| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-11-06 | 2026-11-06 |
| Time Elapsed | 26 years, 10 months | 26 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $638,294.77 | $112,953.47 |
| CAGR % | 7.15% | 0.45% |
| Max % Drawdown | (10.05%) | (42.03%) |
| Standard Deviation | 1.93% | 2.25% |
| Annualized Sharpe | 0.62 | (0.28) |
| MAR Ratio | 0.71 | 0.01 |
| Win Rate % | 52.4% | 79.2% |
| Avg Win / Loss Ratio | 3.20 | 0.32 |
| Expectancy | $1.20 | $0.05 |
| Avg Win % | 4.13% | 0.95% |
| Avg Loss % | (0.97%) | (2.82%) |
| Longest Drawdown Duration | 28.1 months | 278.8 months |
| Avg Trades Per Year | 3.91 | 3.95 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $638,294.77 | $112,953.47 |
| Open Equity | $105,051.33 | ($77.76) |
| Gross Profit | $556,693.27 | $72,717.27 |
| Gross Loss | ($157,994.17) | ($59,686.04) |
| Net Profit | $398,699.09 | $13,031.23 |
| Net Long Profit | $398,699.09 | $13,031.23 |
| 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 | $34,544.35 | $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 | 4,486.0 | 1,883.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.71 | 0.01 |
| Calmar Ratio | 0.78 | 0.01 |
| Modified Sharpe Ratio | 1.07 | 0.10 |
| Robust Sharpe Ratio | 0.95 | 0.06 |
| R-Squared | 0.9570 | 0.0967 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.15% | 0.45% |
| RAR | 6.33% | 0.43% |
| Profit Factor | 3.52 | 1.22 |
| Percent Profit Factor | 4.69 | 1.29 |
| Expectancy | $1.20 | $0.05 |
| 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%) | (9.48%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 60.4 months |
| Avg of All % Drawdowns | (1.03%) | (1.79%) |
| Std Dev of All % Drawdowns | 1.72% | 7.75% |
| 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 | (2.48%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 2.45% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 52.4% | 79.2% |
| Lose Rate % | 47.6% | 20.8% |
| Winning Trades | 55 | 84 |
| Losing Trades | 50 | 22 |
| Total Trades | 105 | 106 |
| Max Consecutive Wins | 9 | 16 |
| Max Consecutive Losses | 8 | 4 |
| Avg Trade Duration | 315.3 days | 135.3 days |
| Avg Winning Trade Duration | 523.9 days | 81.4 days |
| Avg Losing Trade Duration | 85.9 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 | 15.33% | 25.30% |
| Avg Win | $10,121.70 | $865.68 |
| Avg Loss | ($3,159.88) | ($2,713.00) |
| Avg Win / Loss Ratio | 3.20 | 0.32 |
| Avg Trade | $3,797.13 | $122.94 |
| Avg Win % | 4.13% | 0.95% |
| Avg Loss % | (0.97%) | (2.82%) |
| Avg Trade % | 1.70% | 0.17% |
| Avg Risk % | (4.10%) | (18.83%) |
| Avg Trades Per Year | 3.91 | 3.95 |
| Avg Trades Per Month | 0.33 | 0.33 |
| Avg Trades Per Day | 0.01 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.7% | 66.9% |
| Losing Months % | 31.3% | 33.1% |
| Winning Months | 222 | 216 |
| Losing Months | 101 | 107 |
| Total Months | 323 | 323 |
| Max Consecutive Winning Months | 12 | 23 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 63.0% |
| Losing Years % | 18.5% | 37.0% |
| Winning Years | 22 | 17 |
| Losing Years | 5 | 10 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 4 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.1% | 69.8% |
| Rolling 6-Month Win Rate | 75.8% | 71.1% |
| Rolling 12-Month Win Rate | 82.4% | 64.7% |
| Rolling 3-Year Win Rate | 100.0% | 72.0% |
| Rolling 5-Year Win Rate | 100.0% | 65.2% |
| Rolling 10-Year Win Rate | 100.0% | 50.0% |
| Rolling 3-Month Periods | 321 | 321 |
| Rolling 6-Month Periods | 318 | 318 |
| Rolling 12-Month Periods | 312 | 312 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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