| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-01 | 2026-05-01 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $326,936.95 | $607,054.53 |
| CAGR % | 4.60% | 7.09% |
| Max % Drawdown | (14.87%) | (14.90%) |
| Standard Deviation | 1.42% | 1.96% |
| Annualized Sharpe | 0.34 | 0.61 |
| MAR Ratio | 0.31 | 0.48 |
| Win Rate % | 70.6% | 48.6% |
| Avg Win / Loss Ratio | 2.23 | 3.45 |
| Expectancy | $1.28 | $1.17 |
| Avg Win % | 11.82% | 4.14% |
| Avg Loss % | (3.22%) | (0.93%) |
| Longest Drawdown Duration | 63.9 months | 30.5 months |
| Avg Trades Per Year | 0.65 | 4.22 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $326,936.95 | $607,054.53 |
| Open Equity | $0.00 | $105,828.27 |
| Gross Profit | $256,446.76 | $529,800.95 |
| Gross Loss | ($47,865.59) | ($162,060.66) |
| Net Profit | $208,581.17 | $367,740.29 |
| Net Long Profit | $208,581.17 | $367,740.29 |
| 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 | $18,355.78 | $33,485.96 |
| 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 | 12,905.0 | 1,176.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.48 |
| Calmar Ratio | 0.34 | 0.65 |
| Modified Sharpe Ratio | 0.94 | 1.04 |
| Robust Sharpe Ratio | 0.98 | 0.88 |
| R-Squared | 0.9314 | 0.9454 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.60% | 7.09% |
| RAR | 4.79% | 5.96% |
| Profit Factor | 5.36 | 3.27 |
| Percent Profit Factor | 8.80 | 4.24 |
| Expectancy | $1.28 | $1.17 |
| Percentage Expectancy | 0.07 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (14.90%) |
| Longest Drawdown Duration | 63.9 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 | 26.3 months | 24.2 months |
| Avg of All % Drawdowns | (0.88%) | (1.30%) |
| Std Dev of All % Drawdowns | 1.48% | 2.03% |
| 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 | (4.52%) | (2.50%) |
| Closed-Equity Std Dev of All % Drawdown | 5.18% | 2.57% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 70.6% | 48.6% |
| Lose Rate % | 29.4% | 51.4% |
| Winning Trades | 12 | 54 |
| Losing Trades | 5 | 57 |
| Total Trades | 17 | 111 |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 443.2 days | 284.0 days |
| Avg Winning Trade Duration | 580.2 days | 500.3 days |
| Avg Losing Trade Duration | 114.6 days | 79.2 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 | 41.04% | 16.62% |
| Avg Win | $21,370.56 | $9,811.13 |
| Avg Loss | ($9,573.12) | ($2,843.17) |
| Avg Win / Loss Ratio | 2.23 | 3.45 |
| Avg Trade | $12,269.48 | $3,312.98 |
| Avg Win % | 11.82% | 4.14% |
| Avg Loss % | (3.22%) | (0.93%) |
| Avg Trade % | 7.40% | 1.54% |
| Avg Risk % | (99.95%) | (18.09%) |
| Avg Trades Per Year | 0.65 | 4.22 |
| Avg Trades Per Month | 0.05 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.4% | 66.6% |
| Losing Months % | 30.6% | 33.4% |
| Winning Months | 220 | 211 |
| Losing Months | 97 | 106 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 70.4% | 85.2% |
| Losing Years % | 29.6% | 14.8% |
| Winning Years | 19 | 23 |
| Losing Years | 8 | 4 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.8% | 68.3% |
| Rolling 6-Month Win Rate | 70.5% | 76.0% |
| Rolling 12-Month Win Rate | 76.1% | 79.4% |
| Rolling 3-Year Win Rate | 92.0% | 100.0% |
| Rolling 5-Year Win Rate | 91.3% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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