| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-21 | 2025-04-21 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,002,456.42 | $492,493.58 |
| CAGR % | 9.54% | 6.51% |
| Max % Drawdown | (21.03%) | (14.90%) |
| Standard Deviation | 3.60% | 1.97% |
| Annualized Sharpe | 0.56 | 0.52 |
| MAR Ratio | 0.45 | 0.44 |
| Win Rate % | 57.9% | 48.6% |
| Avg Win / Loss Ratio | 3.73 | 3.46 |
| Expectancy | $1.74 | $1.17 |
| Avg Win % | 27.89% | 4.18% |
| Avg Loss % | (3.92%) | (0.93%) |
| Longest Drawdown Duration | 38.7 months | 30.5 months |
| Avg Trades Per Year | 0.75 | 4.31 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,002,456.42 | $492,493.58 |
| Open Equity | $0.00 | $1,569.37 |
| Gross Profit | $1,044,934.50 | $518,557.13 |
| Gross Loss | ($203,958.92) | ($158,238.91) |
| Net Profit | $840,975.58 | $360,318.22 |
| Net Long Profit | $840,975.58 | $360,318.22 |
| 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 | $61,480.84 | $30,605.99 |
| 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 | 1,990.0 | 1,144.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.44 |
| Calmar Ratio | 0.45 | 0.60 |
| Modified Sharpe Ratio | 0.79 | 0.96 |
| Robust Sharpe Ratio | 0.75 | 0.88 |
| R-Squared | 0.9168 | 0.9396 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.54% | 6.51% |
| RAR | 9.31% | 5.98% |
| Profit Factor | 5.12 | 3.28 |
| Percent Profit Factor | 9.78 | 4.26 |
| Expectancy | $1.74 | $1.17 |
| Percentage Expectancy | 0.15 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (14.90%) |
| Longest Drawdown Duration | 38.7 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 | 28.9 months | 24.2 months |
| Avg of All % Drawdowns | (6.65%) | (1.36%) |
| Std Dev of All % Drawdowns | 5.36% | 2.09% |
| 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 | (5.45%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.9% | 48.6% |
| Lose Rate % | 42.1% | 51.4% |
| Winning Trades | 11 | 53 |
| Losing Trades | 8 | 56 |
| Total Trades | 19 | 109 |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Avg Trade Duration | 350.4 days | 285.4 days |
| Avg Winning Trade Duration | 541.9 days | 504.0 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 | 25.69% | 16.96% |
| Avg Win | $94,994.05 | $9,784.10 |
| Avg Loss | ($25,494.86) | ($2,825.69) |
| Avg Win / Loss Ratio | 3.73 | 3.46 |
| Avg Trade | $44,261.87 | $3,305.67 |
| Avg Win % | 27.89% | 4.18% |
| Avg Loss % | (3.92%) | (0.93%) |
| Avg Trade % | 14.49% | 1.55% |
| Avg Risk % | (99.50%) | (18.09%) |
| Avg Trades Per Year | 0.75 | 4.31 |
| Avg Trades Per Month | 0.06 | 0.36 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.3% | 65.5% |
| Losing Months % | 25.7% | 34.5% |
| Winning Months | 226 | 199 |
| Losing Months | 78 | 105 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 18 | 11 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 65.4% | 80.8% |
| Losing Years % | 34.6% | 19.2% |
| Winning Years | 17 | 21 |
| Losing Years | 9 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 67.2% |
| Rolling 6-Month Win Rate | 70.6% | 74.9% |
| Rolling 12-Month Win Rate | 74.4% | 78.5% |
| Rolling 3-Year Win Rate | 91.7% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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