| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $495,645.76 | $107,044.12 |
| CAGR % | 6.61% | 0.27% |
| Max % Drawdown | (14.90%) | (42.03%) |
| Standard Deviation | 1.97% | 2.32% |
| Annualized Sharpe | 0.54 | (0.29) |
| MAR Ratio | 0.44 | 0.01 |
| Win Rate % | 47.7% | 77.6% |
| Avg Win / Loss Ratio | 3.37 | 0.33 |
| Expectancy | $1.08 | $0.03 |
| Avg Win % | 4.20% | 0.98% |
| Avg Loss % | (0.93%) | (2.82%) |
| Longest Drawdown Duration | 30.5 months | 278.8 months |
| Avg Trades Per Year | 4.28 | 3.92 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $495,645.76 | $107,044.12 |
| Open Equity | $39,618.63 | ($311.43) |
| Gross Profit | $484,964.55 | $67,041.59 |
| Gross Loss | ($158,238.91) | ($59,686.04) |
| Net Profit | $326,725.64 | $7,355.56 |
| Net Long Profit | $326,725.64 | $7,355.56 |
| 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 | $29,301.49 | $0.00 |
| 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 | 1,128.0 | 1,820.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.01 |
| Calmar Ratio | 0.61 | 0.01 |
| Modified Sharpe Ratio | 0.97 | 0.08 |
| Robust Sharpe Ratio | 0.88 | 0.03 |
| R-Squared | 0.9381 | 0.0226 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.61% | 0.27% |
| RAR | 5.99% | 0.21% |
| Profit Factor | 3.06 | 1.12 |
| Percent Profit Factor | 4.12 | 1.21 |
| Expectancy | $1.08 | $0.03 |
| Percentage Expectancy | 0.08 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (42.03%) |
| Longest Drawdown Duration | 30.5 months | 278.8 months |
| Max Monthly % Drawdown | (10.84%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (9.14%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 57.7 months |
| Avg of All % Drawdowns | (1.36%) | (2.74%) |
| Std Dev of All % Drawdowns | 2.10% | 10.13% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (2.62%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 47.7% | 77.6% |
| Lose Rate % | 52.3% | 22.4% |
| Winning Trades | 51 | 76 |
| Losing Trades | 56 | 22 |
| Total Trades | 107 | 98 |
| Max Consecutive Wins | 6 | 13 |
| Max Consecutive Losses | 8 | 4 |
| Avg Trade Duration | 283.3 days | 141.7 days |
| Avg Winning Trade Duration | 508.3 days | 83.9 days |
| Avg Losing Trade Duration | 78.4 days | 341.3 days |
| Largest Winning Trade | $61,124.70 | $3,296.90 |
| Largest Losing Trade | ($9,079.40) | ($7,363.83) |
| Largest Win as % of Net Profit | 18.71% | 44.82% |
| Avg Win | $9,509.11 | $882.13 |
| Avg Loss | ($2,825.69) | ($2,713.00) |
| Avg Win / Loss Ratio | 3.37 | 0.33 |
| Avg Trade | $3,053.51 | $75.06 |
| Avg Win % | 4.20% | 0.98% |
| Avg Loss % | (0.93%) | (2.82%) |
| Avg Trade % | 1.51% | 0.13% |
| Avg Risk % | (18.07%) | (18.98%) |
| Avg Trades Per Year | 4.28 | 3.92 |
| Avg Trades Per Month | 0.36 | 0.33 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 65.4% |
| Losing Months % | 34.2% | 34.6% |
| Winning Months | 198 | 197 |
| Losing Months | 103 | 104 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 11 | 23 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | 57.7% |
| Losing Years % | 15.4% | 42.3% |
| Winning Years | 22 | 15 |
| Losing Years | 4 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 4 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.2% | 68.2% |
| Rolling 6-Month Win Rate | 75.3% | 68.9% |
| Rolling 12-Month Win Rate | 78.3% | 62.1% |
| Rolling 3-Year Win Rate | 100.0% | 70.8% |
| Rolling 5-Year Win Rate | 100.0% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 47.1% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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