| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $972,241.08 | $718,211.71 |
| CAGR % | 9.52% | 8.21% |
| Max % Drawdown | (21.03%) | (24.14%) |
| Standard Deviation | 3.61% | 2.93% |
| Annualized Sharpe | 0.55 | 0.54 |
| MAR Ratio | 0.45 | 0.34 |
| Win Rate % | 55.6% | 58.8% |
| Avg Win / Loss Ratio | 3.66 | 2.39 |
| Expectancy | $1.59 | $0.00 |
| Avg Win % | 29.42% | 24.30% |
| Avg Loss % | (3.92%) | (6.20%) |
| Longest Drawdown Duration | 35.9 months | 32.9 months |
| Avg Trades Per Year | 0.72 | 0.68 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $972,241.08 | $718,211.71 |
| Open Equity | $83,042.28 | $175,182.15 |
| Gross Profit | $933,870.76 | $596,236.97 |
| Gross Loss | ($203,958.92) | ($174,306.09) |
| Net Profit | $729,911.84 | $421,930.88 |
| Net Long Profit | $729,911.84 | $421,930.88 |
| 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 | $59,286.96 | $21,098.68 |
| 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 | 1,335.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.34 |
| Calmar Ratio | 0.45 | 0.38 |
| Modified Sharpe Ratio | 0.79 | 0.83 |
| Robust Sharpe Ratio | 0.75 | 0.82 |
| R-Squared | 0.9175 | 0.9813 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.52% | 8.21% |
| RAR | 9.40% | 8.36% |
| Profit Factor | 4.58 | 3.42 |
| Percent Profit Factor | 9.38 | 5.60 |
| Expectancy | $1.59 | $0.00 |
| Percentage Expectancy | 0.15 | 0.12 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (24.14%) |
| Longest Drawdown Duration | 35.9 months | 32.9 months |
| Max Monthly % Drawdown | (21.03%) | (21.48%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (18.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 28.2 months | 27.6 months |
| Avg of All % Drawdowns | (6.65%) | (1.65%) |
| Std Dev of All % Drawdowns | 5.36% | 3.00% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (12.79%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (12.52%) |
| Closed-Equity Avg of All % Drawdown | (6.50%) | (9.25%) |
| Closed-Equity Std Dev of All % Drawdown | 4.03% | 3.22% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 55.6% | 58.8% |
| Lose Rate % | 44.4% | 41.2% |
| Winning Trades | 10 | 10 |
| Losing Trades | 8 | 7 |
| Total Trades | 18 | 17 |
| Max Consecutive Wins | 3 | 3 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 353.1 days | 372.8 days |
| Avg Winning Trade Duration | 565.9 days | 599.9 days |
| Avg Losing Trade Duration | 87.1 days | 48.4 days |
| Largest Winning Trade | $216,040.20 | $188,616.32 |
| Largest Losing Trade | ($55,980.54) | ($52,117.18) |
| Largest Win as % of Net Profit | 29.60% | 44.70% |
| Avg Win | $93,387.08 | $59,623.70 |
| Avg Loss | ($25,494.86) | ($24,900.87) |
| Avg Win / Loss Ratio | 3.66 | 2.39 |
| Avg Trade | $40,550.66 | $24,819.46 |
| Avg Win % | 29.42% | 24.30% |
| Avg Loss % | (3.92%) | (6.20%) |
| Avg Trade % | 14.60% | 11.74% |
| Avg Risk % | (99.52%) | (99.25%) |
| Avg Trades Per Year | 0.72 | 0.68 |
| Avg Trades Per Month | 0.06 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.4% | 75.4% |
| Losing Months % | 25.6% | 24.6% |
| Winning Months | 224 | 227 |
| Losing Months | 77 | 74 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 18 | 21 |
| Max Consecutive Losing Months | 3 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 65.4% | 76.9% |
| Losing Years % | 34.6% | 23.1% |
| Winning Years | 17 | 20 |
| Losing Years | 9 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 75.6% |
| Rolling 6-Month Win Rate | 70.9% | 76.0% |
| Rolling 12-Month Win Rate | 74.1% | 74.1% |
| 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 | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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