| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-15 | 2024-11-15 |
| Time Elapsed | 24 years, 10 months | 24 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $306,700.83 | $961,593.54 |
| CAGR % | 4.61% | 9.53% |
| Max % Drawdown | (14.87%) | (33.73%) |
| Standard Deviation | 1.43% | 3.45% |
| Annualized Sharpe | 0.34 | 0.58 |
| MAR Ratio | 0.31 | 0.28 |
| Win Rate % | 68.8% | 54.8% |
| Avg Win / Loss Ratio | 2.10 | 2.64 |
| Expectancy | $1.13 | $0.00 |
| Avg Win % | 11.80% | 19.22% |
| Avg Loss % | (3.22%) | (3.99%) |
| Longest Drawdown Duration | 46.4 months | 36.7 months |
| Avg Trades Per Year | 0.64 | 1.25 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $306,700.83 | $961,593.54 |
| Open Equity | $15,758.54 | $222,197.58 |
| Gross Profit | $221,289.47 | $927,259.98 |
| Gross Loss | ($47,865.59) | ($288,990.67) |
| Net Profit | $173,423.88 | $638,269.31 |
| Net Long Profit | $173,423.88 | $638,269.31 |
| 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 | $17,518.41 | $1,126.66 |
| 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 | 12,205.0 | 9,127.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.28 |
| Calmar Ratio | 0.34 | 0.43 |
| Modified Sharpe Ratio | 0.94 | 0.82 |
| Robust Sharpe Ratio | 1.02 | 0.80 |
| R-Squared | 0.9421 | 0.9523 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.61% | 9.53% |
| RAR | 5.05% | 9.56% |
| Profit Factor | 4.62 | 3.21 |
| Percent Profit Factor | 8.05 | 5.84 |
| Expectancy | $1.13 | $0.00 |
| Percentage Expectancy | 0.07 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (33.73%) |
| Longest Drawdown Duration | 46.4 months | 36.7 months |
| Max Monthly % Drawdown | (13.69%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 22.8 months | 24.0 months |
| Avg of All % Drawdowns | (0.88%) | (2.03%) |
| Std Dev of All % Drawdowns | 1.48% | 4.27% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (6.18%) | (9.46%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 4.54% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 54.8% |
| Lose Rate % | 31.2% | 45.2% |
| Winning Trades | 11 | 17 |
| Losing Trades | 5 | 14 |
| Total Trades | 16 | 31 |
| Max Consecutive Wins | 5 | 4 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 417.7 days | 280.8 days |
| Avg Winning Trade Duration | 555.5 days | 382.8 days |
| Avg Losing Trade Duration | 114.6 days | 156.9 days |
| Largest Winning Trade | $85,604.87 | $255,900.48 |
| Largest Losing Trade | ($15,771.66) | ($51,833.25) |
| Largest Win as % of Net Profit | 49.36% | 40.09% |
| Avg Win | $20,117.22 | $54,544.70 |
| Avg Loss | ($9,573.12) | ($20,642.19) |
| Avg Win / Loss Ratio | 2.10 | 2.64 |
| Avg Trade | $10,838.99 | $20,589.33 |
| Avg Win % | 11.80% | 19.22% |
| Avg Loss % | (3.22%) | (3.99%) |
| Avg Trade % | 7.10% | 8.73% |
| Avg Risk % | (99.94%) | (99.51%) |
| Avg Trades Per Year | 0.64 | 1.25 |
| Avg Trades Per Month | 0.05 | 0.10 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.2% | 65.9% |
| Losing Months % | 30.8% | 34.1% |
| Winning Months | 207 | 197 |
| Losing Months | 92 | 102 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 12 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 72.0% | 80.0% |
| Losing Years % | 28.0% | 20.0% |
| Winning Years | 18 | 20 |
| Losing Years | 7 | 5 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 69.7% |
| Rolling 6-Month Win Rate | 70.4% | 72.4% |
| Rolling 12-Month Win Rate | 74.7% | 76.0% |
| Rolling 3-Year Win Rate | 91.3% | 100.0% |
| Rolling 5-Year Win Rate | 95.2% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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