| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-08-08 | 2025-08-08 |
| Time Elapsed | 25 years, 7 months | 25 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $515,002.85 | $1,013,648.16 |
| CAGR % | 6.61% | 9.47% |
| Max % Drawdown | (14.90%) | (21.03%) |
| Standard Deviation | 1.96% | 3.58% |
| Annualized Sharpe | 0.54 | 0.55 |
| MAR Ratio | 0.44 | 0.45 |
| Win Rate % | 48.2% | 57.9% |
| Avg Win / Loss Ratio | 3.44 | 3.73 |
| Expectancy | $1.14 | $1.74 |
| Avg Win % | 4.18% | 27.89% |
| Avg Loss % | (0.93%) | (3.92%) |
| Longest Drawdown Duration | 30.5 months | 42.3 months |
| Avg Trades Per Year | 4.30 | 0.74 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $515,002.85 | $1,013,648.16 |
| Open Equity | $25,710.96 | $0.00 |
| Gross Profit | $518,557.13 | $1,044,934.50 |
| Gross Loss | ($162,060.66) | ($203,958.92) |
| Net Profit | $356,496.47 | $840,975.58 |
| Net Long Profit | $356,496.47 | $840,975.58 |
| 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 | $32,795.42 | $72,672.58 |
| 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 | 1,990.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.45 |
| Calmar Ratio | 0.61 | 0.45 |
| Modified Sharpe Ratio | 0.98 | 0.79 |
| Robust Sharpe Ratio | 0.88 | 0.74 |
| R-Squared | 0.9411 | 0.9161 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.61% | 9.47% |
| RAR | 5.96% | 9.22% |
| Profit Factor | 3.20 | 5.12 |
| Percent Profit Factor | 4.20 | 9.78 |
| Expectancy | $1.14 | $1.74 |
| Percentage Expectancy | 0.08 | 0.15 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.90%) | (21.03%) |
| Longest Drawdown Duration | 30.5 months | 42.3 months |
| Max Monthly % Drawdown | (10.84%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (10.73%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.2 months | 29.7 months |
| Avg of All % Drawdowns | (1.37%) | (6.65%) |
| Std Dev of All % Drawdowns | 2.11% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.54%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (8.54%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (2.66%) | (5.45%) |
| Closed-Equity Std Dev of All % Drawdown | 2.61% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 48.2% | 57.9% |
| Lose Rate % | 51.8% | 42.1% |
| Winning Trades | 53 | 11 |
| Losing Trades | 57 | 8 |
| Total Trades | 110 | 19 |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 8 | 4 |
| Avg Trade Duration | 283.9 days | 350.4 days |
| Avg Winning Trade Duration | 504.0 days | 541.9 days |
| Avg Losing Trade Duration | 79.2 days | 87.1 days |
| Largest Winning Trade | $61,124.70 | $216,040.20 |
| Largest Losing Trade | ($9,079.40) | ($55,980.54) |
| Largest Win as % of Net Profit | 17.15% | 25.69% |
| Avg Win | $9,784.10 | $94,994.05 |
| Avg Loss | ($2,843.17) | ($25,494.86) |
| Avg Win / Loss Ratio | 3.44 | 3.73 |
| Avg Trade | $3,240.88 | $44,261.87 |
| Avg Win % | 4.18% | 27.89% |
| Avg Loss % | (0.93%) | (3.92%) |
| Avg Trade % | 1.53% | 14.49% |
| Avg Risk % | (18.09%) | (99.50%) |
| Avg Trades Per Year | 4.30 | 0.74 |
| Avg Trades Per Month | 0.36 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.9% | 74.7% |
| Losing Months % | 34.1% | 25.3% |
| Winning Months | 203 | 230 |
| Losing Months | 105 | 78 |
| Total Months | 308 | 308 |
| Max Consecutive Winning Months | 11 | 18 |
| Max Consecutive Losing Months | 4 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 84.6% | 65.4% |
| Losing Years % | 15.4% | 34.6% |
| Winning Years | 22 | 17 |
| Losing Years | 4 | 9 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 67.3% | 69.9% |
| Rolling 6-Month Win Rate | 75.2% | 70.3% |
| Rolling 12-Month Win Rate | 78.8% | 74.4% |
| Rolling 3-Year Win Rate | 100.0% | 91.7% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 306 | 306 |
| Rolling 6-Month Periods | 303 | 303 |
| Rolling 12-Month Periods | 297 | 297 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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