| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-07-11 | 2025-07-11 |
| Time Elapsed | 25 years, 6 months | 25 years, 6 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $186,401.06 | $511,798.76 |
| CAGR % | 2.47% | 6.61% |
| Max % Drawdown | (41.31%) | (14.90%) |
| Standard Deviation | 3.06% | 1.96% |
| Annualized Sharpe | 0.00 | 0.54 |
| MAR Ratio | 0.06 | 0.44 |
| Win Rate % | 76.0% | 48.2% |
| Avg Win / Loss Ratio | 0.62 | 3.44 |
| Expectancy | $0.23 | $1.14 |
| Avg Win % | 7.37% | 4.18% |
| Avg Loss % | (12.13%) | (0.93%) |
| Longest Drawdown Duration | 202.6 months | 30.5 months |
| Avg Trades Per Year | 0.98 | 4.31 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $186,401.06 | $511,798.76 |
| Open Equity | $18,706.22 | $22,809.01 |
| Gross Profit | $138,592.44 | $518,557.13 |
| Gross Loss | ($70,897.60) | ($162,060.66) |
| Net Profit | $67,694.84 | $356,496.47 |
| Net Long Profit | $67,694.84 | $356,496.47 |
| 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 | $32,493.28 |
| 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 | 1,169.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.06 | 0.44 |
| Calmar Ratio | 0.06 | 0.61 |
| Modified Sharpe Ratio | 0.28 | 0.98 |
| Robust Sharpe Ratio | 0.25 | 0.88 |
| R-Squared | 0.6188 | 0.9407 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.47% | 6.61% |
| RAR | 2.60% | 5.96% |
| Profit Factor | 1.95 | 3.20 |
| Percent Profit Factor | 1.93 | 4.20 |
| Expectancy | $0.23 | $1.14 |
| 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 | (2.73%) | (1.36%) |
| Std Dev of All % Drawdowns | 6.00% | 2.09% |
| 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%) | (2.66%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 48.2% |
| Lose Rate % | 24.0% | 51.8% |
| Winning Trades | 19 | 53 |
| Losing Trades | 6 | 57 |
| Total Trades | 25 | 110 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 3 | 8 |
| Avg Trade Duration | 183.0 days | 283.9 days |
| Avg Winning Trade Duration | 183.9 days | 504.0 days |
| Avg Losing Trade Duration | 184.0 days | 79.2 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% | 17.15% |
| Avg Win | $7,294.34 | $9,784.10 |
| Avg Loss | ($11,816.27) | ($2,843.17) |
| Avg Win / Loss Ratio | 0.62 | 3.44 |
| Avg Trade | $2,707.79 | $3,240.88 |
| Avg Win % | 7.37% | 4.18% |
| Avg Loss % | (12.13%) | (0.93%) |
| Avg Trade % | 2.69% | 1.53% |
| Avg Risk % | (98.25%) | (18.09%) |
| Avg Trades Per Year | 0.98 | 4.31 |
| Avg Trades Per Month | 0.08 | 0.36 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.5% | 65.8% |
| Losing Months % | 19.5% | 34.2% |
| Winning Months | 247 | 202 |
| Losing Months | 60 | 105 |
| Total Months | 307 | 307 |
| Max Consecutive Winning Months | 23 | 11 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 84.6% |
| Losing Years % | 23.1% | 15.4% |
| Winning Years | 20 | 22 |
| Losing Years | 6 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 10 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.1% | 67.2% |
| Rolling 6-Month Win Rate | 68.5% | 75.2% |
| Rolling 12-Month Win Rate | 72.6% | 78.7% |
| Rolling 3-Year Win Rate | 70.8% | 100.0% |
| Rolling 5-Year Win Rate | 72.7% | 100.0% |
| Rolling 10-Year Win Rate | 82.4% | 100.0% |
| Rolling 3-Month Periods | 305 | 305 |
| Rolling 6-Month Periods | 302 | 302 |
| Rolling 12-Month Periods | 296 | 296 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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