| 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 | $480,930.50 | $451,790.26 |
| CAGR % | 6.23% | 5.97% |
| Max % Drawdown | (28.57%) | (35.30%) |
| Standard Deviation | 3.04% | 3.01% |
| Annualized Sharpe | 0.34 | 0.32 |
| MAR Ratio | 0.22 | 0.17 |
| Win Rate % | 42.1% | 76.0% |
| Avg Win / Loss Ratio | 4.36 | 1.37 |
| Expectancy | $1.26 | $0.80 |
| Avg Win % | 30.88% | 9.92% |
| Avg Loss % | (5.29%) | (7.55%) |
| Longest Drawdown Duration | 48.9 months | 37.4 months |
| Avg Trades Per Year | 0.73 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $480,930.50 | $451,790.26 |
| Open Equity | $104,869.76 | ($449.79) |
| Gross Profit | $370,996.94 | $393,024.35 |
| Gross Loss | ($117,116.58) | ($90,465.16) |
| Net Profit | $253,880.36 | $302,559.19 |
| Net Long Profit | $253,880.36 | $302,559.19 |
| 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 | $22,180.38 | $49,680.86 |
| 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 | 1,431.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.22 | 0.17 |
| Calmar Ratio | 0.23 | 0.20 |
| Modified Sharpe Ratio | 0.63 | 0.61 |
| Robust Sharpe Ratio | 0.50 | 0.65 |
| R-Squared | 0.8426 | 0.9635 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.23% | 5.97% |
| RAR | 5.27% | 6.79% |
| Profit Factor | 3.17 | 4.34 |
| Percent Profit Factor | 4.24 | 4.16 |
| Expectancy | $1.26 | $0.80 |
| Percentage Expectancy | 0.10 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (28.57%) | (35.30%) |
| Longest Drawdown Duration | 48.9 months | 37.4 months |
| Max Monthly % Drawdown | (26.50%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (21.46%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 37.9 months | 24.5 months |
| Avg of All % Drawdowns | (2.66%) | (1.70%) |
| Std Dev of All % Drawdowns | 4.45% | 4.23% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (14.59%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (14.59%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (8.06%) | (8.82%) |
| Closed-Equity Std Dev of All % Drawdown | 5.71% | 6.04% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 42.1% | 76.0% |
| Lose Rate % | 57.9% | 24.0% |
| Winning Trades | 8 | 19 |
| Losing Trades | 11 | 6 |
| Total Trades | 19 | 25 |
| Max Consecutive Wins | 3 | 10 |
| Max Consecutive Losses | 3 | 2 |
| Avg Trade Duration | 314.0 days | 181.3 days |
| Avg Winning Trade Duration | 608.4 days | 181.3 days |
| Avg Losing Trade Duration | 99.9 days | 181.2 days |
| Largest Winning Trade | $126,225.36 | $78,378.06 |
| Largest Losing Trade | ($32,828.35) | ($34,858.81) |
| Largest Win as % of Net Profit | 49.72% | 25.91% |
| Avg Win | $46,374.62 | $20,685.49 |
| Avg Loss | ($10,646.96) | ($15,077.53) |
| Avg Win / Loss Ratio | 4.36 | 1.37 |
| Avg Trade | $13,362.12 | $12,102.37 |
| Avg Win % | 30.88% | 9.92% |
| Avg Loss % | (5.29%) | (7.55%) |
| Avg Trade % | 9.94% | 5.72% |
| Avg Risk % | (98.26%) | (99.01%) |
| Avg Trades Per Year | 0.73 | 0.96 |
| Avg Trades Per Month | 0.06 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 72.5% | 82.1% |
| Losing Months % | 27.5% | 17.9% |
| Winning Months | 227 | 257 |
| Losing Months | 86 | 56 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 22 | 23 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 59.3% | 77.8% |
| Losing Years % | 40.7% | 22.2% |
| Winning Years | 16 | 21 |
| Losing Years | 11 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 5 | 9 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.1% | 79.1% |
| Rolling 6-Month Win Rate | 65.6% | 73.4% |
| Rolling 12-Month Win Rate | 63.9% | 77.8% |
| Rolling 3-Year Win Rate | 88.0% | 92.0% |
| Rolling 5-Year Win Rate | 82.6% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| 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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