| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $167,694.84 | $107,044.12 |
| CAGR % | 2.09% | 0.27% |
| Max % Drawdown | (41.31%) | (42.03%) |
| Standard Deviation | 3.06% | 2.32% |
| Annualized Sharpe | (0.03) | (0.29) |
| MAR Ratio | 0.05 | 0.01 |
| Win Rate % | 76.0% | 77.6% |
| Avg Win / Loss Ratio | 0.62 | 0.33 |
| Expectancy | $0.23 | $0.03 |
| Avg Win % | 7.37% | 0.98% |
| Avg Loss % | (12.13%) | (2.82%) |
| Longest Drawdown Duration | 202.6 months | 278.8 months |
| Avg Trades Per Year | 0.00 | 3.92 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $167,694.84 | $107,044.12 |
| Open Equity | $0.00 | ($311.43) |
| Gross Profit | $138,592.44 | $67,041.59 |
| Gross Loss | ($70,897.60) | ($59,686.04) |
| Net Profit | $67,694.84 | $7,355.56 |
| Net Long Profit | $67,694.84 | $7,355.56 |
| 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 | $0.00 |
| 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 | 1,820.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.05 | 0.01 |
| Calmar Ratio | 0.05 | 0.01 |
| Modified Sharpe Ratio | 0.25 | 0.08 |
| Robust Sharpe Ratio | 0.23 | 0.03 |
| R-Squared | 0.5949 | 0.0226 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.09% | 0.27% |
| RAR | 2.48% | 0.21% |
| Profit Factor | 1.95 | 1.12 |
| Percent Profit Factor | 1.93 | 1.21 |
| Expectancy | $0.23 | $0.03 |
| Percentage Expectancy | 0.03 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (42.03%) |
| Longest Drawdown Duration | 202.6 months | 278.8 months |
| Max Monthly % Drawdown | (38.17%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (9.14%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 57.7 months |
| Avg of All % Drawdowns | (2.91%) | (2.74%) |
| Std Dev of All % Drawdowns | 6.31% | 10.13% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (17.27%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 77.6% |
| Lose Rate % | 24.0% | 22.4% |
| Winning Trades | 19 | 76 |
| Losing Trades | 6 | 22 |
| Total Trades | 25 | 98 |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 183.0 days | 141.7 days |
| Avg Winning Trade Duration | 183.9 days | 83.9 days |
| Avg Losing Trade Duration | 184.0 days | 341.3 days |
| Largest Winning Trade | $20,747.09 | $3,296.90 |
| Largest Losing Trade | ($28,267.54) | ($7,363.83) |
| Largest Win as % of Net Profit | 30.65% | 44.82% |
| Avg Win | $7,294.34 | $882.13 |
| Avg Loss | ($11,816.27) | ($2,713.00) |
| Avg Win / Loss Ratio | 0.62 | 0.33 |
| Avg Trade | $2,707.79 | $75.06 |
| Avg Win % | 7.37% | 0.98% |
| Avg Loss % | (12.13%) | (2.82%) |
| Avg Trade % | 2.69% | 0.13% |
| Avg Risk % | (98.25%) | (18.98%) |
| Avg Trades Per Year | 0.00 | 3.92 |
| Avg Trades Per Month | 0.08 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.1% | 65.4% |
| Losing Months % | 19.9% | 34.6% |
| Winning Months | 241 | 197 |
| Losing Months | 60 | 104 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 23 | 23 |
| Max Consecutive Losing Months | 5 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 57.7% |
| Losing Years % | 23.1% | 42.3% |
| Winning Years | 20 | 15 |
| Losing Years | 6 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 10 | 4 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 73.6% | 68.2% |
| Rolling 6-Month Win Rate | 68.2% | 68.9% |
| Rolling 12-Month Win Rate | 72.1% | 62.1% |
| Rolling 3-Year Win Rate | 70.8% | 70.8% |
| Rolling 5-Year Win Rate | 72.7% | 63.6% |
| Rolling 10-Year Win Rate | 82.4% | 47.1% |
| Rolling 3-Month Periods | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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