| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-06-20 | 2025-06-20 |
| Time Elapsed | 25 years, 5 months | 25 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $225,199.97 | $691,784.12 |
| CAGR % | 3.24% | 7.89% |
| Max % Drawdown | (60.26%) | (24.14%) |
| Standard Deviation | 4.42% | 2.93% |
| Annualized Sharpe | 0.09 | 0.51 |
| MAR Ratio | 0.05 | 0.33 |
| Win Rate % | 39.3% | 61.1% |
| Avg Win / Loss Ratio | 2.27 | 2.67 |
| Expectancy | $0.28 | $1.24 |
| Avg Win % | 19.57% | 24.36% |
| Avg Loss % | (6.45%) | (6.20%) |
| Longest Drawdown Duration | 203.4 months | 32.9 months |
| Avg Trades Per Year | 1.10 | 0.71 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $225,199.97 | $691,784.12 |
| Open Equity | $0.00 | $8,749.00 |
| Gross Profit | $303,703.87 | $731,934.07 |
| Gross Loss | ($206,835.83) | ($174,306.09) |
| Net Profit | $96,868.04 | $557,627.98 |
| Net Long Profit | $96,868.04 | $557,627.98 |
| 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 | $28,331.93 | $25,407.13 |
| 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 | 1,264.0 | 1,390.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.05 | 0.33 |
| Calmar Ratio | 0.06 | 0.37 |
| Modified Sharpe Ratio | 0.28 | 0.80 |
| Robust Sharpe Ratio | 0.07 | 0.82 |
| R-Squared | 0.1175 | 0.9822 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 3.24% | 7.89% |
| RAR | 1.09% | 8.36% |
| Profit Factor | 1.47 | 4.20 |
| Percent Profit Factor | 1.96 | 6.17 |
| Expectancy | $0.28 | $1.24 |
| Percentage Expectancy | 0.04 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (60.26%) | (24.14%) |
| Longest Drawdown Duration | 203.4 months | 32.9 months |
| Max Monthly % Drawdown | (58.84%) | (21.48%) |
| Avg of Top-5 Max % Drawdowns | (30.52%) | (18.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 55.8 months | 27.6 months |
| Avg of All % Drawdowns | (3.67%) | (1.66%) |
| Std Dev of All % Drawdowns | 5.66% | 3.00% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (43.60%) | (12.79%) |
| Closed-Equity Max Monthly % Drawdown | (43.56%) | (12.52%) |
| Closed-Equity Avg of All % Drawdown | (19.00%) | (8.30%) |
| Closed-Equity Std Dev of All % Drawdown | 17.80% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 39.3% | 61.1% |
| Lose Rate % | 60.7% | 38.9% |
| Winning Trades | 11 | 11 |
| Losing Trades | 17 | 7 |
| Total Trades | 28 | 18 |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 7 | 2 |
| Avg Trade Duration | 191.5 days | 379.2 days |
| Avg Winning Trade Duration | 357.3 days | 589.6 days |
| Avg Losing Trade Duration | 84.2 days | 48.4 days |
| Largest Winning Trade | $106,576.40 | $188,616.32 |
| Largest Losing Trade | ($34,666.80) | ($52,117.18) |
| Largest Win as % of Net Profit | 110.02% | 33.82% |
| Avg Win | $27,609.44 | $66,539.46 |
| Avg Loss | ($12,166.81) | ($24,900.87) |
| Avg Win / Loss Ratio | 2.27 | 2.67 |
| Avg Trade | $3,459.57 | $30,979.33 |
| Avg Win % | 19.57% | 24.36% |
| Avg Loss % | (6.45%) | (6.20%) |
| Avg Trade % | 3.77% | 12.48% |
| Avg Risk % | (98.65%) | (99.29%) |
| Avg Trades Per Year | 1.10 | 0.71 |
| Avg Trades Per Month | 0.09 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 71.6% | 75.2% |
| Losing Months % | 28.4% | 24.8% |
| Winning Months | 219 | 230 |
| Losing Months | 87 | 76 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 22 | 21 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 57.7% | 73.1% |
| Losing Years % | 42.3% | 26.9% |
| Winning Years | 15 | 19 |
| Losing Years | 11 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 4 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 63.5% | 74.7% |
| Rolling 6-Month Win Rate | 54.8% | 75.1% |
| Rolling 12-Month Win Rate | 51.2% | 74.6% |
| Rolling 3-Year Win Rate | 62.5% | 100.0% |
| Rolling 5-Year Win Rate | 63.6% | 100.0% |
| Rolling 10-Year Win Rate | 52.9% | 100.0% |
| Rolling 3-Month Periods | 304 | 304 |
| Rolling 6-Month Periods | 301 | 301 |
| Rolling 12-Month Periods | 295 | 295 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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