| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,674.66 | $107,044.12 |
| CAGR % | 6.79% | 0.27% |
| Max % Drawdown | (10.05%) | (42.03%) |
| Standard Deviation | 1.93% | 2.32% |
| Annualized Sharpe | 0.57 | (0.29) |
| MAR Ratio | 0.68 | 0.01 |
| Win Rate % | 51.5% | 77.6% |
| Avg Win / Loss Ratio | 3.11 | 0.33 |
| Expectancy | $1.12 | $0.03 |
| Avg Win % | 4.30% | 0.98% |
| Avg Loss % | (1.00%) | (2.82%) |
| Longest Drawdown Duration | 28.1 months | 278.8 months |
| Avg Trades Per Year | 3.88 | 3.92 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,674.66 | $107,044.12 |
| Open Equity | $41,363.33 | ($311.43) |
| Gross Profit | $496,765.06 | $67,041.59 |
| Gross Loss | ($150,311.49) | ($59,686.04) |
| Net Profit | $346,453.57 | $7,355.56 |
| Net Long Profit | $346,453.57 | $7,355.56 |
| 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 | $28,857.75 | $0.00 |
| 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 | 3,965.0 | 1,820.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.01 |
| Calmar Ratio | 0.75 | 0.01 |
| Modified Sharpe Ratio | 1.01 | 0.08 |
| Robust Sharpe Ratio | 0.95 | 0.03 |
| R-Squared | 0.9488 | 0.0226 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.79% | 0.27% |
| RAR | 6.37% | 0.21% |
| Profit Factor | 3.30 | 1.12 |
| Percent Profit Factor | 4.57 | 1.21 |
| Expectancy | $1.12 | $0.03 |
| Percentage Expectancy | 0.42 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (42.03%) |
| Longest Drawdown Duration | 28.1 months | 278.8 months |
| Max Monthly % Drawdown | (9.11%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (9.14%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 57.7 months |
| Avg of All % Drawdowns | (1.05%) | (2.74%) |
| Std Dev of All % Drawdowns | 1.78% | 10.13% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (2.74%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.5% | 77.6% |
| Lose Rate % | 48.5% | 22.4% |
| Winning Trades | 50 | 76 |
| Losing Trades | 47 | 22 |
| Total Trades | 97 | 98 |
| Max Consecutive Wins | 9 | 13 |
| Max Consecutive Losses | 8 | 4 |
| Avg Trade Duration | 315.3 days | 141.7 days |
| Avg Winning Trade Duration | 531.3 days | 83.9 days |
| Avg Losing Trade Duration | 85.5 days | 341.3 days |
| Largest Winning Trade | $61,124.70 | $3,296.90 |
| Largest Losing Trade | ($8,254.00) | ($7,363.83) |
| Largest Win as % of Net Profit | 17.64% | 44.82% |
| Avg Win | $9,935.30 | $882.13 |
| Avg Loss | ($3,198.12) | ($2,713.00) |
| Avg Win / Loss Ratio | 3.11 | 0.33 |
| Avg Trade | $3,571.69 | $75.06 |
| Avg Win % | 4.30% | 0.98% |
| Avg Loss % | (1.00%) | (2.82%) |
| Avg Trade % | 1.73% | 0.13% |
| Avg Risk % | (4.10%) | (18.98%) |
| Avg Trades Per Year | 3.88 | 3.92 |
| Avg Trades Per Month | 0.32 | 0.33 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.4% | 65.4% |
| Losing Months % | 31.6% | 34.6% |
| Winning Months | 206 | 197 |
| Losing Months | 95 | 104 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 12 | 23 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 57.7% |
| Losing Years % | 19.2% | 42.3% |
| Winning Years | 21 | 15 |
| Losing Years | 5 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 4 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.9% | 68.2% |
| Rolling 6-Month Win Rate | 74.7% | 68.9% |
| Rolling 12-Month Win Rate | 81.0% | 62.1% |
| Rolling 3-Year Win Rate | 100.0% | 70.8% |
| Rolling 5-Year Win Rate | 100.0% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 47.1% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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