| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-21 | 2025-04-21 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $492,493.58 | $851,086.45 |
| CAGR % | 6.51% | 8.83% |
| Max % Drawdown | (14.90%) | (33.73%) |
| Standard Deviation | 1.97% | 3.50% |
| Annualized Sharpe | 0.52 | 0.52 |
| MAR Ratio | 0.44 | 0.26 |
| Win Rate % | 48.6% | 54.8% |
| Avg Win / Loss Ratio | 3.46 | 2.64 |
| Expectancy | $1.17 | $0.00 |
| Avg Win % | 4.18% | 19.22% |
| Avg Loss % | (0.93%) | (3.99%) |
| Longest Drawdown Duration | 30.5 months | 36.7 months |
| Avg Trades Per Year | 4.31 | 1.23 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $492,493.58 | $851,086.45 |
| Open Equity | $1,569.37 | $111,535.02 |
| Gross Profit | $518,557.13 | $927,259.98 |
| Gross Loss | ($158,238.91) | ($288,990.67) |
| Net Profit | $360,318.22 | $638,269.31 |
| Net Long Profit | $360,318.22 | $638,269.31 |
| 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 | $30,605.99 | $1,282.12 |
| 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 | 1,144.0 | 9,127.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.26 |
| Calmar Ratio | 0.60 | 0.40 |
| Modified Sharpe Ratio | 0.96 | 0.76 |
| Robust Sharpe Ratio | 0.88 | 0.79 |
| R-Squared | 0.9396 | 0.9538 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.51% | 8.83% |
| RAR | 5.98% | 9.51% |
| Profit Factor | 3.28 | 3.21 |
| Percent Profit Factor | 4.26 | 5.84 |
| Expectancy | $1.17 | $0.00 |
| Percentage Expectancy | 0.09 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (33.73%) |
| Longest Drawdown Duration | 30.5 months | 36.7 months |
| Max Monthly % Drawdown | (10.84%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 24.0 months |
| Avg of All % Drawdowns | (1.36%) | (2.02%) |
| Std Dev of All % Drawdowns | 2.09% | 4.22% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (2.62%) | (9.46%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 4.54% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.6% | 54.8% |
| Lose Rate % | 51.4% | 45.2% |
| Winning Trades | 53 | 17 |
| Losing Trades | 56 | 14 |
| Total Trades | 109 | 31 |
| Max Consecutive Wins | 6 | 4 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 285.4 days | 280.8 days |
| Avg Winning Trade Duration | 504.0 days | 382.8 days |
| Avg Losing Trade Duration | 78.4 days | 156.9 days |
| Largest Winning Trade | $61,124.70 | $255,900.48 |
| Largest Losing Trade | ($9,079.40) | ($51,833.25) |
| Largest Win as % of Net Profit | 16.96% | 40.09% |
| Avg Win | $9,784.10 | $54,544.70 |
| Avg Loss | ($2,825.69) | ($20,642.19) |
| Avg Win / Loss Ratio | 3.46 | 2.64 |
| Avg Trade | $3,305.67 | $20,589.33 |
| Avg Win % | 4.18% | 19.22% |
| Avg Loss % | (0.93%) | (3.99%) |
| Avg Trade % | 1.55% | 8.73% |
| Avg Risk % | (18.09%) | (99.51%) |
| Avg Trades Per Year | 4.31 | 1.23 |
| Avg Trades Per Month | 0.36 | 0.10 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.5% | 65.1% |
| Losing Months % | 34.5% | 34.9% |
| Winning Months | 199 | 198 |
| Losing Months | 105 | 106 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 11 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 76.9% |
| Losing Years % | 19.2% | 23.1% |
| Winning Years | 21 | 20 |
| Losing Years | 5 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.2% | 69.2% |
| Rolling 6-Month Win Rate | 74.9% | 72.2% |
| Rolling 12-Month Win Rate | 78.5% | 76.5% |
| 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 | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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