| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-10-09 | 2026-10-09 |
| Time Elapsed | 26 years, 9 months | 26 years, 9 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,049,717.23 | $653,357.18 |
| CAGR % | 9.18% | 7.26% |
| Max % Drawdown | (21.03%) | (10.05%) |
| Standard Deviation | 3.60% | 1.92% |
| Annualized Sharpe | 0.53 | 0.64 |
| MAR Ratio | 0.44 | 0.72 |
| Win Rate % | 57.1% | 52.4% |
| Avg Win / Loss Ratio | 3.69 | 3.20 |
| Expectancy | $1.68 | $1.20 |
| Avg Win % | 25.96% | 4.13% |
| Avg Loss % | (3.68%) | (0.97%) |
| Longest Drawdown Duration | 50.0 months | 28.1 months |
| Avg Trades Per Year | 0.78 | 3.92 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,049,717.23 | $653,357.18 |
| Open Equity | $0.00 | $120,671.79 |
| Gross Profit | $1,093,145.76 | $556,693.27 |
| Gross Loss | ($222,099.67) | ($157,994.17) |
| Net Profit | $871,046.10 | $398,699.09 |
| Net Long Profit | $871,046.10 | $398,699.09 |
| 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 | $78,671.13 | $33,986.30 |
| 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 | 2,182.0 | 4,486.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.72 |
| Calmar Ratio | 0.44 | 0.80 |
| Modified Sharpe Ratio | 0.77 | 1.09 |
| Robust Sharpe Ratio | 0.71 | 0.95 |
| R-Squared | 0.9143 | 0.9566 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.18% | 7.26% |
| RAR | 8.91% | 6.33% |
| Profit Factor | 4.92 | 3.52 |
| Percent Profit Factor | 9.40 | 4.69 |
| Expectancy | $1.68 | $1.20 |
| Percentage Expectancy | 0.13 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (10.05%) |
| Longest Drawdown Duration | 50.0 months | 28.1 months |
| Max Monthly % Drawdown | (21.03%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 31.4 months | 23.8 months |
| Avg of All % Drawdowns | (6.84%) | (1.03%) |
| Std Dev of All % Drawdowns | 5.78% | 1.72% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (10.50%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (10.42%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (4.84%) | (2.48%) |
| Closed-Equity Std Dev of All % Drawdown | 3.67% | 2.45% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.1% | 52.4% |
| Lose Rate % | 42.9% | 47.6% |
| Winning Trades | 12 | 55 |
| Losing Trades | 9 | 50 |
| Total Trades | 21 | 105 |
| Max Consecutive Wins | 3 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Avg Trade Duration | 334.5 days | 315.3 days |
| Avg Winning Trade Duration | 522.1 days | 523.9 days |
| Avg Losing Trade Duration | 84.4 days | 85.9 days |
| Largest Winning Trade | $216,040.20 | $61,124.70 |
| Largest Losing Trade | ($55,980.54) | ($8,254.00) |
| Largest Win as % of Net Profit | 24.80% | 15.33% |
| Avg Win | $91,095.48 | $10,121.70 |
| Avg Loss | ($24,677.74) | ($3,159.88) |
| Avg Win / Loss Ratio | 3.69 | 3.20 |
| Avg Trade | $41,478.39 | $3,797.13 |
| Avg Win % | 25.96% | 4.13% |
| Avg Loss % | (3.68%) | (0.97%) |
| Avg Trade % | 13.26% | 1.70% |
| Avg Risk % | (99.46%) | (4.10%) |
| Avg Trades Per Year | 0.78 | 3.92 |
| Avg Trades Per Month | 0.07 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 73.9% | 68.9% |
| Losing Months % | 26.1% | 31.1% |
| Winning Months | 238 | 222 |
| Losing Months | 84 | 100 |
| Total Months | 322 | 322 |
| Max Consecutive Winning Months | 18 | 12 |
| Max Consecutive Losing Months | 3 | 4 |
| 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 | 8 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 70.3% |
| Rolling 6-Month Win Rate | 69.7% | 75.7% |
| Rolling 12-Month Win Rate | 74.6% | 82.3% |
| 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 | 320 | 320 |
| Rolling 6-Month Periods | 317 | 317 |
| Rolling 12-Month Periods | 311 | 311 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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