| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-04-24 | 2026-04-24 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $326,771.03 | $617,868.21 |
| CAGR % | 4.60% | 7.17% |
| Max % Drawdown | (14.87%) | (10.05%) |
| Standard Deviation | 1.42% | 1.91% |
| Annualized Sharpe | 0.34 | 0.63 |
| MAR Ratio | 0.31 | 0.71 |
| Win Rate % | 70.6% | 52.4% |
| Avg Win / Loss Ratio | 2.23 | 3.20 |
| Expectancy | $1.28 | $1.20 |
| Avg Win % | 11.82% | 4.19% |
| Avg Loss % | (3.22%) | (0.98%) |
| Longest Drawdown Duration | 63.7 months | 28.1 months |
| Avg Trades Per Year | 0.65 | 3.91 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $326,771.03 | $617,868.21 |
| Open Equity | $0.00 | $89,866.91 |
| Gross Profit | $256,446.76 | $551,618.40 |
| Gross Loss | ($47,865.59) | ($156,614.90) |
| Net Profit | $208,581.17 | $395,003.50 |
| Net Long Profit | $208,581.17 | $395,003.50 |
| 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 | $18,189.87 | $32,997.79 |
| 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 | 4,250.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.71 |
| Calmar Ratio | 0.34 | 0.79 |
| Modified Sharpe Ratio | 0.94 | 1.08 |
| Robust Sharpe Ratio | 0.97 | 0.95 |
| R-Squared | 0.9315 | 0.9543 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.60% | 7.17% |
| RAR | 4.79% | 6.31% |
| Profit Factor | 5.36 | 3.52 |
| Percent Profit Factor | 8.80 | 4.69 |
| Expectancy | $1.28 | $1.20 |
| Percentage Expectancy | 0.07 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (10.05%) |
| Longest Drawdown Duration | 63.7 months | 28.1 months |
| Max Monthly % Drawdown | (13.69%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 26.2 months | 23.8 months |
| Avg of All % Drawdowns | (0.88%) | (1.03%) |
| Std Dev of All % Drawdowns | 1.48% | 1.74% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (4.52%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 5.18% | 2.46% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 70.6% | 52.4% |
| Lose Rate % | 29.4% | 47.6% |
| Winning Trades | 12 | 54 |
| Losing Trades | 5 | 49 |
| Total Trades | 17 | 103 |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 443.2 days | 317.6 days |
| Avg Winning Trade Duration | 580.2 days | 527.9 days |
| Avg Losing Trade Duration | 114.6 days | 85.8 days |
| Largest Winning Trade | $85,604.87 | $61,124.70 |
| Largest Losing Trade | ($15,771.66) | ($8,254.00) |
| Largest Win as % of Net Profit | 41.04% | 15.47% |
| Avg Win | $21,370.56 | $10,215.16 |
| Avg Loss | ($9,573.12) | ($3,196.22) |
| Avg Win / Loss Ratio | 2.23 | 3.20 |
| Avg Trade | $12,269.48 | $3,834.99 |
| Avg Win % | 11.82% | 4.19% |
| Avg Loss % | (3.22%) | (0.98%) |
| Avg Trade % | 7.40% | 1.73% |
| Avg Risk % | (99.95%) | (4.10%) |
| Avg Trades Per Year | 0.65 | 3.91 |
| Avg Trades Per Month | 0.05 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.3% | 69.3% |
| Losing Months % | 30.7% | 30.7% |
| Winning Months | 219 | 219 |
| Losing Months | 97 | 97 |
| Total Months | 316 | 316 |
| Max Consecutive Winning Months | 12 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 70.4% | 81.5% |
| Losing Years % | 29.6% | 18.5% |
| Winning Years | 19 | 22 |
| Losing Years | 8 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.1% | 69.7% |
| Rolling 6-Month Win Rate | 70.7% | 75.2% |
| Rolling 12-Month Win Rate | 76.1% | 82.0% |
| 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 | 314 | 314 |
| Rolling 6-Month Periods | 311 | 311 |
| Rolling 12-Month Periods | 305 | 305 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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