| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-01-02 | 2026-01-02 |
| Time Elapsed | 26 years | 26 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $326,666.64 | $204,980.92 |
| CAGR % | 4.66% | 2.80% |
| Max % Drawdown | (14.87%) | (41.31%) |
| Standard Deviation | 1.42% | 3.04% |
| Annualized Sharpe | 0.35 | 0.03 |
| MAR Ratio | 0.31 | 0.07 |
| Win Rate % | 68.8% | 76.9% |
| Avg Win / Loss Ratio | 2.10 | 0.74 |
| Expectancy | $1.13 | $0.34 |
| Avg Win % | 11.80% | 8.12% |
| Avg Loss % | (3.22%) | (12.13%) |
| Longest Drawdown Duration | 59.9 months | 202.6 months |
| Avg Trades Per Year | 0.62 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $326,666.64 | $204,980.92 |
| Open Equity | $35,719.25 | $0.00 |
| Gross Profit | $221,289.47 | $175,878.52 |
| Gross Loss | ($47,865.59) | ($70,897.60) |
| Net Profit | $173,423.88 | $104,980.92 |
| Net Long Profit | $173,423.88 | $104,980.92 |
| 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 | $17,523.51 | $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 | 856.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.31 | 0.07 |
| Calmar Ratio | 0.34 | 0.07 |
| Modified Sharpe Ratio | 0.95 | 0.31 |
| Robust Sharpe Ratio | 0.99 | 0.26 |
| R-Squared | 0.9329 | 0.6358 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.66% | 2.80% |
| RAR | 4.84% | 2.75% |
| Profit Factor | 4.62 | 2.48 |
| Percent Profit Factor | 8.05 | 2.23 |
| Expectancy | $1.13 | $0.34 |
| Percentage Expectancy | 0.07 | 0.04 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (14.87%) | (41.31%) |
| Longest Drawdown Duration | 59.9 months | 202.6 months |
| Max Monthly % Drawdown | (13.69%) | (38.17%) |
| Avg of Top-5 Max % Drawdowns | (9.87%) | (19.07%) |
| Avg Duration of Top-5 Longest Drawdowns | 25.5 months | 51.2 months |
| Avg of All % Drawdowns | (0.88%) | (2.42%) |
| Std Dev of All % Drawdowns | 1.48% | 5.53% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.49%) | (29.90%) |
| Closed-Equity Max Monthly % Drawdown | (10.14%) | (29.90%) |
| Closed-Equity Avg of All % Drawdown | (6.18%) | (17.27%) |
| Closed-Equity Std Dev of All % Drawdown | 0.47% | 17.86% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 68.8% | 76.9% |
| Lose Rate % | 31.2% | 23.1% |
| Winning Trades | 11 | 20 |
| Losing Trades | 5 | 6 |
| Total Trades | 16 | 26 |
| Max Consecutive Wins | 5 | 10 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 417.7 days | 184.0 days |
| Avg Winning Trade Duration | 555.5 days | 184.1 days |
| Avg Losing Trade Duration | 114.6 days | 184.0 days |
| Largest Winning Trade | $85,604.87 | $37,286.08 |
| Largest Losing Trade | ($15,771.66) | ($28,267.54) |
| Largest Win as % of Net Profit | 49.36% | 35.52% |
| Avg Win | $20,117.22 | $8,793.93 |
| Avg Loss | ($9,573.12) | ($11,816.27) |
| Avg Win / Loss Ratio | 2.10 | 0.74 |
| Avg Trade | $10,838.99 | $4,037.73 |
| Avg Win % | 11.80% | 8.12% |
| Avg Loss % | (3.22%) | (12.13%) |
| Avg Trade % | 7.10% | 3.45% |
| Avg Risk % | (99.94%) | (98.16%) |
| Avg Trades Per Year | 0.62 | 0.00 |
| Avg Trades Per Month | 0.05 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 69.0% | 80.8% |
| Losing Months % | 31.0% | 19.2% |
| Winning Months | 216 | 253 |
| Losing Months | 97 | 60 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 12 | 23 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 70.4% | 77.8% |
| Losing Years % | 29.6% | 22.2% |
| Winning Years | 19 | 21 |
| Losing Years | 8 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 10 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.1% | 74.6% |
| Rolling 6-Month Win Rate | 71.1% | 69.2% |
| Rolling 12-Month Win Rate | 75.8% | 73.2% |
| Rolling 3-Year Win Rate | 92.0% | 72.0% |
| Rolling 5-Year Win Rate | 91.3% | 73.9% |
| Rolling 10-Year Win Rate | 100.0% | 83.3% |
| Rolling 3-Month Periods | 311 | 311 |
| Rolling 6-Month Periods | 308 | 308 |
| Rolling 12-Month Periods | 302 | 302 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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