| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-15 | 2024-11-15 |
| Time Elapsed | 24 years, 10 months | 24 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $366,083.00 | $516,348.72 |
| CAGR % | 5.36% | 6.82% |
| Max % Drawdown | (28.57%) | (10.05%) |
| Standard Deviation | 3.08% | 1.93% |
| Annualized Sharpe | 0.27 | 0.58 |
| MAR Ratio | 0.19 | 0.68 |
| Win Rate % | 38.9% | 51.0% |
| Avg Win / Loss Ratio | 4.44 | 3.10 |
| Expectancy | $1.11 | $1.09 |
| Avg Win % | 33.57% | 4.34% |
| Avg Loss % | (5.29%) | (1.00%) |
| Longest Drawdown Duration | 48.9 months | 28.1 months |
| Avg Trades Per Year | 0.72 | 3.86 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $366,083.00 | $516,348.72 |
| Open Equity | $32,916.35 | $53,240.14 |
| Gross Profit | $330,750.35 | $485,445.70 |
| Gross Loss | ($117,116.58) | ($150,311.49) |
| Net Profit | $213,633.77 | $335,134.22 |
| Net Long Profit | $213,633.77 | $335,134.22 |
| 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 | $19,533.88 | $27,974.37 |
| 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 | 637.0 | 3,956.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.19 | 0.68 |
| Calmar Ratio | 0.20 | 0.75 |
| Modified Sharpe Ratio | 0.54 | 1.02 |
| Robust Sharpe Ratio | 0.49 | 0.95 |
| R-Squared | 0.8231 | 0.9483 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.36% | 6.82% |
| RAR | 5.22% | 6.38% |
| Profit Factor | 2.82 | 3.23 |
| Percent Profit Factor | 4.04 | 4.52 |
| Expectancy | $1.11 | $1.09 |
| Percentage Expectancy | 0.10 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (28.57%) | (10.05%) |
| Longest Drawdown Duration | 48.9 months | 28.1 months |
| Max Monthly % Drawdown | (26.50%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (21.46%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 23.8 months |
| Avg of All % Drawdowns | (2.77%) | (1.05%) |
| Std Dev of All % Drawdowns | 4.67% | 1.79% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (14.59%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (14.59%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (8.06%) | (2.91%) |
| Closed-Equity Std Dev of All % Drawdown | 5.71% | 2.60% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 38.9% | 51.0% |
| Lose Rate % | 61.1% | 49.0% |
| Winning Trades | 7 | 49 |
| Losing Trades | 11 | 47 |
| Total Trades | 18 | 96 |
| Max Consecutive Wins | 3 | 9 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 311.1 days | 314.8 days |
| Avg Winning Trade Duration | 642.9 days | 534.7 days |
| Avg Losing Trade Duration | 99.9 days | 85.5 days |
| Largest Winning Trade | $126,225.36 | $61,124.70 |
| Largest Losing Trade | ($32,828.35) | ($8,254.00) |
| Largest Win as % of Net Profit | 59.08% | 18.24% |
| Avg Win | $47,250.05 | $9,907.06 |
| Avg Loss | ($10,646.96) | ($3,198.12) |
| Avg Win / Loss Ratio | 4.44 | 3.10 |
| Avg Trade | $11,868.54 | $3,490.98 |
| Avg Win % | 33.57% | 4.34% |
| Avg Loss % | (5.29%) | (1.00%) |
| Avg Trade % | 9.82% | 1.72% |
| Avg Risk % | (98.28%) | (4.10%) |
| Avg Trades Per Year | 0.72 | 3.86 |
| Avg Trades Per Month | 0.06 | 0.32 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 71.9% | 68.6% |
| Losing Months % | 28.1% | 31.4% |
| Winning Months | 215 | 205 |
| Losing Months | 84 | 94 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 22 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 56.0% | 80.0% |
| Losing Years % | 44.0% | 20.0% |
| Winning Years | 14 | 20 |
| Losing Years | 11 | 5 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 5 | 8 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.0% | 68.7% |
| Rolling 6-Month Win Rate | 65.0% | 74.5% |
| Rolling 12-Month Win Rate | 62.2% | 80.9% |
| Rolling 3-Year Win Rate | 87.0% | 100.0% |
| Rolling 5-Year Win Rate | 81.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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