| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-01-16 | 2026-01-16 |
| Time Elapsed | 26 years | 26 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $980,296.08 | $1,181,966.72 |
| CAGR % | 9.16% | 9.95% |
| Max % Drawdown | (21.03%) | (33.73%) |
| Standard Deviation | 3.56% | 3.44% |
| Annualized Sharpe | 0.53 | 0.61 |
| MAR Ratio | 0.44 | 0.30 |
| Win Rate % | 55.0% | 61.1% |
| Avg Win / Loss Ratio | 3.85 | 2.85 |
| Expectancy | $1.67 | $1.35 |
| Avg Win % | 27.89% | 16.83% |
| Avg Loss % | (3.68%) | (3.99%) |
| Longest Drawdown Duration | 47.5 months | 36.7 months |
| Avg Trades Per Year | 0.77 | 1.38 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $980,296.08 | $1,181,966.72 |
| Open Equity | ($20,095.54) | $77,368.28 |
| Gross Profit | $1,044,934.50 | $1,292,231.96 |
| Gross Loss | ($222,099.67) | ($288,990.67) |
| Net Profit | $822,834.83 | $1,003,241.29 |
| Net Long Profit | $822,834.83 | $1,003,241.29 |
| 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 | $77,556.79 | $1,357.16 |
| 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 | 11,363.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.30 |
| Calmar Ratio | 0.44 | 0.45 |
| Modified Sharpe Ratio | 0.77 | 0.86 |
| Robust Sharpe Ratio | 0.74 | 0.79 |
| R-Squared | 0.9147 | 0.9568 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.16% | 9.95% |
| RAR | 9.09% | 9.47% |
| Profit Factor | 4.70 | 4.47 |
| Percent Profit Factor | 9.25 | 6.62 |
| Expectancy | $1.67 | $1.35 |
| Percentage Expectancy | 0.14 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (33.73%) |
| Longest Drawdown Duration | 47.5 months | 36.7 months |
| Max Monthly % Drawdown | (21.03%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 30.7 months | 24.0 months |
| Avg of All % Drawdowns | (6.65%) | (2.05%) |
| Std Dev of All % Drawdowns | 5.36% | 4.24% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (5.55%) | (8.58%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 4.42% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 55.0% | 61.1% |
| Lose Rate % | 45.0% | 38.9% |
| Winning Trades | 11 | 22 |
| Losing Trades | 9 | 14 |
| Total Trades | 20 | 36 |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Avg Trade Duration | 336.1 days | 261.3 days |
| Avg Winning Trade Duration | 541.9 days | 327.7 days |
| Avg Losing Trade Duration | 84.4 days | 156.9 days |
| Largest Winning Trade | $216,040.20 | $255,900.48 |
| Largest Losing Trade | ($55,980.54) | ($51,833.25) |
| Largest Win as % of Net Profit | 26.26% | 25.51% |
| Avg Win | $94,994.05 | $58,737.82 |
| Avg Loss | ($24,677.74) | ($20,642.19) |
| Avg Win / Loss Ratio | 3.85 | 2.85 |
| Avg Trade | $41,141.74 | $27,867.81 |
| Avg Win % | 27.89% | 16.83% |
| Avg Loss % | (3.68%) | (3.99%) |
| Avg Trade % | 13.68% | 8.73% |
| Avg Risk % | (99.48%) | (99.49%) |
| Avg Trades Per Year | 0.77 | 1.38 |
| Avg Trades Per Month | 0.06 | 0.12 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 74.4% | 65.8% |
| Losing Months % | 25.6% | 34.2% |
| Winning Months | 233 | 206 |
| Losing Months | 80 | 107 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 18 | 15 |
| Max Consecutive Losing Months | 3 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 66.7% | 81.5% |
| Losing Years % | 33.3% | 18.5% |
| Winning Years | 18 | 22 |
| Losing Years | 9 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.1% | 69.8% |
| Rolling 6-Month Win Rate | 69.5% | 72.7% |
| Rolling 12-Month Win Rate | 73.5% | 77.2% |
| Rolling 3-Year Win Rate | 92.0% | 100.0% |
| Rolling 5-Year Win Rate | 95.7% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 311 | 311 |
| Rolling 6-Month Periods | 308 | 308 |
| Rolling 12-Month Periods | 302 | 302 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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