| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-10 | 2025-10-10 |
| Time Elapsed | 25 years, 9 months | 25 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $454,710.15 | $1,051,522.65 |
| CAGR % | 6.05% | 9.56% |
| Max % Drawdown | (28.57%) | (33.73%) |
| Standard Deviation | 3.06% | 3.45% |
| Annualized Sharpe | 0.33 | 0.58 |
| MAR Ratio | 0.21 | 0.28 |
| Win Rate % | 42.1% | 60.0% |
| Avg Win / Loss Ratio | 4.36 | 2.90 |
| Expectancy | $1.26 | $1.34 |
| Avg Win % | 30.88% | 17.47% |
| Avg Loss % | (5.29%) | (3.99%) |
| Longest Drawdown Duration | 48.9 months | 36.7 months |
| Avg Trades Per Year | 0.74 | 1.36 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $454,710.15 | $1,051,522.65 |
| Open Equity | $78,702.18 | ($17,564.40) |
| Gross Profit | $370,996.94 | $1,256,738.12 |
| Gross Loss | ($117,116.58) | ($288,990.67) |
| Net Profit | $253,880.36 | $967,747.45 |
| Net Long Profit | $253,880.36 | $967,747.45 |
| 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 | $22,127.61 | $1,339.61 |
| 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 | 669.0 | 11,291.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.21 | 0.28 |
| Calmar Ratio | 0.23 | 0.43 |
| Modified Sharpe Ratio | 0.61 | 0.82 |
| Robust Sharpe Ratio | 0.50 | 0.79 |
| R-Squared | 0.8384 | 0.9555 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.05% | 9.56% |
| RAR | 5.24% | 9.47% |
| Profit Factor | 3.17 | 4.35 |
| Percent Profit Factor | 4.24 | 6.56 |
| Expectancy | $1.26 | $1.34 |
| Percentage Expectancy | 0.10 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (28.57%) | (33.73%) |
| Longest Drawdown Duration | 48.9 months | 36.7 months |
| Max Monthly % Drawdown | (26.50%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (21.46%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 24.0 months |
| Avg of All % Drawdowns | (2.73%) | (2.06%) |
| Std Dev of All % Drawdowns | 4.54% | 4.29% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (14.59%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (14.59%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (8.06%) | (8.58%) |
| Closed-Equity Std Dev of All % Drawdown | 5.71% | 4.42% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 42.1% | 60.0% |
| Lose Rate % | 57.9% | 40.0% |
| Winning Trades | 8 | 21 |
| Losing Trades | 11 | 14 |
| Total Trades | 19 | 35 |
| Max Consecutive Wins | 3 | 5 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 314.0 days | 267.8 days |
| Avg Winning Trade Duration | 608.4 days | 341.8 days |
| Avg Losing Trade Duration | 99.9 days | 156.9 days |
| Largest Winning Trade | $126,225.36 | $255,900.48 |
| Largest Losing Trade | ($32,828.35) | ($51,833.25) |
| Largest Win as % of Net Profit | 49.72% | 26.44% |
| Avg Win | $46,374.62 | $59,844.67 |
| Avg Loss | ($10,646.96) | ($20,642.19) |
| Avg Win / Loss Ratio | 4.36 | 2.90 |
| Avg Trade | $13,362.12 | $27,649.93 |
| Avg Win % | 30.88% | 17.47% |
| Avg Loss % | (5.29%) | (3.99%) |
| Avg Trade % | 9.94% | 8.88% |
| Avg Risk % | (98.26%) | (99.47%) |
| Avg Trades Per Year | 0.74 | 1.36 |
| Avg Trades Per Month | 0.06 | 0.11 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 71.9% | 65.2% |
| Losing Months % | 28.1% | 34.8% |
| Winning Months | 223 | 202 |
| Losing Months | 87 | 108 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 22 | 15 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 57.7% | 80.8% |
| Losing Years % | 42.3% | 19.2% |
| Winning Years | 15 | 21 |
| Losing Years | 11 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 7 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.8% | 69.5% |
| Rolling 6-Month Win Rate | 65.2% | 72.5% |
| Rolling 12-Month Win Rate | 63.5% | 76.9% |
| Rolling 3-Year Win Rate | 87.5% | 100.0% |
| Rolling 5-Year Win Rate | 81.8% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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