| 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 | $680,175.33 |
| CAGR % | 9.54% | 7.87% |
| Max % Drawdown | (21.03%) | (24.14%) |
| Standard Deviation | 3.60% | 2.94% |
| Annualized Sharpe | 0.56 | 0.51 |
| MAR Ratio | 0.45 | 0.33 |
| Win Rate % | 57.9% | 61.1% |
| Avg Win / Loss Ratio | 3.73 | 2.67 |
| Expectancy | $1.74 | $1.24 |
| Avg Win % | 27.89% | 24.36% |
| Avg Loss % | (3.92%) | (6.20%) |
| Longest Drawdown Duration | 38.7 months | 32.9 months |
| Avg Trades Per Year | 0.75 | 0.71 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,002,456.42 | $680,175.33 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $1,044,934.50 | $731,934.07 |
| Gross Loss | ($203,958.92) | ($174,306.09) |
| Net Profit | $840,975.58 | $557,627.98 |
| Net Long Profit | $840,975.58 | $557,627.98 |
| 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 | $22,547.34 |
| 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 | 1,390.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.33 |
| Calmar Ratio | 0.45 | 0.37 |
| Modified Sharpe Ratio | 0.79 | 0.80 |
| Robust Sharpe Ratio | 0.75 | 0.82 |
| R-Squared | 0.9168 | 0.9819 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.54% | 7.87% |
| RAR | 9.31% | 8.36% |
| Profit Factor | 5.12 | 4.20 |
| Percent Profit Factor | 9.78 | 6.17 |
| Expectancy | $1.74 | $1.24 |
| Percentage Expectancy | 0.15 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (24.14%) |
| Longest Drawdown Duration | 38.7 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 | 28.9 months | 27.6 months |
| Avg of All % Drawdowns | (6.65%) | (1.66%) |
| 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 | (5.45%) | (8.30%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.9% | 61.1% |
| Lose Rate % | 42.1% | 38.9% |
| Winning Trades | 11 | 11 |
| Losing Trades | 8 | 7 |
| Total Trades | 19 | 18 |
| Max Consecutive Wins | 3 | 3 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 350.4 days | 379.2 days |
| Avg Winning Trade Duration | 541.9 days | 589.6 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 | 25.69% | 33.82% |
| Avg Win | $94,994.05 | $66,539.46 |
| Avg Loss | ($25,494.86) | ($24,900.87) |
| Avg Win / Loss Ratio | 3.73 | 2.67 |
| Avg Trade | $44,261.87 | $30,979.33 |
| Avg Win % | 27.89% | 24.36% |
| Avg Loss % | (3.92%) | (6.20%) |
| Avg Trade % | 14.49% | 12.48% |
| Avg Risk % | (99.50%) | (99.29%) |
| Avg Trades Per Year | 0.75 | 0.71 |
| Avg Trades Per Month | 0.06 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.3% | 74.7% |
| Losing Months % | 25.7% | 25.3% |
| Winning Months | 226 | 227 |
| Losing Months | 78 | 77 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 18 | 21 |
| 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 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 74.8% |
| Rolling 6-Month Win Rate | 70.6% | 75.6% |
| Rolling 12-Month Win Rate | 74.4% | 74.4% |
| 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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