| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-11-28 | 2025-11-28 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $464,310.28 | $1,000,180.81 |
| CAGR % | 6.11% | 9.30% |
| Max % Drawdown | (28.57%) | (21.03%) |
| Standard Deviation | 3.05% | 3.56% |
| Annualized Sharpe | 0.33 | 0.54 |
| MAR Ratio | 0.21 | 0.44 |
| Win Rate % | 42.1% | 55.0% |
| Avg Win / Loss Ratio | 4.36 | 3.85 |
| Expectancy | $1.26 | $1.67 |
| Avg Win % | 30.88% | 27.89% |
| Avg Loss % | (5.29%) | (3.68%) |
| Longest Drawdown Duration | 48.9 months | 45.9 months |
| Avg Trades Per Year | 0.73 | 0.77 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $464,310.28 | $1,000,180.81 |
| Open Equity | $88,270.75 | $0.00 |
| Gross Profit | $370,996.94 | $1,044,934.50 |
| Gross Loss | ($117,116.58) | ($222,099.67) |
| Net Profit | $253,880.36 | $822,834.83 |
| Net Long Profit | $253,880.36 | $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 | $22,159.17 | $77,345.97 |
| 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 | 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 | 0.21 | 0.44 |
| Calmar Ratio | 0.23 | 0.44 |
| Modified Sharpe Ratio | 0.61 | 0.78 |
| Robust Sharpe Ratio | 0.50 | 0.74 |
| R-Squared | 0.8409 | 0.9153 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.11% | 9.30% |
| RAR | 5.26% | 9.13% |
| Profit Factor | 3.17 | 4.70 |
| Percent Profit Factor | 4.24 | 9.25 |
| Expectancy | $1.26 | $1.67 |
| Percentage Expectancy | 0.10 | 0.14 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (28.57%) | (21.03%) |
| Longest Drawdown Duration | 48.9 months | 45.9 months |
| Max Monthly % Drawdown | (26.50%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (21.46%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 30.4 months |
| Avg of All % Drawdowns | (2.73%) | (6.65%) |
| Std Dev of All % Drawdowns | 4.51% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (14.59%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (14.59%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (8.06%) | (5.55%) |
| Closed-Equity Std Dev of All % Drawdown | 5.71% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 42.1% | 55.0% |
| Lose Rate % | 57.9% | 45.0% |
| Winning Trades | 8 | 11 |
| Losing Trades | 11 | 9 |
| Total Trades | 19 | 20 |
| Max Consecutive Wins | 3 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 314.0 days | 336.1 days |
| Avg Winning Trade Duration | 608.4 days | 541.9 days |
| Avg Losing Trade Duration | 99.9 days | 84.4 days |
| Largest Winning Trade | $126,225.36 | $216,040.20 |
| Largest Losing Trade | ($32,828.35) | ($55,980.54) |
| Largest Win as % of Net Profit | 49.72% | 26.26% |
| Avg Win | $46,374.62 | $94,994.05 |
| Avg Loss | ($10,646.96) | ($24,677.74) |
| Avg Win / Loss Ratio | 4.36 | 3.85 |
| Avg Trade | $13,362.12 | $41,141.74 |
| Avg Win % | 30.88% | 27.89% |
| Avg Loss % | (5.29%) | (3.68%) |
| Avg Trade % | 9.94% | 13.68% |
| Avg Risk % | (98.26%) | (99.48%) |
| Avg Trades Per Year | 0.73 | 0.77 |
| Avg Trades Per Month | 0.06 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 72.3% | 74.6% |
| Losing Months % | 27.7% | 25.4% |
| Winning Months | 225 | 232 |
| Losing Months | 86 | 79 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 22 | 18 |
| Max Consecutive Losing Months | 5 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 57.7% | 65.4% |
| Losing Years % | 42.3% | 34.6% |
| Winning Years | 15 | 17 |
| Losing Years | 11 | 9 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 5 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 69.6% |
| Rolling 6-Month Win Rate | 65.4% | 69.9% |
| Rolling 12-Month Win Rate | 63.7% | 73.7% |
| Rolling 3-Year Win Rate | 87.5% | 91.7% |
| Rolling 5-Year Win Rate | 81.8% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 309 | 309 |
| Rolling 6-Month Periods | 306 | 306 |
| Rolling 12-Month Periods | 300 | 300 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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