| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $374,691.03 | $235,047.10 |
| CAGR % | 5.43% | 3.48% |
| Max % Drawdown | (28.57%) | (60.26%) |
| Standard Deviation | 3.06% | 4.43% |
| Annualized Sharpe | 0.27 | 0.11 |
| MAR Ratio | 0.19 | 0.06 |
| Win Rate % | 42.1% | 40.7% |
| Avg Win / Loss Ratio | 4.36 | 2.24 |
| Expectancy | $1.26 | $0.32 |
| Avg Win % | 30.88% | 19.57% |
| Avg Loss % | (5.29%) | (6.60%) |
| Longest Drawdown Duration | 48.9 months | 197.9 months |
| Avg Trades Per Year | 0.76 | 1.08 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $374,691.03 | $235,047.10 |
| Open Equity | $0.00 | $1,421.91 |
| Gross Profit | $370,996.94 | $303,703.87 |
| Gross Loss | ($117,116.58) | ($197,205.02) |
| Net Profit | $253,880.36 | $106,498.85 |
| Net Long Profit | $253,880.36 | $106,498.85 |
| 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 | $20,810.67 | $27,126.34 |
| 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 | 1,201.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.19 | 0.06 |
| Calmar Ratio | 0.20 | 0.06 |
| Modified Sharpe Ratio | 0.55 | 0.30 |
| Robust Sharpe Ratio | 0.49 | 0.07 |
| R-Squared | 0.8250 | 0.1007 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.43% | 3.48% |
| RAR | 5.21% | 1.03% |
| Profit Factor | 3.17 | 1.54 |
| Percent Profit Factor | 4.24 | 2.04 |
| Expectancy | $1.26 | $0.32 |
| Percentage Expectancy | 0.10 | 0.04 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (28.57%) | (60.26%) |
| Longest Drawdown Duration | 48.9 months | 197.9 months |
| Max Monthly % Drawdown | (26.50%) | (58.84%) |
| Avg of Top-5 Max % Drawdowns | (21.46%) | (30.52%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 54.7 months |
| Avg of All % Drawdowns | (2.77%) | (3.67%) |
| Std Dev of All % Drawdowns | 4.67% | 5.66% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (14.59%) | (43.60%) |
| Closed-Equity Max Monthly % Drawdown | (14.59%) | (43.56%) |
| Closed-Equity Avg of All % Drawdown | (8.06%) | (18.63%) |
| Closed-Equity Std Dev of All % Drawdown | 5.71% | 17.80% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 42.1% | 40.7% |
| Lose Rate % | 57.9% | 59.3% |
| Winning Trades | 8 | 11 |
| Losing Trades | 11 | 16 |
| Total Trades | 19 | 27 |
| Max Consecutive Wins | 3 | 4 |
| Max Consecutive Losses | 3 | 7 |
| Avg Trade Duration | 314.0 days | 194.1 days |
| Avg Winning Trade Duration | 608.4 days | 357.3 days |
| Avg Losing Trade Duration | 99.9 days | 82.0 days |
| Largest Winning Trade | $126,225.36 | $106,576.40 |
| Largest Losing Trade | ($32,828.35) | ($34,666.80) |
| Largest Win as % of Net Profit | 49.72% | 100.07% |
| Avg Win | $46,374.62 | $27,609.44 |
| Avg Loss | ($10,646.96) | ($12,325.31) |
| Avg Win / Loss Ratio | 4.36 | 2.24 |
| Avg Trade | $13,362.12 | $3,944.40 |
| Avg Win % | 30.88% | 19.57% |
| Avg Loss % | (5.29%) | (6.60%) |
| Avg Trade % | 9.94% | 4.06% |
| Avg Risk % | (98.26%) | (98.65%) |
| Avg Trades Per Year | 0.76 | 1.08 |
| Avg Trades Per Month | 0.06 | 0.09 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 72.1% | 71.8% |
| Losing Months % | 27.9% | 28.2% |
| Winning Months | 217 | 216 |
| Losing Months | 84 | 85 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 22 | 22 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 57.7% | 61.5% |
| Losing Years % | 42.3% | 38.5% |
| Winning Years | 15 | 16 |
| Losing Years | 11 | 10 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 68.6% | 63.9% |
| Rolling 6-Month Win Rate | 64.9% | 55.1% |
| Rolling 12-Month Win Rate | 62.4% | 51.4% |
| Rolling 3-Year Win Rate | 87.5% | 62.5% |
| Rolling 5-Year Win Rate | 81.8% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 52.9% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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