| 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 | $366,083.00 |
| CAGR % | 6.82% | 5.36% |
| Max % Drawdown | (10.05%) | (28.57%) |
| Standard Deviation | 1.93% | 3.08% |
| Annualized Sharpe | 0.58 | 0.27 |
| MAR Ratio | 0.68 | 0.19 |
| Win Rate % | 51.0% | 38.9% |
| Avg Win / Loss Ratio | 3.10 | 4.44 |
| Expectancy | $1.09 | $1.11 |
| Avg Win % | 4.34% | 33.57% |
| Avg Loss % | (1.00%) | (5.29%) |
| Longest Drawdown Duration | 28.1 months | 48.9 months |
| Avg Trades Per Year | 3.86 | 0.72 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,348.72 | $366,083.00 |
| Open Equity | $53,240.14 | $32,916.35 |
| Gross Profit | $485,445.70 | $330,750.35 |
| Gross Loss | ($150,311.49) | ($117,116.58) |
| Net Profit | $335,134.22 | $213,633.77 |
| Net Long Profit | $335,134.22 | $213,633.77 |
| 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 | $19,533.88 |
| 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 | 637.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.19 |
| Calmar Ratio | 0.75 | 0.20 |
| Modified Sharpe Ratio | 1.02 | 0.54 |
| Robust Sharpe Ratio | 0.95 | 0.49 |
| R-Squared | 0.9483 | 0.8231 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.82% | 5.36% |
| RAR | 6.38% | 5.22% |
| Profit Factor | 3.23 | 2.82 |
| Percent Profit Factor | 4.52 | 4.04 |
| Expectancy | $1.09 | $1.11 |
| Percentage Expectancy | 0.42 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (28.57%) |
| Longest Drawdown Duration | 28.1 months | 48.9 months |
| Max Monthly % Drawdown | (9.11%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 37.9 months |
| Avg of All % Drawdowns | (1.05%) | (2.77%) |
| Std Dev of All % Drawdowns | 1.79% | 4.67% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (2.91%) | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 2.60% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.0% | 38.9% |
| Lose Rate % | 49.0% | 61.1% |
| Winning Trades | 49 | 7 |
| Losing Trades | 47 | 11 |
| Total Trades | 96 | 18 |
| Max Consecutive Wins | 9 | 3 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 314.8 days | 311.1 days |
| Avg Winning Trade Duration | 534.7 days | 642.9 days |
| Avg Losing Trade Duration | 85.5 days | 99.9 days |
| Largest Winning Trade | $61,124.70 | $126,225.36 |
| Largest Losing Trade | ($8,254.00) | ($32,828.35) |
| Largest Win as % of Net Profit | 18.24% | 59.08% |
| Avg Win | $9,907.06 | $47,250.05 |
| Avg Loss | ($3,198.12) | ($10,646.96) |
| Avg Win / Loss Ratio | 3.10 | 4.44 |
| Avg Trade | $3,490.98 | $11,868.54 |
| Avg Win % | 4.34% | 33.57% |
| Avg Loss % | (1.00%) | (5.29%) |
| Avg Trade % | 1.72% | 9.82% |
| Avg Risk % | (4.10%) | (98.28%) |
| Avg Trades Per Year | 3.86 | 0.72 |
| Avg Trades Per Month | 0.32 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.6% | 71.9% |
| Losing Months % | 31.4% | 28.1% |
| Winning Months | 205 | 215 |
| Losing Months | 94 | 84 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 12 | 22 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.0% | 56.0% |
| Losing Years % | 20.0% | 44.0% |
| Winning Years | 20 | 14 |
| Losing Years | 5 | 11 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 8 | 5 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.7% | 69.0% |
| Rolling 6-Month Win Rate | 74.5% | 65.0% |
| Rolling 12-Month Win Rate | 80.9% | 62.2% |
| Rolling 3-Year Win Rate | 100.0% | 87.0% |
| Rolling 5-Year Win Rate | 100.0% | 81.0% |
| 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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