| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-09-18 | 2026-09-18 |
| Time Elapsed | 26 years, 8 months | 26 years, 8 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $661,381.14 | $629,320.73 |
| CAGR % | 7.33% | 7.13% |
| Max % Drawdown | (10.05%) | (14.90%) |
| Standard Deviation | 1.93% | 1.96% |
| Annualized Sharpe | 0.65 | 0.61 |
| MAR Ratio | 0.73 | 0.48 |
| Win Rate % | 51.9% | 48.7% |
| Avg Win / Loss Ratio | 3.23 | 3.44 |
| Expectancy | $1.20 | $1.16 |
| Avg Win % | 4.19% | 4.08% |
| Avg Loss % | (0.97%) | (0.91%) |
| Longest Drawdown Duration | 28.1 months | 30.5 months |
| Avg Trades Per Year | 3.89 | 4.23 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $661,381.14 | $629,320.73 |
| Open Equity | $134,097.22 | $125,211.65 |
| Gross Profit | $551,618.40 | $533,054.19 |
| Gross Loss | ($157,994.17) | ($163,263.84) |
| Net Profit | $393,624.22 | $369,790.34 |
| Net Long Profit | $393,624.22 | $369,790.34 |
| 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 | $33,659.69 | $34,318.74 |
| 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 | 4,476.0 | 1,195.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.73 | 0.48 |
| Calmar Ratio | 0.80 | 0.66 |
| Modified Sharpe Ratio | 1.09 | 1.05 |
| Robust Sharpe Ratio | 0.95 | 0.88 |
| R-Squared | 0.9563 | 0.9477 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.33% | 7.13% |
| RAR | 6.33% | 5.98% |
| Profit Factor | 3.49 | 3.26 |
| Percent Profit Factor | 4.67 | 4.23 |
| Expectancy | $1.20 | $1.16 |
| 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 | (1.03%) | (1.28%) |
| Std Dev of All % Drawdowns | 1.72% | 2.01% |
| 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 | (2.62%) | (2.51%) |
| Closed-Equity Std Dev of All % Drawdown | 2.46% | 2.57% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.9% | 48.7% |
| Lose Rate % | 48.1% | 51.3% |
| Winning Trades | 54 | 55 |
| Losing Trades | 50 | 58 |
| Total Trades | 104 | 113 |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 8 | 8 |
| Avg Trade Duration | 315.4 days | 283.3 days |
| Avg Winning Trade Duration | 527.9 days | 499.5 days |
| Avg Losing Trade Duration | 85.9 days | 78.4 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 | 15.53% | 16.53% |
| Avg Win | $10,215.16 | $9,691.89 |
| Avg Loss | ($3,159.88) | ($2,814.89) |
| Avg Win / Loss Ratio | 3.23 | 3.44 |
| Avg Trade | $3,784.85 | $3,272.48 |
| Avg Win % | 4.19% | 4.08% |
| Avg Loss % | (0.97%) | (0.91%) |
| Avg Trade % | 1.71% | 1.52% |
| Avg Risk % | (4.10%) | (18.12%) |
| Avg Trades Per Year | 3.89 | 4.23 |
| Avg Trades Per Month | 0.32 | 0.35 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.2% | 66.7% |
| Losing Months % | 30.8% | 33.3% |
| Winning Months | 222 | 214 |
| Losing Months | 99 | 107 |
| Total Months | 321 | 321 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 85.2% |
| Losing Years % | 18.5% | 14.8% |
| Winning Years | 22 | 23 |
| Losing Years | 5 | 4 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 8 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.2% | 68.7% |
| Rolling 6-Month Win Rate | 75.6% | 76.3% |
| Rolling 12-Month Win Rate | 82.3% | 79.7% |
| 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 | 319 | 319 |
| Rolling 6-Month Periods | 316 | 316 |
| Rolling 12-Month Periods | 310 | 310 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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