| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-21 | 2025-04-21 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,059.59 | $407,914.09 |
| CAGR % | 6.70% | 5.72% |
| Max % Drawdown | (10.05%) | (35.30%) |
| Standard Deviation | 1.93% | 3.09% |
| Annualized Sharpe | 0.56 | 0.30 |
| MAR Ratio | 0.67 | 0.16 |
| Win Rate % | 52.5% | 79.2% |
| Avg Win / Loss Ratio | 3.18 | 1.21 |
| Expectancy | $1.20 | $0.75 |
| Avg Win % | 4.26% | 9.92% |
| Avg Loss % | (1.00%) | (8.86%) |
| Longest Drawdown Duration | 28.1 months | 37.4 months |
| Avg Trades Per Year | 3.91 | 0.95 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $516,059.59 | $407,914.09 |
| Open Equity | $7,455.22 | ($40,747.35) |
| Gross Profit | $529,274.92 | $393,024.35 |
| Gross Loss | ($150,311.49) | ($85,809.46) |
| Net Profit | $378,963.43 | $307,214.89 |
| Net Long Profit | $378,963.43 | $307,214.89 |
| 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 | $29,640.94 | $41,446.55 |
| 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 | 3,983.0 | 1,396.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.67 | 0.16 |
| Calmar Ratio | 0.74 | 0.19 |
| Modified Sharpe Ratio | 1.00 | 0.57 |
| Robust Sharpe Ratio | 0.95 | 0.63 |
| R-Squared | 0.9499 | 0.9604 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.70% | 5.72% |
| RAR | 6.35% | 6.75% |
| Profit Factor | 3.52 | 4.58 |
| Percent Profit Factor | 4.72 | 4.25 |
| Expectancy | $1.20 | $0.75 |
| Percentage Expectancy | 0.43 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (35.30%) |
| Longest Drawdown Duration | 28.1 months | 37.4 months |
| Max Monthly % Drawdown | (9.11%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 24.5 months |
| Avg of All % Drawdowns | (1.06%) | (1.70%) |
| Std Dev of All % Drawdowns | 1.78% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (2.74%) | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 52.5% | 79.2% |
| Lose Rate % | 47.5% | 20.8% |
| Winning Trades | 52 | 19 |
| Losing Trades | 47 | 5 |
| Total Trades | 99 | 24 |
| Max Consecutive Wins | 9 | 10 |
| Max Consecutive Losses | 8 | 2 |
| Avg Trade Duration | 316.9 days | 181.3 days |
| Avg Winning Trade Duration | 526.0 days | 181.3 days |
| Avg Losing Trade Duration | 85.5 days | 181.2 days |
| Largest Winning Trade | $61,124.70 | $78,378.06 |
| Largest Losing Trade | ($8,254.00) | ($34,858.81) |
| Largest Win as % of Net Profit | 16.13% | 25.51% |
| Avg Win | $10,178.36 | $20,685.49 |
| Avg Loss | ($3,198.12) | ($17,161.89) |
| Avg Win / Loss Ratio | 3.18 | 1.21 |
| Avg Trade | $3,827.91 | $12,800.62 |
| Avg Win % | 4.26% | 9.92% |
| Avg Loss % | (1.00%) | (8.86%) |
| Avg Trade % | 1.77% | 6.00% |
| Avg Risk % | (4.10%) | (99.06%) |
| Avg Trades Per Year | 3.91 | 0.95 |
| Avg Trades Per Month | 0.33 | 0.08 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.1% | 81.9% |
| Losing Months % | 31.9% | 18.1% |
| Winning Months | 207 | 249 |
| Losing Months | 97 | 55 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 12 | 23 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 76.9% |
| Losing Years % | 19.2% | 23.1% |
| Winning Years | 21 | 20 |
| Losing Years | 5 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 8 | 9 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.9% | 79.1% |
| Rolling 6-Month Win Rate | 74.6% | 73.9% |
| Rolling 12-Month Win Rate | 81.2% | 77.8% |
| Rolling 3-Year Win Rate | 100.0% | 91.7% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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