| 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 | $106,485.88 | $680,175.33 |
| CAGR % | 0.25% | 7.87% |
| Max % Drawdown | (42.03%) | (24.14%) |
| Standard Deviation | 2.31% | 2.94% |
| Annualized Sharpe | (0.30) | 0.51 |
| MAR Ratio | 0.01 | 0.33 |
| Win Rate % | 77.8% | 61.1% |
| Avg Win / Loss Ratio | 0.32 | 2.67 |
| Expectancy | $0.03 | $1.24 |
| Avg Win % | 0.97% | 24.36% |
| Avg Loss % | (2.82%) | (6.20%) |
| Longest Drawdown Duration | 278.8 months | 32.9 months |
| Avg Trades Per Year | 3.91 | 0.71 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $106,485.88 | $680,175.33 |
| Open Equity | ($959.99) | $0.00 |
| Gross Profit | $67,131.91 | $731,934.07 |
| Gross Loss | ($59,686.04) | ($174,306.09) |
| Net Profit | $7,445.87 | $557,627.98 |
| Net Long Profit | $7,445.87 | $557,627.98 |
| 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 | $0.00 | $22,547.34 |
| 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 | 1,821.0 | 1,390.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.01 | 0.33 |
| Calmar Ratio | 0.01 | 0.37 |
| Modified Sharpe Ratio | 0.07 | 0.80 |
| Robust Sharpe Ratio | 0.03 | 0.82 |
| R-Squared | 0.0311 | 0.9819 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.25% | 7.87% |
| RAR | 0.25% | 8.36% |
| Profit Factor | 1.12 | 4.20 |
| Percent Profit Factor | 1.21 | 6.17 |
| Expectancy | $0.03 | $1.24 |
| Percentage Expectancy | 0.01 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (24.14%) |
| Longest Drawdown Duration | 278.8 months | 32.9 months |
| Max Monthly % Drawdown | (40.26%) | (21.48%) |
| Avg of Top-5 Max % Drawdowns | (9.17%) | (18.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 58.4 months | 27.6 months |
| Avg of All % Drawdowns | (2.74%) | (1.66%) |
| Std Dev of All % Drawdowns | 10.13% | 3.00% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | (12.79%) |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | (12.52%) |
| Closed-Equity Avg of All % Drawdown | (17.44%) | (8.30%) |
| Closed-Equity Std Dev of All % Drawdown | 17.18% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 77.8% | 61.1% |
| Lose Rate % | 22.2% | 38.9% |
| Winning Trades | 77 | 11 |
| Losing Trades | 22 | 7 |
| Total Trades | 99 | 18 |
| Max Consecutive Wins | 13 | 3 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 140.9 days | 379.2 days |
| Avg Winning Trade Duration | 83.6 days | 589.6 days |
| Avg Losing Trade Duration | 341.3 days | 48.4 days |
| Largest Winning Trade | $3,296.90 | $188,616.32 |
| Largest Losing Trade | ($7,363.83) | ($52,117.18) |
| Largest Win as % of Net Profit | 44.28% | 33.82% |
| Avg Win | $871.84 | $66,539.46 |
| Avg Loss | ($2,713.00) | ($24,900.87) |
| Avg Win / Loss Ratio | 0.32 | 2.67 |
| Avg Trade | $75.21 | $30,979.33 |
| Avg Win % | 0.97% | 24.36% |
| Avg Loss % | (2.82%) | (6.20%) |
| Avg Trade % | 0.13% | 12.48% |
| Avg Risk % | (18.90%) | (99.29%) |
| Avg Trades Per Year | 3.91 | 0.71 |
| Avg Trades Per Month | 0.33 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.5% | 74.7% |
| Losing Months % | 34.5% | 25.3% |
| Winning Months | 199 | 227 |
| Losing Months | 105 | 77 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 23 | 21 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 57.7% | 73.1% |
| Losing Years % | 42.3% | 26.9% |
| Winning Years | 15 | 19 |
| Losing Years | 11 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.2% | 74.8% |
| Rolling 6-Month Win Rate | 68.9% | 75.6% |
| Rolling 12-Month Win Rate | 62.5% | 74.4% |
| Rolling 3-Year Win Rate | 70.8% | 100.0% |
| Rolling 5-Year Win Rate | 63.6% | 100.0% |
| Rolling 10-Year Win Rate | 47.1% | 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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