| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-08-15 | 2025-08-15 |
| Time Elapsed | 25 years, 7 months | 25 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,285.04 | $448,874.92 |
| CAGR % | 0.35% | 6.04% |
| Max % Drawdown | (42.03%) | (35.30%) |
| Standard Deviation | 2.30% | 3.03% |
| Annualized Sharpe | (0.29) | 0.33 |
| MAR Ratio | 0.01 | 0.17 |
| Win Rate % | 78.2% | 76.0% |
| Avg Win / Loss Ratio | 0.32 | 1.37 |
| Expectancy | $0.04 | $0.80 |
| Avg Win % | 0.97% | 9.92% |
| Avg Loss % | (2.82%) | (7.55%) |
| Longest Drawdown Duration | 278.8 months | 37.4 months |
| Avg Trades Per Year | 3.94 | 0.98 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $109,285.04 | $448,874.92 |
| Open Equity | ($392.32) | $0.00 |
| Gross Profit | $69,363.40 | $393,024.35 |
| Gross Loss | ($59,686.04) | ($90,465.16) |
| Net Profit | $9,677.36 | $302,559.19 |
| Net Long Profit | $9,677.36 | $302,559.19 |
| 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 | $46,315.73 |
| 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 | 1,829.0 | 1,431.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.01 | 0.17 |
| Calmar Ratio | 0.01 | 0.20 |
| Modified Sharpe Ratio | 0.08 | 0.61 |
| Robust Sharpe Ratio | 0.04 | 0.65 |
| R-Squared | 0.0424 | 0.9619 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 0.35% | 6.04% |
| RAR | 0.29% | 6.77% |
| Profit Factor | 1.16 | 4.34 |
| Percent Profit Factor | 1.24 | 4.16 |
| Expectancy | $0.04 | $0.80 |
| Percentage Expectancy | 0.01 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (42.03%) | (35.30%) |
| Longest Drawdown Duration | 278.8 months | 37.4 months |
| Max Monthly % Drawdown | (40.26%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (9.44%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 58.7 months | 24.5 months |
| Avg of All % Drawdowns | (2.13%) | (1.70%) |
| Std Dev of All % Drawdowns | 8.71% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.59%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (29.59%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (17.44%) | (8.82%) |
| Closed-Equity Std Dev of All % Drawdown | 17.18% | 6.04% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 78.2% | 76.0% |
| Lose Rate % | 21.8% | 24.0% |
| Winning Trades | 79 | 19 |
| Losing Trades | 22 | 6 |
| Total Trades | 101 | 25 |
| Max Consecutive Wins | 13 | 10 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 139.3 days | 181.3 days |
| Avg Winning Trade Duration | 83.1 days | 181.3 days |
| Avg Losing Trade Duration | 341.3 days | 181.2 days |
| Largest Winning Trade | $3,296.90 | $78,378.06 |
| Largest Losing Trade | ($7,363.83) | ($34,858.81) |
| Largest Win as % of Net Profit | 34.07% | 25.91% |
| Avg Win | $878.02 | $20,685.49 |
| Avg Loss | ($2,713.00) | ($15,077.53) |
| Avg Win / Loss Ratio | 0.32 | 1.37 |
| Avg Trade | $95.82 | $12,102.37 |
| Avg Win % | 0.97% | 9.92% |
| Avg Loss % | (2.82%) | (7.55%) |
| Avg Trade % | 0.15% | 5.72% |
| Avg Risk % | (18.86%) | (99.01%) |
| Avg Trades Per Year | 3.94 | 0.98 |
| Avg Trades Per Month | 0.33 | 0.08 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 65.6% | 82.1% |
| Losing Months % | 34.4% | 17.9% |
| Winning Months | 202 | 253 |
| Losing Months | 106 | 55 |
| Total Months | 308 | 308 |
| Max Consecutive Winning Months | 23 | 23 |
| Max Consecutive Losing Months | 6 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 61.5% | 76.9% |
| Losing Years % | 38.5% | 23.1% |
| Winning Years | 16 | 20 |
| Losing Years | 10 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.6% | 79.1% |
| Rolling 6-Month Win Rate | 69.6% | 72.9% |
| Rolling 12-Month Win Rate | 63.0% | 78.5% |
| Rolling 3-Year Win Rate | 70.8% | 91.7% |
| Rolling 5-Year Win Rate | 63.6% | 100.0% |
| Rolling 10-Year Win Rate | 47.1% | 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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