| 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 | $972,241.08 |
| CAGR % | 4.56% | 9.52% |
| Max % Drawdown | (14.87%) | (21.03%) |
| Standard Deviation | 1.43% | 3.61% |
| Annualized Sharpe | 0.33 | 0.55 |
| MAR Ratio | 0.31 | 0.45 |
| Win Rate % | 68.8% | 55.6% |
| Avg Win / Loss Ratio | 2.10 | 3.66 |
| Expectancy | $1.13 | $1.59 |
| Avg Win % | 11.80% | 29.42% |
| Avg Loss % | (3.22%) | (3.92%) |
| Longest Drawdown Duration | 47.0 months | 35.9 months |
| Avg Trades Per Year | 0.64 | 0.72 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $304,682.17 | $972,241.08 |
| Open Equity | $13,739.25 | $83,042.28 |
| Gross Profit | $221,289.47 | $933,870.76 |
| Gross Loss | ($47,865.59) | ($203,958.92) |
| Net Profit | $173,423.88 | $729,911.84 |
| Net Long Profit | $173,423.88 | $729,911.84 |
| 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 | $59,286.96 |
| 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 | 1,893.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.45 |
| Calmar Ratio | 0.33 | 0.45 |
| Modified Sharpe Ratio | 0.92 | 0.79 |
| Robust Sharpe Ratio | 1.01 | 0.75 |
| R-Squared | 0.9406 | 0.9175 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.56% | 9.52% |
| RAR | 5.03% | 9.40% |
| Profit Factor | 4.62 | 4.58 |
| Percent Profit Factor | 8.05 | 9.38 |
| Expectancy | $1.13 | $1.59 |
| Percentage Expectancy | 0.07 | 0.15 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (21.03%) |
| Longest Drawdown Duration | 47.0 months | 35.9 months |
| Max Monthly % Drawdown | (13.69%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.1 months | 28.2 months |
| Avg of All % Drawdowns | (0.88%) | (6.65%) |
| Std Dev of All % Drawdowns | 1.48% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (6.18%) | (6.50%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 4.03% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 55.6% |
| Lose Rate % | 31.2% | 44.4% |
| Winning Trades | 11 | 10 |
| Losing Trades | 5 | 8 |
| Total Trades | 16 | 18 |
| Max Consecutive Wins | 5 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 417.7 days | 353.1 days |
| Avg Winning Trade Duration | 555.5 days | 565.9 days |
| Avg Losing Trade Duration | 114.6 days | 87.1 days |
| Largest Winning Trade | $85,604.87 | $216,040.20 |
| Largest Losing Trade | ($15,771.66) | ($55,980.54) |
| Largest Win as % of Net Profit | 49.36% | 29.60% |
| Avg Win | $20,117.22 | $93,387.08 |
| Avg Loss | ($9,573.12) | ($25,494.86) |
| Avg Win / Loss Ratio | 2.10 | 3.66 |
| Avg Trade | $10,838.99 | $40,550.66 |
| Avg Win % | 11.80% | 29.42% |
| Avg Loss % | (3.22%) | (3.92%) |
| Avg Trade % | 7.10% | 14.60% |
| Avg Risk % | (99.94%) | (99.52%) |
| Avg Trades Per Year | 0.64 | 0.72 |
| Avg Trades Per Month | 0.05 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.1% | 74.4% |
| Losing Months % | 30.9% | 25.6% |
| Winning Months | 208 | 224 |
| Losing Months | 93 | 77 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 12 | 18 |
| Max Consecutive Losing Months | 4 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 69.2% | 65.4% |
| Losing Years % | 30.8% | 34.6% |
| Winning Years | 18 | 17 |
| Losing Years | 8 | 9 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 69.9% |
| Rolling 6-Month Win Rate | 70.3% | 70.9% |
| Rolling 12-Month Win Rate | 74.8% | 74.1% |
| Rolling 3-Year Win Rate | 87.5% | 91.7% |
| 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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