| 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 | $466,531.85 |
| CAGR % | 9.52% | 6.35% |
| Max % Drawdown | (21.03%) | (35.30%) |
| Standard Deviation | 3.61% | 3.04% |
| Annualized Sharpe | 0.55 | 0.36 |
| MAR Ratio | 0.45 | 0.18 |
| Win Rate % | 55.6% | 79.2% |
| Avg Win / Loss Ratio | 3.66 | 1.21 |
| Expectancy | $1.59 | $0.75 |
| Avg Win % | 29.42% | 9.92% |
| Avg Loss % | (3.92%) | (8.86%) |
| Longest Drawdown Duration | 35.9 months | 37.4 months |
| Avg Trades Per Year | 0.72 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $972,241.08 | $466,531.85 |
| Open Equity | $83,042.28 | $17,979.15 |
| Gross Profit | $933,870.76 | $393,024.35 |
| Gross Loss | ($203,958.92) | ($85,809.46) |
| Net Profit | $729,911.84 | $307,214.89 |
| Net Long Profit | $729,911.84 | $307,214.89 |
| 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 | $41,337.81 |
| 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 | 1,396.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.45 | 0.18 |
| Calmar Ratio | 0.45 | 0.21 |
| Modified Sharpe Ratio | 0.79 | 0.64 |
| Robust Sharpe Ratio | 0.75 | 0.64 |
| R-Squared | 0.9175 | 0.9594 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.52% | 6.35% |
| RAR | 9.40% | 6.72% |
| Profit Factor | 4.58 | 4.58 |
| Percent Profit Factor | 9.38 | 4.25 |
| Expectancy | $1.59 | $0.75 |
| Percentage Expectancy | 0.15 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (35.30%) |
| Longest Drawdown Duration | 35.9 months | 37.4 months |
| Max Monthly % Drawdown | (21.03%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (25.32%) |
| Avg Duration of Top-5 Longest Drawdowns | 28.2 months | 24.5 months |
| Avg of All % Drawdowns | (6.65%) | (1.68%) |
| Std Dev of All % Drawdowns | 5.36% | 4.24% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (16.57%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (16.57%) |
| Closed-Equity Avg of All % Drawdown | (6.50%) | (10.77%) |
| Closed-Equity Std Dev of All % Drawdown | 4.03% | 4.83% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 55.6% | 79.2% |
| Lose Rate % | 44.4% | 20.8% |
| Winning Trades | 10 | 19 |
| Losing Trades | 8 | 5 |
| Total Trades | 18 | 24 |
| Max Consecutive Wins | 3 | 10 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 353.1 days | 181.3 days |
| Avg Winning Trade Duration | 565.9 days | 181.3 days |
| Avg Losing Trade Duration | 87.1 days | 181.2 days |
| Largest Winning Trade | $216,040.20 | $78,378.06 |
| Largest Losing Trade | ($55,980.54) | ($34,858.81) |
| Largest Win as % of Net Profit | 29.60% | 25.51% |
| Avg Win | $93,387.08 | $20,685.49 |
| Avg Loss | ($25,494.86) | ($17,161.89) |
| Avg Win / Loss Ratio | 3.66 | 1.21 |
| Avg Trade | $40,550.66 | $12,800.62 |
| Avg Win % | 29.42% | 9.92% |
| Avg Loss % | (3.92%) | (8.86%) |
| Avg Trade % | 14.60% | 6.00% |
| Avg Risk % | (99.52%) | (99.06%) |
| Avg Trades Per Year | 0.72 | 0.96 |
| Avg Trades Per Month | 0.06 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.4% | 82.7% |
| Losing Months % | 25.6% | 17.3% |
| Winning Months | 224 | 249 |
| Losing Months | 77 | 52 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 18 | 23 |
| Max Consecutive Losing Months | 3 | 5 |
| 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 | 9 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.9% | 79.9% |
| Rolling 6-Month Win Rate | 70.9% | 74.3% |
| Rolling 12-Month Win Rate | 74.1% | 78.3% |
| Rolling 3-Year Win Rate | 91.7% | 91.7% |
| 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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