| 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 | $304,682.17 |
| CAGR % | 6.61% | 4.56% |
| Max % Drawdown | (14.90%) | (14.87%) |
| Standard Deviation | 1.97% | 1.43% |
| Annualized Sharpe | 0.54 | 0.33 |
| MAR Ratio | 0.44 | 0.31 |
| Win Rate % | 47.7% | 68.8% |
| Avg Win / Loss Ratio | 3.37 | 2.10 |
| Expectancy | $1.08 | $1.13 |
| Avg Win % | 4.20% | 11.80% |
| Avg Loss % | (0.93%) | (3.22%) |
| Longest Drawdown Duration | 30.5 months | 47.0 months |
| Avg Trades Per Year | 4.28 | 0.64 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $495,645.76 | $304,682.17 |
| Open Equity | $39,618.63 | $13,739.25 |
| Gross Profit | $484,964.55 | $221,289.47 |
| Gross Loss | ($158,238.91) | ($47,865.59) |
| Net Profit | $326,725.64 | $173,423.88 |
| Net Long Profit | $326,725.64 | $173,423.88 |
| 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 | $17,519.04 |
| 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 | 12,205.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.31 |
| Calmar Ratio | 0.61 | 0.33 |
| Modified Sharpe Ratio | 0.97 | 0.92 |
| Robust Sharpe Ratio | 0.88 | 1.01 |
| R-Squared | 0.9381 | 0.9406 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.61% | 4.56% |
| RAR | 5.99% | 5.03% |
| Profit Factor | 3.06 | 4.62 |
| Percent Profit Factor | 4.12 | 8.05 |
| Expectancy | $1.08 | $1.13 |
| Percentage Expectancy | 0.08 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (14.87%) |
| Longest Drawdown Duration | 30.5 months | 47.0 months |
| Max Monthly % Drawdown | (10.84%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 23.1 months |
| Avg of All % Drawdowns | (1.36%) | (0.88%) |
| Std Dev of All % Drawdowns | 2.10% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (2.62%) | (6.18%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 0.47% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 47.7% | 68.8% |
| Lose Rate % | 52.3% | 31.2% |
| Winning Trades | 51 | 11 |
| Losing Trades | 56 | 5 |
| Total Trades | 107 | 16 |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 283.3 days | 417.7 days |
| Avg Winning Trade Duration | 508.3 days | 555.5 days |
| Avg Losing Trade Duration | 78.4 days | 114.6 days |
| Largest Winning Trade | $61,124.70 | $85,604.87 |
| Largest Losing Trade | ($9,079.40) | ($15,771.66) |
| Largest Win as % of Net Profit | 18.71% | 49.36% |
| Avg Win | $9,509.11 | $20,117.22 |
| Avg Loss | ($2,825.69) | ($9,573.12) |
| Avg Win / Loss Ratio | 3.37 | 2.10 |
| Avg Trade | $3,053.51 | $10,838.99 |
| Avg Win % | 4.20% | 11.80% |
| Avg Loss % | (0.93%) | (3.22%) |
| Avg Trade % | 1.51% | 7.10% |
| Avg Risk % | (18.07%) | (99.94%) |
| Avg Trades Per Year | 4.28 | 0.64 |
| Avg Trades Per Month | 0.36 | 0.05 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.8% | 69.1% |
| Losing Months % | 34.2% | 30.9% |
| Winning Months | 198 | 208 |
| Losing Months | 103 | 93 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 11 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | 69.2% |
| Losing Years % | 15.4% | 30.8% |
| Winning Years | 22 | 18 |
| Losing Years | 4 | 8 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.2% | 69.6% |
| Rolling 6-Month Win Rate | 75.3% | 70.3% |
| Rolling 12-Month Win Rate | 78.3% | 74.8% |
| Rolling 3-Year Win Rate | 100.0% | 87.5% |
| Rolling 5-Year Win Rate | 100.0% | 90.9% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| 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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