| 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 | $304,682.17 |
| CAGR % | 6.79% | 4.56% |
| Max % Drawdown | (10.05%) | (14.87%) |
| Standard Deviation | 1.93% | 1.43% |
| Annualized Sharpe | 0.57 | 0.33 |
| MAR Ratio | 0.68 | 0.31 |
| Win Rate % | 51.5% | 68.8% |
| Avg Win / Loss Ratio | 3.11 | 2.10 |
| Expectancy | $1.12 | $1.13 |
| Avg Win % | 4.30% | 11.80% |
| Avg Loss % | (1.00%) | (3.22%) |
| Longest Drawdown Duration | 28.1 months | 47.0 months |
| Avg Trades Per Year | 3.88 | 0.64 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,674.66 | $304,682.17 |
| Open Equity | $41,363.33 | $13,739.25 |
| Gross Profit | $496,765.06 | $221,289.47 |
| Gross Loss | ($150,311.49) | ($47,865.59) |
| Net Profit | $346,453.57 | $173,423.88 |
| Net Long Profit | $346,453.57 | $173,423.88 |
| 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 | $17,519.04 |
| 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 | 3,965.0 | 12,205.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.31 |
| Calmar Ratio | 0.75 | 0.33 |
| Modified Sharpe Ratio | 1.01 | 0.92 |
| Robust Sharpe Ratio | 0.95 | 1.01 |
| R-Squared | 0.9488 | 0.9406 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.79% | 4.56% |
| RAR | 6.37% | 5.03% |
| Profit Factor | 3.30 | 4.62 |
| Percent Profit Factor | 4.57 | 8.05 |
| Expectancy | $1.12 | $1.13 |
| Percentage Expectancy | 0.42 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (14.87%) |
| Longest Drawdown Duration | 28.1 months | 47.0 months |
| Max Monthly % Drawdown | (9.11%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 23.1 months |
| Avg of All % Drawdowns | (1.05%) | (0.88%) |
| Std Dev of All % Drawdowns | 1.78% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (2.74%) | (6.18%) |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 0.47% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.5% | 68.8% |
| Lose Rate % | 48.5% | 31.2% |
| Winning Trades | 50 | 11 |
| Losing Trades | 47 | 5 |
| Total Trades | 97 | 16 |
| Max Consecutive Wins | 9 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 315.3 days | 417.7 days |
| Avg Winning Trade Duration | 531.3 days | 555.5 days |
| Avg Losing Trade Duration | 85.5 days | 114.6 days |
| Largest Winning Trade | $61,124.70 | $85,604.87 |
| Largest Losing Trade | ($8,254.00) | ($15,771.66) |
| Largest Win as % of Net Profit | 17.64% | 49.36% |
| Avg Win | $9,935.30 | $20,117.22 |
| Avg Loss | ($3,198.12) | ($9,573.12) |
| Avg Win / Loss Ratio | 3.11 | 2.10 |
| Avg Trade | $3,571.69 | $10,838.99 |
| Avg Win % | 4.30% | 11.80% |
| Avg Loss % | (1.00%) | (3.22%) |
| Avg Trade % | 1.73% | 7.10% |
| Avg Risk % | (4.10%) | (99.94%) |
| Avg Trades Per Year | 3.88 | 0.64 |
| Avg Trades Per Month | 0.32 | 0.05 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.4% | 69.1% |
| Losing Months % | 31.6% | 30.9% |
| Winning Months | 206 | 208 |
| Losing Months | 95 | 93 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 69.2% |
| Losing Years % | 19.2% | 30.8% |
| Winning Years | 21 | 18 |
| Losing Years | 5 | 8 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.9% | 69.6% |
| Rolling 6-Month Win Rate | 74.7% | 70.3% |
| Rolling 12-Month Win Rate | 81.0% | 74.8% |
| Rolling 3-Year Win Rate | 100.0% | 87.5% |
| Rolling 5-Year Win Rate | 100.0% | 90.9% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| 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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