| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-15 | 2024-11-15 |
| Time Elapsed | 24 years, 10 months | 24 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,348.72 | $961,593.54 |
| CAGR % | 6.82% | 9.53% |
| Max % Drawdown | (10.05%) | (33.73%) |
| Standard Deviation | 1.93% | 3.45% |
| Annualized Sharpe | 0.58 | 0.58 |
| MAR Ratio | 0.68 | 0.28 |
| Win Rate % | 51.0% | 54.8% |
| Avg Win / Loss Ratio | 3.10 | 2.64 |
| Expectancy | $1.09 | $0.00 |
| Avg Win % | 4.34% | 19.22% |
| Avg Loss % | (1.00%) | (3.99%) |
| Longest Drawdown Duration | 28.1 months | 36.7 months |
| Avg Trades Per Year | 3.86 | 1.25 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,348.72 | $961,593.54 |
| Open Equity | $53,240.14 | $222,197.58 |
| Gross Profit | $485,445.70 | $927,259.98 |
| Gross Loss | ($150,311.49) | ($288,990.67) |
| Net Profit | $335,134.22 | $638,269.31 |
| Net Long Profit | $335,134.22 | $638,269.31 |
| 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 | $27,974.37 | $1,126.66 |
| 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 | 3,956.0 | 9,127.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.28 |
| Calmar Ratio | 0.75 | 0.43 |
| Modified Sharpe Ratio | 1.02 | 0.82 |
| Robust Sharpe Ratio | 0.95 | 0.80 |
| R-Squared | 0.9483 | 0.9523 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.82% | 9.53% |
| RAR | 6.38% | 9.56% |
| Profit Factor | 3.23 | 3.21 |
| Percent Profit Factor | 4.52 | 5.84 |
| Expectancy | $1.09 | $0.00 |
| Percentage Expectancy | 0.42 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (33.73%) |
| Longest Drawdown Duration | 28.1 months | 36.7 months |
| Max Monthly % Drawdown | (9.11%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 24.0 months |
| Avg of All % Drawdowns | (1.05%) | (2.03%) |
| Std Dev of All % Drawdowns | 1.79% | 4.27% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (2.91%) | (9.46%) |
| Closed-Equity Std Dev of All % Drawdown | 2.60% | 4.54% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.0% | 54.8% |
| Lose Rate % | 49.0% | 45.2% |
| Winning Trades | 49 | 17 |
| Losing Trades | 47 | 14 |
| Total Trades | 96 | 31 |
| Max Consecutive Wins | 9 | 4 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 314.8 days | 280.8 days |
| Avg Winning Trade Duration | 534.7 days | 382.8 days |
| Avg Losing Trade Duration | 85.5 days | 156.9 days |
| Largest Winning Trade | $61,124.70 | $255,900.48 |
| Largest Losing Trade | ($8,254.00) | ($51,833.25) |
| Largest Win as % of Net Profit | 18.24% | 40.09% |
| Avg Win | $9,907.06 | $54,544.70 |
| Avg Loss | ($3,198.12) | ($20,642.19) |
| Avg Win / Loss Ratio | 3.10 | 2.64 |
| Avg Trade | $3,490.98 | $20,589.33 |
| Avg Win % | 4.34% | 19.22% |
| Avg Loss % | (1.00%) | (3.99%) |
| Avg Trade % | 1.72% | 8.73% |
| Avg Risk % | (4.10%) | (99.51%) |
| Avg Trades Per Year | 3.86 | 1.25 |
| Avg Trades Per Month | 0.32 | 0.10 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.6% | 65.9% |
| Losing Months % | 31.4% | 34.1% |
| Winning Months | 205 | 197 |
| Losing Months | 94 | 102 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 12 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.0% | 80.0% |
| Losing Years % | 20.0% | 20.0% |
| Winning Years | 20 | 20 |
| Losing Years | 5 | 5 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.7% | 69.7% |
| Rolling 6-Month Win Rate | 74.5% | 72.4% |
| Rolling 12-Month Win Rate | 80.9% | 76.0% |
| 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 | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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