| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-11-21 | 2025-11-21 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $999,560.93 | $326,568.32 |
| CAGR % | 9.30% | 4.68% |
| Max % Drawdown | (21.03%) | (14.87%) |
| Standard Deviation | 3.56% | 1.42% |
| Annualized Sharpe | 0.54 | 0.35 |
| MAR Ratio | 0.44 | 0.31 |
| Win Rate % | 55.0% | 68.8% |
| Avg Win / Loss Ratio | 3.85 | 2.10 |
| Expectancy | $1.67 | $1.13 |
| Avg Win % | 27.89% | 11.80% |
| Avg Loss % | (3.68%) | (3.22%) |
| Longest Drawdown Duration | 45.7 months | 58.6 months |
| Avg Trades Per Year | 0.77 | 0.62 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $999,560.93 | $326,568.32 |
| Open Equity | $0.00 | $35,621.39 |
| Gross Profit | $1,044,934.50 | $221,289.47 |
| Gross Loss | ($222,099.67) | ($47,865.59) |
| Net Profit | $822,834.83 | $173,423.88 |
| Net Long Profit | $822,834.83 | $173,423.88 |
| 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 | $76,726.10 | $17,523.05 |
| 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 | 2,087.0 | 12,205.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.31 |
| Calmar Ratio | 0.44 | 0.34 |
| Modified Sharpe Ratio | 0.78 | 0.95 |
| Robust Sharpe Ratio | 0.74 | 0.99 |
| R-Squared | 0.9154 | 0.9334 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.30% | 4.68% |
| RAR | 9.14% | 4.86% |
| Profit Factor | 4.70 | 4.62 |
| Percent Profit Factor | 9.25 | 8.05 |
| Expectancy | $1.67 | $1.13 |
| Percentage Expectancy | 0.14 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (14.87%) |
| Longest Drawdown Duration | 45.7 months | 58.6 months |
| Max Monthly % Drawdown | (21.03%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 30.3 months | 25.2 months |
| Avg of All % Drawdowns | (6.65%) | (0.88%) |
| Std Dev of All % Drawdowns | 5.36% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (5.55%) | (6.18%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 0.47% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 55.0% | 68.8% |
| Lose Rate % | 45.0% | 31.2% |
| Winning Trades | 11 | 11 |
| Losing Trades | 9 | 5 |
| Total Trades | 20 | 16 |
| Max Consecutive Wins | 3 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 336.1 days | 417.7 days |
| Avg Winning Trade Duration | 541.9 days | 555.5 days |
| Avg Losing Trade Duration | 84.4 days | 114.6 days |
| Largest Winning Trade | $216,040.20 | $85,604.87 |
| Largest Losing Trade | ($55,980.54) | ($15,771.66) |
| Largest Win as % of Net Profit | 26.26% | 49.36% |
| Avg Win | $94,994.05 | $20,117.22 |
| Avg Loss | ($24,677.74) | ($9,573.12) |
| Avg Win / Loss Ratio | 3.85 | 2.10 |
| Avg Trade | $41,141.74 | $10,838.99 |
| Avg Win % | 27.89% | 11.80% |
| Avg Loss % | (3.68%) | (3.22%) |
| Avg Trade % | 13.68% | 7.10% |
| Avg Risk % | (99.48%) | (99.94%) |
| Avg Trades Per Year | 0.77 | 0.62 |
| Avg Trades Per Month | 0.06 | 0.05 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.6% | 69.1% |
| Losing Months % | 25.4% | 30.9% |
| Winning Months | 232 | 215 |
| Losing Months | 79 | 96 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 18 | 12 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 65.4% | 73.1% |
| Losing Years % | 34.6% | 26.9% |
| Winning Years | 17 | 19 |
| Losing Years | 9 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.6% | 70.2% |
| Rolling 6-Month Win Rate | 69.9% | 70.9% |
| Rolling 12-Month Win Rate | 73.7% | 75.7% |
| Rolling 3-Year Win Rate | 91.7% | 91.7% |
| Rolling 5-Year Win Rate | 100.0% | 90.9% |
| 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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