| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2024-12-06 | 2024-12-06 |
| Time Elapsed | 24 years, 11 months | 24 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $167,694.84 | $503,938.95 |
| CAGR % | 2.10% | 6.70% |
| Max % Drawdown | (41.31%) | (14.90%) |
| Standard Deviation | 3.07% | 1.97% |
| Annualized Sharpe | (0.03) | 0.55 |
| MAR Ratio | 0.05 | 0.45 |
| Win Rate % | 76.0% | 47.2% |
| Avg Win / Loss Ratio | 0.62 | 3.43 |
| Expectancy | $0.23 | $1.09 |
| Avg Win % | 7.37% | 4.28% |
| Avg Loss % | (12.13%) | (0.93%) |
| Longest Drawdown Duration | 202.6 months | 30.5 months |
| Avg Trades Per Year | 1.00 | 4.25 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $167,694.84 | $503,938.95 |
| Open Equity | $0.00 | $49,490.56 |
| Gross Profit | $138,592.44 | $483,946.44 |
| Gross Loss | ($70,897.60) | ($158,238.91) |
| Net Profit | $67,694.84 | $325,707.53 |
| Net Long Profit | $67,694.84 | $325,707.53 |
| 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 | $0.00 | $28,740.86 |
| 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 | 843.0 | 1,120.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.05 | 0.45 |
| Calmar Ratio | 0.05 | 0.62 |
| Modified Sharpe Ratio | 0.25 | 0.98 |
| Robust Sharpe Ratio | 0.23 | 0.88 |
| R-Squared | 0.5912 | 0.9377 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.10% | 6.70% |
| RAR | 2.47% | 6.00% |
| Profit Factor | 1.95 | 3.06 |
| Percent Profit Factor | 1.93 | 4.11 |
| Expectancy | $0.23 | $1.09 |
| Percentage Expectancy | 0.03 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (14.90%) |
| Longest Drawdown Duration | 202.6 months | 30.5 months |
| Max Monthly % Drawdown | (38.17%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 24.2 months |
| Avg of All % Drawdowns | (2.91%) | (1.36%) |
| Std Dev of All % Drawdowns | 6.31% | 2.10% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (17.27%) | (2.80%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 2.71% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 47.2% |
| Lose Rate % | 24.0% | 52.8% |
| Winning Trades | 19 | 50 |
| Losing Trades | 6 | 56 |
| Total Trades | 25 | 106 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 183.0 days | 284.0 days |
| Avg Winning Trade Duration | 183.9 days | 514.2 days |
| Avg Losing Trade Duration | 184.0 days | 78.4 days |
| Largest Winning Trade | $20,747.09 | $61,124.70 |
| Largest Losing Trade | ($28,267.54) | ($9,079.40) |
| Largest Win as % of Net Profit | 30.65% | 18.77% |
| Avg Win | $7,294.34 | $9,678.93 |
| Avg Loss | ($11,816.27) | ($2,825.69) |
| Avg Win / Loss Ratio | 0.62 | 3.43 |
| Avg Trade | $2,707.79 | $3,072.71 |
| Avg Win % | 7.37% | 4.28% |
| Avg Loss % | (12.13%) | (0.93%) |
| Avg Trade % | 2.69% | 1.53% |
| Avg Risk % | (98.25%) | (18.07%) |
| Avg Trades Per Year | 1.00 | 4.25 |
| Avg Trades Per Month | 0.08 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.0% | 65.7% |
| Losing Months % | 20.0% | 34.3% |
| Winning Months | 240 | 197 |
| Losing Months | 60 | 103 |
| Total Months | 300 | 300 |
| Max Consecutive Winning Months | 23 | 11 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.0% | 84.0% |
| Losing Years % | 24.0% | 16.0% |
| Winning Years | 19 | 21 |
| Losing Years | 6 | 4 |
| Total Years | 25 | 25 |
| Max Consecutive Winning Years | 10 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.5% | 67.1% |
| Rolling 6-Month Win Rate | 68.1% | 75.3% |
| Rolling 12-Month Win Rate | 72.0% | 78.2% |
| Rolling 3-Year Win Rate | 69.6% | 100.0% |
| Rolling 5-Year Win Rate | 71.4% | 100.0% |
| Rolling 10-Year Win Rate | 81.2% | 100.0% |
| Rolling 3-Month Periods | 298 | 298 |
| Rolling 6-Month Periods | 295 | 295 |
| Rolling 12-Month Periods | 289 | 289 |
| Rolling 3-Year Periods | 23 | 23 |
| Rolling 5-Year Periods | 21 | 21 |
| Rolling 10-Year Periods | 16 | 16 |
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