| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-01-02 | 2026-01-02 |
| Time Elapsed | 26 years | 26 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $564,831.39 | $799,380.13 |
| CAGR % | 6.89% | 8.32% |
| Max % Drawdown | (10.05%) | (24.14%) |
| Standard Deviation | 1.90% | 2.92% |
| Annualized Sharpe | 0.59 | 0.55 |
| MAR Ratio | 0.68 | 0.34 |
| Win Rate % | 51.5% | 61.1% |
| Avg Win / Loss Ratio | 3.18 | 2.67 |
| Expectancy | $1.15 | $1.24 |
| Avg Win % | 4.26% | 24.36% |
| Avg Loss % | (0.98%) | (6.20%) |
| Longest Drawdown Duration | 28.1 months | 32.9 months |
| Avg Trades Per Year | 3.88 | 0.69 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $564,831.39 | $799,380.13 |
| Open Equity | $59,649.72 | $116,231.96 |
| Gross Profit | $529,274.92 | $731,934.07 |
| Gross Loss | ($156,614.90) | ($174,306.09) |
| Net Profit | $372,660.02 | $557,627.98 |
| Net Long Profit | $372,660.02 | $557,627.98 |
| 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 | $32,521.65 | $25,520.19 |
| 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 | 4,022.0 | 1,390.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.68 | 0.34 |
| Calmar Ratio | 0.76 | 0.39 |
| Modified Sharpe Ratio | 1.04 | 0.84 |
| Robust Sharpe Ratio | 0.96 | 0.83 |
| R-Squared | 0.9528 | 0.9832 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.89% | 8.32% |
| RAR | 6.31% | 8.39% |
| Profit Factor | 3.38 | 4.20 |
| Percent Profit Factor | 4.60 | 6.17 |
| Expectancy | $1.15 | $1.24 |
| Percentage Expectancy | 0.42 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (10.05%) | (24.14%) |
| Longest Drawdown Duration | 28.1 months | 32.9 months |
| Max Monthly % Drawdown | (9.11%) | (21.48%) |
| Avg of Top-5 Max % Drawdowns | (9.49%) | (18.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.8 months | 27.6 months |
| Avg of All % Drawdowns | (1.05%) | (1.68%) |
| Std Dev of All % Drawdowns | 1.77% | 2.99% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (8.74%) | (12.79%) |
| Closed-Equity Max Monthly % Drawdown | (8.74%) | (12.52%) |
| Closed-Equity Avg of All % Drawdown | (2.77%) | (8.30%) |
| Closed-Equity Std Dev of All % Drawdown | 2.50% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 51.5% | 61.1% |
| Lose Rate % | 48.5% | 38.9% |
| Winning Trades | 52 | 11 |
| Losing Trades | 49 | 7 |
| Total Trades | 101 | 18 |
| Max Consecutive Wins | 9 | 3 |
| Max Consecutive Losses | 8 | 2 |
| Avg Trade Duration | 312.4 days | 379.2 days |
| Avg Winning Trade Duration | 526.0 days | 589.6 days |
| Avg Losing Trade Duration | 85.8 days | 48.4 days |
| Largest Winning Trade | $61,124.70 | $188,616.32 |
| Largest Losing Trade | ($8,254.00) | ($52,117.18) |
| Largest Win as % of Net Profit | 16.40% | 33.82% |
| Avg Win | $10,178.36 | $66,539.46 |
| Avg Loss | ($3,196.22) | ($24,900.87) |
| Avg Win / Loss Ratio | 3.18 | 2.67 |
| Avg Trade | $3,689.70 | $30,979.33 |
| Avg Win % | 4.26% | 24.36% |
| Avg Loss % | (0.98%) | (6.20%) |
| Avg Trade % | 1.72% | 12.48% |
| Avg Risk % | (4.11%) | (99.29%) |
| Avg Trades Per Year | 3.88 | 0.69 |
| Avg Trades Per Month | 0.32 | 0.06 |
| Avg Trades Per Day | 0.01 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.0% | 75.7% |
| Losing Months % | 31.0% | 24.3% |
| Winning Months | 216 | 237 |
| Losing Months | 97 | 76 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 12 | 21 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 77.8% |
| Losing Years % | 18.5% | 22.2% |
| Winning Years | 22 | 21 |
| Losing Years | 5 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 8 | 7 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.5% | 75.2% |
| Rolling 6-Month Win Rate | 75.0% | 76.0% |
| Rolling 12-Month Win Rate | 81.8% | 75.2% |
| 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 | 311 | 311 |
| Rolling 6-Month Periods | 308 | 308 |
| Rolling 12-Month Periods | 302 | 302 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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