| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-08 | 2026-05-08 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $635,324.12 | $328,297.92 |
| CAGR % | 7.27% | 4.62% |
| Max % Drawdown | (10.05%) | (14.87%) |
| Standard Deviation | 1.92% | 1.42% |
| Annualized Sharpe | 0.64 | 0.34 |
| MAR Ratio | 0.72 | 0.31 |
| Win Rate % | 52.4% | 70.6% |
| Avg Win / Loss Ratio | 3.20 | 2.23 |
| Expectancy | $1.20 | $1.28 |
| Avg Win % | 4.19% | 11.82% |
| Avg Loss % | (0.98%) | (3.22%) |
| Longest Drawdown Duration | 28.1 months | 64.1 months |
| Avg Trades Per Year | 3.91 | 0.65 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $635,324.12 | $328,297.92 |
| Open Equity | $107,208.99 | $1,360.95 |
| Gross Profit | $551,618.40 | $256,446.76 |
| Gross Loss | ($156,614.90) | ($47,865.59) |
| Net Profit | $395,003.50 | $208,581.17 |
| Net Long Profit | $395,003.50 | $208,581.17 |
| 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 | $33,111.62 | $18,355.80 |
| 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 | 4,250.0 | 12,905.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.72 | 0.31 |
| Calmar Ratio | 0.80 | 0.34 |
| Modified Sharpe Ratio | 1.09 | 0.94 |
| Robust Sharpe Ratio | 0.95 | 0.97 |
| R-Squared | 0.9545 | 0.9313 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.27% | 4.62% |
| RAR | 6.31% | 4.78% |
| Profit Factor | 3.52 | 5.36 |
| Percent Profit Factor | 4.69 | 8.80 |
| Expectancy | $1.20 | $1.28 |
| Percentage Expectancy | 0.42 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (14.87%) |
| Longest Drawdown Duration | 28.1 months | 64.1 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 | 26.3 months |
| Avg of All % Drawdowns | (1.03%) | (0.88%) |
| Std Dev of All % Drawdowns | 1.73% | 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 | (2.62%) | (4.52%) |
| Closed-Equity Std Dev of All % Drawdown | 2.46% | 5.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 52.4% | 70.6% |
| Lose Rate % | 47.6% | 29.4% |
| Winning Trades | 54 | 12 |
| Losing Trades | 49 | 5 |
| Total Trades | 103 | 17 |
| Max Consecutive Wins | 9 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Avg Trade Duration | 317.6 days | 443.2 days |
| Avg Winning Trade Duration | 527.9 days | 580.2 days |
| Avg Losing Trade Duration | 85.8 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 | 15.47% | 41.04% |
| Avg Win | $10,215.16 | $21,370.56 |
| Avg Loss | ($3,196.22) | ($9,573.12) |
| Avg Win / Loss Ratio | 3.20 | 2.23 |
| Avg Trade | $3,834.99 | $12,269.48 |
| Avg Win % | 4.19% | 11.82% |
| Avg Loss % | (0.98%) | (3.22%) |
| Avg Trade % | 1.73% | 7.40% |
| Avg Risk % | (4.10%) | (99.95%) |
| Avg Trades Per Year | 3.91 | 0.65 |
| Avg Trades Per Month | 0.33 | 0.05 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.1% | 69.4% |
| Losing Months % | 30.9% | 30.6% |
| Winning Months | 219 | 220 |
| Losing Months | 98 | 97 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 74.1% |
| Losing Years % | 18.5% | 25.9% |
| Winning Years | 22 | 20 |
| Losing Years | 5 | 7 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.8% | 69.8% |
| Rolling 6-Month Win Rate | 75.3% | 70.5% |
| Rolling 12-Month Win Rate | 82.0% | 76.1% |
| Rolling 3-Year Win Rate | 100.0% | 92.0% |
| Rolling 5-Year Win Rate | 100.0% | 91.3% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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