| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-10 | 2025-10-10 |
| Time Elapsed | 25 years, 9 months | 25 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $523,114.86 | $553,618.99 |
| CAGR % | 6.63% | 6.87% |
| Max % Drawdown | (14.90%) | (10.05%) |
| Standard Deviation | 1.96% | 1.91% |
| Annualized Sharpe | 0.54 | 0.59 |
| MAR Ratio | 0.45 | 0.68 |
| Win Rate % | 48.2% | 52.0% |
| Avg Win / Loss Ratio | 3.44 | 3.16 |
| Expectancy | $1.14 | $1.16 |
| Avg Win % | 4.18% | 4.26% |
| Avg Loss % | (0.93%) | (1.00%) |
| Longest Drawdown Duration | 30.5 months | 28.1 months |
| Avg Trades Per Year | 4.27 | 3.88 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $523,114.86 | $553,618.99 |
| Open Equity | $33,541.08 | $46,876.02 |
| Gross Profit | $518,557.13 | $529,274.92 |
| Gross Loss | ($162,060.66) | ($154,744.72) |
| Net Profit | $356,496.47 | $374,530.20 |
| Net Long Profit | $356,496.47 | $374,530.20 |
| 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 | $33,077.31 | $32,212.76 |
| 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 | 4,012.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.68 |
| Calmar Ratio | 0.61 | 0.75 |
| Modified Sharpe Ratio | 0.98 | 1.03 |
| Robust Sharpe Ratio | 0.88 | 0.95 |
| R-Squared | 0.9421 | 0.9517 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.63% | 6.87% |
| RAR | 5.95% | 6.32% |
| Profit Factor | 3.20 | 3.42 |
| Percent Profit Factor | 4.20 | 4.63 |
| Expectancy | $1.14 | $1.16 |
| Percentage Expectancy | 0.08 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (10.05%) |
| Longest Drawdown Duration | 30.5 months | 28.1 months |
| Max Monthly % Drawdown | (10.84%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 23.8 months |
| Avg of All % Drawdowns | (1.33%) | (1.04%) |
| Std Dev of All % Drawdowns | 2.08% | 1.77% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (2.66%) | (2.77%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.2% | 52.0% |
| Lose Rate % | 51.8% | 48.0% |
| Winning Trades | 53 | 52 |
| Losing Trades | 57 | 48 |
| Total Trades | 110 | 100 |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 8 | 8 |
| Avg Trade Duration | 283.9 days | 314.9 days |
| Avg Winning Trade Duration | 504.0 days | 526.0 days |
| Avg Losing Trade Duration | 79.2 days | 86.2 days |
| Largest Winning Trade | $61,124.70 | $61,124.70 |
| Largest Losing Trade | ($9,079.40) | ($8,254.00) |
| Largest Win as % of Net Profit | 17.15% | 16.32% |
| Avg Win | $9,784.10 | $10,178.36 |
| Avg Loss | ($2,843.17) | ($3,223.85) |
| Avg Win / Loss Ratio | 3.44 | 3.16 |
| Avg Trade | $3,240.88 | $3,745.30 |
| Avg Win % | 4.18% | 4.26% |
| Avg Loss % | (0.93%) | (1.00%) |
| Avg Trade % | 1.53% | 1.74% |
| Avg Risk % | (18.09%) | (4.11%) |
| Avg Trades Per Year | 4.27 | 3.88 |
| Avg Trades Per Month | 0.36 | 0.32 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 68.4% |
| Losing Months % | 34.2% | 31.6% |
| Winning Months | 204 | 212 |
| Losing Months | 106 | 98 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 11 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | 80.8% |
| Losing Years % | 15.4% | 19.2% |
| Winning Years | 22 | 21 |
| Losing Years | 4 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 8 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.5% | 69.2% |
| Rolling 6-Month Win Rate | 75.4% | 74.8% |
| Rolling 12-Month Win Rate | 78.9% | 81.6% |
| 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 | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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