| 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 | $1,008,611.23 | $422,174.37 |
| CAGR % | 9.50% | 5.82% |
| Max % Drawdown | (21.03%) | (28.57%) |
| Standard Deviation | 3.59% | 3.06% |
| Annualized Sharpe | 0.56 | 0.31 |
| MAR Ratio | 0.45 | 0.20 |
| Win Rate % | 57.9% | 42.1% |
| Avg Win / Loss Ratio | 3.73 | 4.36 |
| Expectancy | $1.74 | $1.26 |
| Avg Win % | 27.89% | 30.88% |
| Avg Loss % | (3.92%) | (5.29%) |
| Longest Drawdown Duration | 40.7 months | 48.9 months |
| Avg Trades Per Year | 0.75 | 0.75 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,008,611.23 | $422,174.37 |
| Open Equity | $0.00 | $46,244.51 |
| Gross Profit | $1,044,934.50 | $370,996.94 |
| Gross Loss | ($203,958.92) | ($117,116.58) |
| Net Profit | $840,975.58 | $253,880.36 |
| Net Long Profit | $840,975.58 | $253,880.36 |
| 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 | $67,635.65 | $22,049.49 |
| 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 | 669.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.20 |
| Calmar Ratio | 0.45 | 0.22 |
| Modified Sharpe Ratio | 0.79 | 0.59 |
| Robust Sharpe Ratio | 0.75 | 0.49 |
| R-Squared | 0.9164 | 0.8326 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.50% | 5.82% |
| RAR | 9.26% | 5.21% |
| Profit Factor | 5.12 | 3.17 |
| Percent Profit Factor | 9.78 | 4.24 |
| Expectancy | $1.74 | $1.26 |
| Percentage Expectancy | 0.15 | 0.10 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (28.57%) |
| Longest Drawdown Duration | 40.7 months | 48.9 months |
| Max Monthly % Drawdown | (21.03%) | (26.50%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (21.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 29.3 months | 37.9 months |
| Avg of All % Drawdowns | (6.65%) | (2.81%) |
| Std Dev of All % Drawdowns | 5.36% | 4.67% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (14.59%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (14.59%) |
| Closed-Equity Avg of All % Drawdown | (5.45%) | (8.06%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 5.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.9% | 42.1% |
| Lose Rate % | 42.1% | 57.9% |
| Winning Trades | 11 | 8 |
| Losing Trades | 8 | 11 |
| Total Trades | 19 | 19 |
| Max Consecutive Wins | 3 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 350.4 days | 314.0 days |
| Avg Winning Trade Duration | 541.9 days | 608.4 days |
| Avg Losing Trade Duration | 87.1 days | 99.9 days |
| Largest Winning Trade | $216,040.20 | $126,225.36 |
| Largest Losing Trade | ($55,980.54) | ($32,828.35) |
| Largest Win as % of Net Profit | 25.69% | 49.72% |
| Avg Win | $94,994.05 | $46,374.62 |
| Avg Loss | ($25,494.86) | ($10,646.96) |
| Avg Win / Loss Ratio | 3.73 | 4.36 |
| Avg Trade | $44,261.87 | $13,362.12 |
| Avg Win % | 27.89% | 30.88% |
| Avg Loss % | (3.92%) | (5.29%) |
| Avg Trade % | 14.49% | 9.94% |
| Avg Risk % | (99.50%) | (98.26%) |
| Avg Trades Per Year | 0.75 | 0.75 |
| Avg Trades Per Month | 0.06 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.5% | 71.9% |
| Losing Months % | 25.5% | 28.1% |
| Winning Months | 228 | 220 |
| Losing Months | 78 | 86 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 18 | 22 |
| Max Consecutive Losing Months | 3 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 65.4% | 57.7% |
| Losing Years % | 34.6% | 42.3% |
| Winning Years | 17 | 15 |
| Losing Years | 9 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 5 |
| Max Consecutive Losing Years | 2 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 69.4% |
| Rolling 6-Month Win Rate | 70.4% | 64.8% |
| Rolling 12-Month Win Rate | 74.6% | 63.1% |
| Rolling 3-Year Win Rate | 91.7% | 87.5% |
| Rolling 5-Year Win Rate | 100.0% | 81.8% |
| Rolling 10-Year Win Rate | 100.0% | 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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