| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-29 | 2024-11-29 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $312,561.06 | $489,302.82 |
| CAGR % | 4.68% | 6.58% |
| Max % Drawdown | (14.87%) | (33.47%) |
| Standard Deviation | 1.43% | 3.15% |
| Annualized Sharpe | 0.35 | 0.37 |
| MAR Ratio | 0.31 | 0.20 |
| Win Rate % | 68.8% | 75.0% |
| Avg Win / Loss Ratio | 2.10 | 1.14 |
| Expectancy | $1.13 | $0.61 |
| Avg Win % | 11.80% | 11.59% |
| Avg Loss % | (3.22%) | (8.58%) |
| Longest Drawdown Duration | 46.8 months | 41.8 months |
| Avg Trades Per Year | 0.64 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $312,561.06 | $489,302.82 |
| Open Equity | $21,618.59 | ($3,332.70) |
| Gross Profit | $221,289.47 | $487,722.84 |
| Gross Loss | ($47,865.59) | ($142,169.87) |
| Net Profit | $173,423.88 | $345,552.96 |
| Net Long Profit | $173,423.88 | $345,552.96 |
| 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 | $17,518.60 | $47,082.55 |
| 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 | 905.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.20 |
| Calmar Ratio | 0.34 | 0.25 |
| Modified Sharpe Ratio | 0.95 | 0.64 |
| Robust Sharpe Ratio | 1.02 | 0.60 |
| R-Squared | 0.9417 | 0.9629 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.68% | 6.58% |
| RAR | 5.05% | 6.55% |
| Profit Factor | 4.62 | 3.43 |
| Percent Profit Factor | 8.05 | 4.05 |
| Expectancy | $1.13 | $0.61 |
| Percentage Expectancy | 0.07 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (33.47%) |
| Longest Drawdown Duration | 46.8 months | 41.8 months |
| Max Monthly % Drawdown | (13.69%) | (26.06%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (23.64%) |
| Avg Duration of Top-5 Longest Drawdowns | 22.8 months | 24.3 months |
| Avg of All % Drawdowns | (0.88%) | (2.29%) |
| Std Dev of All % Drawdowns | 1.48% | 4.76% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (15.43%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (15.43%) |
| Closed-Equity Avg of All % Drawdown | (6.18%) | (10.15%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 5.03% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 75.0% |
| Lose Rate % | 31.2% | 25.0% |
| Winning Trades | 11 | 18 |
| Losing Trades | 5 | 6 |
| Total Trades | 16 | 24 |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 417.7 days | 181.3 days |
| Avg Winning Trade Duration | 555.5 days | 181.3 days |
| Avg Losing Trade Duration | 114.6 days | 181.3 days |
| Largest Winning Trade | $85,604.87 | $81,648.82 |
| Largest Losing Trade | ($15,771.66) | ($53,296.88) |
| Largest Win as % of Net Profit | 49.36% | 23.63% |
| Avg Win | $20,117.22 | $27,095.71 |
| Avg Loss | ($9,573.12) | ($23,694.98) |
| Avg Win / Loss Ratio | 2.10 | 1.14 |
| Avg Trade | $10,838.99 | $14,398.04 |
| Avg Win % | 11.80% | 11.59% |
| Avg Loss % | (3.22%) | (8.58%) |
| Avg Trade % | 7.10% | 6.55% |
| Avg Risk % | (99.94%) | (98.67%) |
| Avg Trades Per Year | 0.64 | 0.96 |
| Avg Trades Per Month | 0.05 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.6% | 78.3% |
| Losing Months % | 30.4% | 21.7% |
| Winning Months | 208 | 234 |
| Losing Months | 91 | 65 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 12 | 14 |
| Max Consecutive Losing Months | 4 | 4 |
| 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 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.0% | 76.4% |
| Rolling 6-Month Win Rate | 70.4% | 70.4% |
| Rolling 12-Month Win Rate | 74.7% | 75.7% |
| Rolling 3-Year Win Rate | 91.3% | 95.7% |
| 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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