| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-11 | 2025-04-11 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $303,951.35 | $74,982.87 |
| CAGR % | 4.50% | (1.13%) |
| Max % Drawdown | (14.87%) | (48.93%) |
| Standard Deviation | 1.44% | 3.33% |
| Annualized Sharpe | 0.31 | (0.30) |
| MAR Ratio | 0.30 | (0.02) |
| Win Rate % | 68.8% | 60.0% |
| Avg Win / Loss Ratio | 2.10 | 0.53 |
| Expectancy | $1.13 | ($0.08) |
| Avg Win % | 11.80% | 8.94% |
| Avg Loss % | (3.22%) | (13.62%) |
| Longest Drawdown Duration | 51.2 months | 202.7 months |
| Avg Trades Per Year | 0.63 | 0.99 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $303,951.35 | $74,982.87 |
| Open Equity | $13,007.19 | $0.00 |
| Gross Profit | $221,289.47 | $95,805.13 |
| Gross Loss | ($47,865.59) | ($120,822.26) |
| Net Profit | $173,423.88 | ($25,017.13) |
| Net Long Profit | $173,423.88 | ($25,017.13) |
| 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 | $17,520.28 | $0.00 |
| 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 | 366.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.30 | (0.02) |
| Calmar Ratio | 0.33 | (0.03) |
| Modified Sharpe Ratio | 0.91 | (0.04) |
| Robust Sharpe Ratio | 1.00 | (0.04) |
| R-Squared | 0.9378 | 0.0779 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.50% | (1.13%) |
| RAR | 4.97% | (0.45%) |
| Profit Factor | 4.62 | 0.79 |
| Percent Profit Factor | 8.05 | 0.99 |
| Expectancy | $1.13 | ($0.08) |
| Percentage Expectancy | 0.07 | (0.00) |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (48.93%) |
| Longest Drawdown Duration | 51.2 months | 202.7 months |
| Max Monthly % Drawdown | (13.69%) | (41.16%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (25.62%) |
| Avg Duration of Top-5 Longest Drawdowns | 23.7 months | 74.7 months |
| Avg of All % Drawdowns | (0.88%) | (17.84%) |
| Std Dev of All % Drawdowns | 1.48% | 23.47% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (38.72%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (38.72%) |
| Closed-Equity Avg of All % Drawdown | (6.18%) | (38.72%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 60.0% |
| Lose Rate % | 31.2% | 40.0% |
| Winning Trades | 11 | 15 |
| Losing Trades | 5 | 10 |
| Total Trades | 16 | 25 |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 417.7 days | 183.0 days |
| Avg Winning Trade Duration | 555.5 days | 183.7 days |
| Avg Losing Trade Duration | 114.6 days | 184.3 days |
| Largest Winning Trade | $85,604.87 | $18,925.42 |
| Largest Losing Trade | ($15,771.66) | ($39,151.52) |
| Largest Win as % of Net Profit | 49.36% | (75.65%) |
| Avg Win | $20,117.22 | $6,387.01 |
| Avg Loss | ($9,573.12) | ($12,082.23) |
| Avg Win / Loss Ratio | 2.10 | 0.53 |
| Avg Trade | $10,838.99 | ($1,000.69) |
| Avg Win % | 11.80% | 8.94% |
| Avg Loss % | (3.22%) | (13.62%) |
| Avg Trade % | 7.10% | (0.08%) |
| Avg Risk % | (99.94%) | (96.21%) |
| Avg Trades Per Year | 0.63 | 0.99 |
| Avg Trades Per Month | 0.05 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.1% | 74.0% |
| Losing Months % | 30.9% | 26.0% |
| Winning Months | 210 | 225 |
| Losing Months | 94 | 79 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 12 | 14 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 69.2% | 61.5% |
| Losing Years % | 30.8% | 38.5% |
| Winning Years | 18 | 16 |
| Losing Years | 8 | 10 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 5 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.5% | 65.6% |
| Rolling 6-Month Win Rate | 70.2% | 53.5% |
| Rolling 12-Month Win Rate | 75.1% | 57.7% |
| Rolling 3-Year Win Rate | 87.5% | 50.0% |
| Rolling 5-Year Win Rate | 90.9% | 36.4% |
| Rolling 10-Year Win Rate | 100.0% | 41.2% |
| Rolling 3-Month Periods | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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