| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-11-21 | 2025-11-21 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $552,503.47 | $528,038.73 |
| CAGR % | 6.83% | 6.64% |
| Max % Drawdown | (10.05%) | (14.90%) |
| Standard Deviation | 1.91% | 1.95% |
| Annualized Sharpe | 0.58 | 0.55 |
| MAR Ratio | 0.68 | 0.45 |
| Win Rate % | 51.5% | 48.2% |
| Avg Win / Loss Ratio | 3.18 | 3.44 |
| Expectancy | $1.15 | $1.14 |
| Avg Win % | 4.26% | 4.18% |
| Avg Loss % | (0.98%) | (0.93%) |
| Longest Drawdown Duration | 28.1 months | 30.5 months |
| Avg Trades Per Year | 3.90 | 4.25 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $552,503.47 | $528,038.73 |
| Open Equity | $47,426.15 | $38,433.22 |
| Gross Profit | $529,274.92 | $518,557.13 |
| Gross Loss | ($156,614.90) | ($162,060.66) |
| Net Profit | $372,660.02 | $356,496.47 |
| Net Long Profit | $372,660.02 | $356,496.47 |
| 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 | $32,417.30 | $33,109.04 |
| 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 | 4,022.0 | 1,169.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.45 |
| Calmar Ratio | 0.75 | 0.61 |
| Modified Sharpe Ratio | 1.03 | 0.99 |
| Robust Sharpe Ratio | 0.95 | 0.88 |
| R-Squared | 0.9522 | 0.9427 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.83% | 6.64% |
| RAR | 6.31% | 5.95% |
| Profit Factor | 3.38 | 3.20 |
| Percent Profit Factor | 4.60 | 4.20 |
| Expectancy | $1.15 | $1.14 |
| Percentage Expectancy | 0.42 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (14.90%) |
| Longest Drawdown Duration | 28.1 months | 30.5 months |
| Max Monthly % Drawdown | (9.11%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 24.2 months |
| Avg of All % Drawdowns | (1.04%) | (1.32%) |
| Std Dev of All % Drawdowns | 1.77% | 2.07% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (2.77%) | (2.66%) |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.5% | 48.2% |
| Lose Rate % | 48.5% | 51.8% |
| Winning Trades | 52 | 53 |
| Losing Trades | 49 | 57 |
| Total Trades | 101 | 110 |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 8 | 8 |
| Avg Trade Duration | 312.4 days | 283.9 days |
| Avg Winning Trade Duration | 526.0 days | 504.0 days |
| Avg Losing Trade Duration | 85.8 days | 79.2 days |
| Largest Winning Trade | $61,124.70 | $61,124.70 |
| Largest Losing Trade | ($8,254.00) | ($9,079.40) |
| Largest Win as % of Net Profit | 16.40% | 17.15% |
| Avg Win | $10,178.36 | $9,784.10 |
| Avg Loss | ($3,196.22) | ($2,843.17) |
| Avg Win / Loss Ratio | 3.18 | 3.44 |
| Avg Trade | $3,689.70 | $3,240.88 |
| Avg Win % | 4.26% | 4.18% |
| Avg Loss % | (0.98%) | (0.93%) |
| Avg Trade % | 1.72% | 1.53% |
| Avg Risk % | (4.11%) | (18.09%) |
| Avg Trades Per Year | 3.90 | 4.25 |
| Avg Trades Per Month | 0.33 | 0.35 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.5% | 65.9% |
| Losing Months % | 31.5% | 34.1% |
| Winning Months | 213 | 205 |
| Losing Months | 98 | 106 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 12 | 11 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 84.6% |
| Losing Years % | 19.2% | 15.4% |
| Winning Years | 21 | 22 |
| Losing Years | 5 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 8 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.3% | 67.6% |
| Rolling 6-Month Win Rate | 74.8% | 75.5% |
| Rolling 12-Month Win Rate | 81.7% | 79.0% |
| 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 | 309 | 309 |
| Rolling 6-Month Periods | 306 | 306 |
| Rolling 12-Month Periods | 300 | 300 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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