| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-05-30 | 2025-05-30 |
| Time Elapsed | 25 years, 5 months | 25 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $311,566.44 | $976,111.78 |
| CAGR % | 4.58% | 9.38% |
| Max % Drawdown | (14.87%) | (33.73%) |
| Standard Deviation | 1.43% | 3.47% |
| Annualized Sharpe | 0.33 | 0.56 |
| MAR Ratio | 0.31 | 0.28 |
| Win Rate % | 68.8% | 56.2% |
| Avg Win / Loss Ratio | 2.10 | 3.00 |
| Expectancy | $1.13 | $1.25 |
| Avg Win % | 11.80% | 19.56% |
| Avg Loss % | (3.22%) | (3.99%) |
| Longest Drawdown Duration | 52.8 months | 36.7 months |
| Avg Trades Per Year | 0.63 | 1.26 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $311,566.44 | $976,111.78 |
| Open Equity | $20,621.65 | $48,708.25 |
| Gross Profit | $221,289.47 | $1,115,103.06 |
| Gross Loss | ($47,865.59) | ($288,990.67) |
| Net Profit | $173,423.88 | $826,112.39 |
| Net Long Profit | $173,423.88 | $826,112.39 |
| 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 | $17,520.91 | $1,291.15 |
| 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 | 9,201.0 |
| 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 | 0.33 | 0.42 |
| Modified Sharpe Ratio | 0.93 | 0.81 |
| Robust Sharpe Ratio | 1.00 | 0.79 |
| R-Squared | 0.9363 | 0.9541 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.58% | 9.38% |
| RAR | 4.94% | 9.50% |
| Profit Factor | 4.62 | 3.86 |
| Percent Profit Factor | 8.05 | 6.30 |
| Expectancy | $1.13 | $1.25 |
| Percentage Expectancy | 0.07 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (33.73%) |
| Longest Drawdown Duration | 52.8 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 | 24.0 months | 24.0 months |
| Avg of All % Drawdowns | (0.88%) | (2.02%) |
| Std Dev of All % Drawdowns | 1.48% | 4.22% |
| 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%) | (8.58%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 4.42% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 56.2% |
| Lose Rate % | 31.2% | 43.8% |
| Winning Trades | 11 | 18 |
| Losing Trades | 5 | 14 |
| Total Trades | 16 | 32 |
| Max Consecutive Wins | 5 | 4 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 417.7 days | 288.2 days |
| Avg Winning Trade Duration | 555.5 days | 390.2 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% | 30.98% |
| Avg Win | $20,117.22 | $61,950.17 |
| Avg Loss | ($9,573.12) | ($20,642.19) |
| Avg Win / Loss Ratio | 2.10 | 3.00 |
| Avg Trade | $10,838.99 | $25,816.01 |
| Avg Win % | 11.80% | 19.56% |
| Avg Loss % | (3.22%) | (3.99%) |
| Avg Trade % | 7.10% | 9.26% |
| Avg Risk % | (99.94%) | (99.49%) |
| Avg Trades Per Year | 0.63 | 1.26 |
| Avg Trades Per Month | 0.05 | 0.10 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 68.9% | 65.2% |
| Losing Months % | 31.1% | 34.8% |
| Winning Months | 210 | 199 |
| Losing Months | 95 | 106 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 12 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 80.8% |
| Losing Years % | 26.9% | 19.2% |
| Winning Years | 19 | 21 |
| Losing Years | 7 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 69.0% |
| Rolling 6-Month Win Rate | 70.3% | 72.0% |
| Rolling 12-Month Win Rate | 75.2% | 76.5% |
| Rolling 3-Year Win Rate | 87.5% | 100.0% |
| Rolling 5-Year Win Rate | 90.9% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 303 | 303 |
| Rolling 6-Month Periods | 300 | 300 |
| Rolling 12-Month Periods | 294 | 294 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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