| 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 | $484,682.35 |
| CAGR % | 9.18% | 6.07% |
| Max % Drawdown | (21.03%) | (35.30%) |
| Standard Deviation | 3.60% | 3.03% |
| Annualized Sharpe | 0.53 | 0.33 |
| MAR Ratio | 0.44 | 0.17 |
| Win Rate % | 57.1% | 76.9% |
| Avg Win / Loss Ratio | 3.69 | 1.39 |
| Expectancy | $1.68 | $0.84 |
| Avg Win % | 25.96% | 9.70% |
| Avg Loss % | (3.68%) | (7.55%) |
| Longest Drawdown Duration | 50.0 months | 37.4 months |
| Avg Trades Per Year | 0.78 | 0.97 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $1,049,717.23 | $484,682.35 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $1,093,145.76 | $418,473.88 |
| Gross Loss | ($222,099.67) | ($90,465.16) |
| Net Profit | $871,046.10 | $328,008.72 |
| Net Long Profit | $871,046.10 | $328,008.72 |
| 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 | $56,673.63 |
| 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 | 1,460.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.44 | 0.17 |
| Calmar Ratio | 0.44 | 0.20 |
| Modified Sharpe Ratio | 0.77 | 0.61 |
| Robust Sharpe Ratio | 0.71 | 0.65 |
| R-Squared | 0.9143 | 0.9665 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 9.18% | 6.07% |
| RAR | 8.91% | 6.82% |
| Profit Factor | 4.92 | 4.63 |
| Percent Profit Factor | 9.40 | 4.28 |
| Expectancy | $1.68 | $0.84 |
| Percentage Expectancy | 0.13 | 0.06 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (21.03%) | (35.30%) |
| Longest Drawdown Duration | 50.0 months | 37.4 months |
| Max Monthly % Drawdown | (21.03%) | (29.83%) |
| Avg of Top-5 Max % Drawdowns | (16.69%) | (25.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 31.4 months | 25.8 months |
| Avg of All % Drawdowns | (6.84%) | (1.78%) |
| Std Dev of All % Drawdowns | 5.78% | 4.37% |
| 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 | (4.84%) | (8.82%) |
| Closed-Equity Std Dev of All % Drawdown | 3.67% | 6.04% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 57.1% | 76.9% |
| Lose Rate % | 42.9% | 23.1% |
| Winning Trades | 12 | 20 |
| Losing Trades | 9 | 6 |
| Total Trades | 21 | 26 |
| Max Consecutive Wins | 3 | 10 |
| Max Consecutive Losses | 4 | 2 |
| Avg Trade Duration | 334.5 days | 181.2 days |
| Avg Winning Trade Duration | 522.1 days | 181.2 days |
| Avg Losing Trade Duration | 84.4 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 | 24.80% | 23.90% |
| Avg Win | $91,095.48 | $20,923.69 |
| Avg Loss | ($24,677.74) | ($15,077.53) |
| Avg Win / Loss Ratio | 3.69 | 1.39 |
| Avg Trade | $41,478.39 | $12,615.72 |
| Avg Win % | 25.96% | 9.70% |
| Avg Loss % | (3.68%) | (7.55%) |
| Avg Trade % | 13.26% | 5.72% |
| Avg Risk % | (99.46%) | (98.97%) |
| Avg Trades Per Year | 0.78 | 0.97 |
| Avg Trades Per Month | 0.07 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 73.9% | 82.0% |
| Losing Months % | 26.1% | 18.0% |
| Winning Months | 238 | 264 |
| Losing Months | 84 | 58 |
| Total Months | 322 | 322 |
| Max Consecutive Winning Months | 18 | 23 |
| Max Consecutive Losing Months | 3 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 66.7% | 77.8% |
| Losing Years % | 33.3% | 22.2% |
| Winning Years | 18 | 21 |
| Losing Years | 9 | 6 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 9 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 69.7% | 79.7% |
| Rolling 6-Month Win Rate | 69.7% | 73.8% |
| Rolling 12-Month Win Rate | 74.6% | 77.8% |
| Rolling 3-Year Win Rate | 92.0% | 92.0% |
| 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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