| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-07-31 | 2026-07-31 |
| Time Elapsed | 26 years, 7 months | 26 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $321,650.62 | $1,144,844.06 |
| CAGR % | 4.49% | 9.61% |
| Max % Drawdown | (14.87%) | (21.03%) |
| Standard Deviation | 1.42% | 3.59% |
| Annualized Sharpe | 0.32 | 0.56 |
| MAR Ratio | 0.30 | 0.46 |
| Win Rate % | 70.6% | 55.0% |
| Avg Win / Loss Ratio | 2.23 | 3.85 |
| Expectancy | $1.28 | $1.67 |
| Avg Win % | 11.82% | 27.89% |
| Avg Loss % | (3.22%) | (3.68%) |
| Longest Drawdown Duration | 66.9 months | 50.0 months |
| Avg Trades Per Year | 0.64 | 0.75 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $321,650.62 | $1,144,844.06 |
| Open Equity | ($5,286.54) | $144,298.73 |
| Gross Profit | $256,446.76 | $1,044,934.50 |
| Gross Loss | ($47,865.59) | ($222,099.67) |
| Net Profit | $208,581.17 | $822,834.83 |
| Net Long Profit | $208,581.17 | $822,834.83 |
| 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 | $18,355.99 | $77,710.49 |
| 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 | 12,905.0 | 2,087.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.30 | 0.46 |
| Calmar Ratio | 0.33 | 0.46 |
| Modified Sharpe Ratio | 0.92 | 0.80 |
| Robust Sharpe Ratio | 0.96 | 0.72 |
| R-Squared | 0.9300 | 0.9142 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.49% | 9.61% |
| RAR | 4.75% | 8.95% |
| Profit Factor | 5.36 | 4.70 |
| Percent Profit Factor | 8.80 | 9.25 |
| Expectancy | $1.28 | $1.67 |
| Percentage Expectancy | 0.07 | 0.14 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (21.03%) |
| Longest Drawdown Duration | 66.9 months | 50.0 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 | 26.9 months | 31.4 months |
| Avg of All % Drawdowns | (0.88%) | (6.84%) |
| Std Dev of All % Drawdowns | 1.48% | 5.78% |
| 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 | (4.52%) | (5.55%) |
| Closed-Equity Std Dev of All % Drawdown | 5.18% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 70.6% | 55.0% |
| Lose Rate % | 29.4% | 45.0% |
| Winning Trades | 12 | 11 |
| Losing Trades | 5 | 9 |
| Total Trades | 17 | 20 |
| Max Consecutive Wins | 5 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 443.2 days | 336.1 days |
| Avg Winning Trade Duration | 580.2 days | 541.9 days |
| Avg Losing Trade Duration | 114.6 days | 84.4 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 | 41.04% | 26.26% |
| Avg Win | $21,370.56 | $94,994.05 |
| Avg Loss | ($9,573.12) | ($24,677.74) |
| Avg Win / Loss Ratio | 2.23 | 3.85 |
| Avg Trade | $12,269.48 | $41,141.74 |
| Avg Win % | 11.82% | 27.89% |
| Avg Loss % | (3.22%) | (3.68%) |
| Avg Trade % | 7.40% | 13.68% |
| Avg Risk % | (99.95%) | (99.48%) |
| Avg Trades Per Year | 0.64 | 0.75 |
| Avg Trades Per Month | 0.05 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.3% | 74.3% |
| Losing Months % | 30.7% | 25.7% |
| Winning Months | 221 | 237 |
| Losing Months | 98 | 82 |
| Total Months | 319 | 319 |
| Max Consecutive Winning Months | 12 | 18 |
| Max Consecutive Losing Months | 4 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 70.4% | 66.7% |
| Losing Years % | 29.6% | 33.3% |
| Winning Years | 19 | 18 |
| Losing Years | 8 | 9 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 70.0% |
| Rolling 6-Month Win Rate | 70.7% | 69.7% |
| Rolling 12-Month Win Rate | 76.3% | 74.4% |
| Rolling 3-Year Win Rate | 92.0% | 92.0% |
| Rolling 5-Year Win Rate | 87.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 317 | 317 |
| Rolling 6-Month Periods | 314 | 314 |
| Rolling 12-Month Periods | 308 | 308 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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