| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-11-15 | 2024-11-15 |
| Time Elapsed | 24 years, 10 months | 24 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,018,312.45 | $494,246.55 |
| CAGR % | 9.78% | 6.64% |
| Max % Drawdown | (21.03%) | (14.90%) |
| Standard Deviation | 3.58% | 1.97% |
| Annualized Sharpe | 0.58 | 0.54 |
| MAR Ratio | 0.47 | 0.45 |
| Win Rate % | 55.6% | 46.7% |
| Avg Win / Loss Ratio | 3.66 | 3.42 |
| Expectancy | $1.59 | $1.06 |
| Avg Win % | 29.42% | 4.32% |
| Avg Loss % | (3.92%) | (0.93%) |
| Longest Drawdown Duration | 35.9 months | 30.5 months |
| Avg Trades Per Year | 0.72 | 4.22 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,018,312.45 | $494,246.55 |
| Open Equity | $129,152.11 | $50,142.39 |
| Gross Profit | $933,870.76 | $473,884.79 |
| Gross Loss | ($203,958.92) | ($158,238.91) |
| Net Profit | $729,911.84 | $315,645.88 |
| Net Long Profit | $729,911.84 | $315,645.88 |
| 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 | $59,248.50 | $28,458.27 |
| 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 | 1,893.0 | 1,112.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.47 | 0.45 |
| Calmar Ratio | 0.47 | 0.61 |
| Modified Sharpe Ratio | 0.82 | 0.98 |
| Robust Sharpe Ratio | 0.76 | 0.88 |
| R-Squared | 0.9175 | 0.9373 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.78% | 6.64% |
| RAR | 9.43% | 6.00% |
| Profit Factor | 4.58 | 2.99 |
| Percent Profit Factor | 9.38 | 4.07 |
| Expectancy | $1.59 | $1.06 |
| Percentage Expectancy | 0.15 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (14.90%) |
| Longest Drawdown Duration | 35.9 months | 30.5 months |
| Max Monthly % Drawdown | (21.03%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.9 months | 24.2 months |
| Avg of All % Drawdowns | (6.65%) | (1.36%) |
| Std Dev of All % Drawdowns | 5.36% | 2.10% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (6.50%) | (2.80%) |
| Closed-Equity Std Dev of All % Drawdown | 4.03% | 2.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 55.6% | 46.7% |
| Lose Rate % | 44.4% | 53.3% |
| Winning Trades | 10 | 49 |
| Losing Trades | 8 | 56 |
| Total Trades | 18 | 105 |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Avg Trade Duration | 353.1 days | 283.2 days |
| Avg Winning Trade Duration | 565.9 days | 517.2 days |
| Avg Losing Trade Duration | 87.1 days | 78.4 days |
| Largest Winning Trade | $216,040.20 | $61,124.70 |
| Largest Losing Trade | ($55,980.54) | ($9,079.40) |
| Largest Win as % of Net Profit | 29.60% | 19.36% |
| Avg Win | $93,387.08 | $9,671.12 |
| Avg Loss | ($25,494.86) | ($2,825.69) |
| Avg Win / Loss Ratio | 3.66 | 3.42 |
| Avg Trade | $40,550.66 | $3,006.15 |
| Avg Win % | 29.42% | 4.32% |
| Avg Loss % | (3.92%) | (0.93%) |
| Avg Trade % | 14.60% | 1.52% |
| Avg Risk % | (99.52%) | (18.07%) |
| Avg Trades Per Year | 0.72 | 4.22 |
| Avg Trades Per Month | 0.06 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.6% | 65.9% |
| Losing Months % | 25.4% | 34.1% |
| Winning Months | 223 | 197 |
| Losing Months | 76 | 102 |
| Total Months | 299 | 299 |
| Max Consecutive Winning Months | 18 | 11 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 68.0% | 84.0% |
| Losing Years % | 32.0% | 16.0% |
| Winning Years | 17 | 21 |
| Losing Years | 8 | 4 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 70.0% | 67.0% |
| Rolling 6-Month Win Rate | 71.1% | 75.2% |
| Rolling 12-Month Win Rate | 74.3% | 78.1% |
| Rolling 3-Year Win Rate | 91.3% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 297 | 297 |
| Rolling 6-Month Periods | 294 | 294 |
| Rolling 12-Month Periods | 288 | 288 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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