| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $304,682.17 | $495,645.76 |
| CAGR % | 4.56% | 6.61% |
| Max % Drawdown | (14.87%) | (14.90%) |
| Standard Deviation | 1.43% | 1.97% |
| Annualized Sharpe | 0.33 | 0.54 |
| MAR Ratio | 0.31 | 0.44 |
| Win Rate % | 68.8% | 47.7% |
| Avg Win / Loss Ratio | 2.10 | 3.37 |
| Expectancy | $1.13 | $1.08 |
| Avg Win % | 11.80% | 4.20% |
| Avg Loss % | (3.22%) | (0.93%) |
| Longest Drawdown Duration | 47.0 months | 30.5 months |
| Avg Trades Per Year | 0.64 | 4.28 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $304,682.17 | $495,645.76 |
| Open Equity | $13,739.25 | $39,618.63 |
| Gross Profit | $221,289.47 | $484,964.55 |
| Gross Loss | ($47,865.59) | ($158,238.91) |
| Net Profit | $173,423.88 | $326,725.64 |
| Net Long Profit | $173,423.88 | $326,725.64 |
| 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 | $17,519.04 | $29,301.49 |
| 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 | 1,128.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.44 |
| Calmar Ratio | 0.33 | 0.61 |
| Modified Sharpe Ratio | 0.92 | 0.97 |
| Robust Sharpe Ratio | 1.01 | 0.88 |
| R-Squared | 0.9406 | 0.9381 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.56% | 6.61% |
| RAR | 5.03% | 5.99% |
| Profit Factor | 4.62 | 3.06 |
| Percent Profit Factor | 8.05 | 4.12 |
| Expectancy | $1.13 | $1.08 |
| Percentage Expectancy | 0.07 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (14.90%) |
| Longest Drawdown Duration | 47.0 months | 30.5 months |
| Max Monthly % Drawdown | (13.69%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.1 months | 24.2 months |
| Avg of All % Drawdowns | (0.88%) | (1.36%) |
| Std Dev of All % Drawdowns | 1.48% | 2.10% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (6.18%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 47.7% |
| Lose Rate % | 31.2% | 52.3% |
| Winning Trades | 11 | 51 |
| Losing Trades | 5 | 56 |
| Total Trades | 16 | 107 |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 417.7 days | 283.3 days |
| Avg Winning Trade Duration | 555.5 days | 508.3 days |
| Avg Losing Trade Duration | 114.6 days | 78.4 days |
| Largest Winning Trade | $85,604.87 | $61,124.70 |
| Largest Losing Trade | ($15,771.66) | ($9,079.40) |
| Largest Win as % of Net Profit | 49.36% | 18.71% |
| Avg Win | $20,117.22 | $9,509.11 |
| Avg Loss | ($9,573.12) | ($2,825.69) |
| Avg Win / Loss Ratio | 2.10 | 3.37 |
| Avg Trade | $10,838.99 | $3,053.51 |
| Avg Win % | 11.80% | 4.20% |
| Avg Loss % | (3.22%) | (0.93%) |
| Avg Trade % | 7.10% | 1.51% |
| Avg Risk % | (99.94%) | (18.07%) |
| Avg Trades Per Year | 0.64 | 4.28 |
| Avg Trades Per Month | 0.05 | 0.36 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.1% | 65.8% |
| Losing Months % | 30.9% | 34.2% |
| Winning Months | 208 | 198 |
| Losing Months | 93 | 103 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 12 | 11 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 69.2% | 84.6% |
| Losing Years % | 30.8% | 15.4% |
| Winning Years | 18 | 22 |
| Losing Years | 8 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 67.2% |
| Rolling 6-Month Win Rate | 70.3% | 75.3% |
| Rolling 12-Month Win Rate | 74.8% | 78.3% |
| 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 | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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