20 |
| Modified Sharpe Ratio | 0.98 | 0.55 |
| Robust Sharpe Ratio | 0.88 | 0.49 |
| R-Squared | 0.9378 | 0.8241 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.67% | 5.43% |
| RAR | 6.00% | 5.22% |
| Profit Factor | 3.06 | 3.17 |
| Percent Profit Factor | 4.11 | 4.24 |
| Expectancy | $1.09 | $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 | (1.36%) | (2.77%) |
| Std Dev of All % Drawdowns | 2.10% | 4.67% |
| 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 | (2.80%) | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 2.71% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 47.2% | 42.1% |
| Lose Rate % | 52.8% | 57.9% |
| Winning Trades | 50 | 8 |
| Losing Trades | 56 | 11 |
| Total Trades | 106 | 19 |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 284.0 days | 314.0 days |
| Avg Winning Trade Duration | 514.2 days | 608.4 days |
| Avg Losing Trade Duration | 78.4 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 | 18.77% | 49.72% |
| Avg Win | $9,678.93 | $46,374.62 |
| Avg Loss | ($2,825.69) | ($10,646.96) |
| Avg Win / Loss Ratio | 3.43 | 4.36 |
| Avg Trade | $3,072.71 | $13,362.12 |
| Avg Win % | 4.28% | 30.88% |
| Avg Loss % | (0.93%) | (5.29%) |
| Avg Trade % | 1.53% | 9.94% |
| Avg Risk % | (18.07%) | (98.26%) |
| Avg Trades Per Year | 4.25 | 0.76 |
| Avg Trades Per Month | 0.35 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.7% | 72.0% |
| Losing Months % | 34.3% | 28.0% |
| Winning Months | 197 | 216 |
| Losing Months | 103 | 84 |
| Total Months | 300 | 300 |
| Max Consecutive Winning Months | 11 | 22 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.0% | 56.0% |
| Losing Years % | 16.0% | 44.0% |
| Winning Years | 21 | 14 |
| Losing Years | 4 | 11 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 8 | 5 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.1% | 68.8% |
| Rolling 6-Month Win Rate | 75.3% | 65.1% |
| Rolling 12-Month Win Rate | 78.2% | 62.3% |
| Rolling 3-Year Win Rate | 100.0% | 87.0% |
| Rolling 5-Year Win Rate | 100.0% | 81.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 298 | 298 |
| Rolling 6-Month Periods | 295 | 295 |
| Rolling 12-Month Periods | 289 | 289 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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