| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-11-28 | 2025-11-28 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $237,408.88 |
| CAGR % | 2.81% | 3.39% |
| Max % Drawdown | (41.31%) | (60.26%) |
| Standard Deviation | 3.05% | 4.39% |
| Annualized Sharpe | 0.04 | 0.10 |
| MAR Ratio | 0.07 | 0.06 |
| Win Rate % | 76.9% | 39.3% |
| Avg Win / Loss Ratio | 0.74 | 2.27 |
| Expectancy | $0.34 | $0.28 |
| Avg Win % | 8.12% | 19.57% |
| Avg Loss % | (12.13%) | (6.45%) |
| Longest Drawdown Duration | 202.6 months | 208.7 months |
| Avg Trades Per Year | 1.00 | 1.08 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $237,408.88 |
| Open Equity | $0.00 | $11,956.80 |
| Gross Profit | $175,878.52 | $303,703.87 |
| Gross Loss | ($70,897.60) | ($206,835.83) |
| Net Profit | $104,980.92 | $96,868.04 |
| Net Long Profit | $104,980.92 | $96,868.04 |
| 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 | $28,584.04 |
| 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 | 856.0 | 1,264.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.07 | 0.06 |
| Calmar Ratio | 0.07 | 0.06 |
| Modified Sharpe Ratio | 0.32 | 0.30 |
| Robust Sharpe Ratio | 0.26 | 0.08 |
| R-Squared | 0.6326 | 0.1329 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.81% | 3.39% |
| RAR | 2.72% | 1.15% |
| Profit Factor | 2.48 | 1.47 |
| Percent Profit Factor | 2.23 | 1.96 |
| Expectancy | $0.34 | $0.28 |
| Percentage Expectancy | 0.04 | 0.04 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (60.26%) |
| Longest Drawdown Duration | 202.6 months | 208.7 months |
| Max Monthly % Drawdown | (38.17%) | (58.84%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (30.52%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 56.9 months |
| Avg of All % Drawdowns | (2.42%) | (3.67%) |
| Std Dev of All % Drawdowns | 5.53% | 5.66% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (43.60%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (43.56%) |
| Closed-Equity Avg of All % Drawdown | (17.27%) | (19.00%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 17.80% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 39.3% |
| Lose Rate % | 23.1% | 60.7% |
| Winning Trades | 20 | 11 |
| Losing Trades | 6 | 17 |
| Total Trades | 26 | 28 |
| Max Consecutive Wins | 10 | 4 |
| Max Consecutive Losses | 3 | 7 |
| Avg Trade Duration | 184.0 days | 191.5 days |
| Avg Winning Trade Duration | 184.1 days | 357.3 days |
| Avg Losing Trade Duration | 184.0 days | 84.2 days |
| Largest Winning Trade | $37,286.08 | $106,576.40 |
| Largest Losing Trade | ($28,267.54) | ($34,666.80) |
| Largest Win as % of Net Profit | 35.52% | 110.02% |
| Avg Win | $8,793.93 | $27,609.44 |
| Avg Loss | ($11,816.27) | ($12,166.81) |
| Avg Win / Loss Ratio | 0.74 | 2.27 |
| Avg Trade | $4,037.73 | $3,459.57 |
| Avg Win % | 8.12% | 19.57% |
| Avg Loss % | (12.13%) | (6.45%) |
| Avg Trade % | 3.45% | 3.77% |
| Avg Risk % | (98.16%) | (98.65%) |
| Avg Trades Per Year | 1.00 | 1.08 |
| Avg Trades Per Month | 0.08 | 0.09 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.7% | 71.4% |
| Losing Months % | 19.3% | 28.6% |
| Winning Months | 251 | 222 |
| Losing Months | 60 | 89 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 23 | 22 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 61.5% |
| Losing Years % | 23.1% | 38.5% |
| Winning Years | 20 | 16 |
| Losing Years | 6 | 10 |
| 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 | 74.4% | 64.1% |
| Rolling 6-Month Win Rate | 69.0% | 54.6% |
| Rolling 12-Month Win Rate | 73.0% | 51.7% |
| Rolling 3-Year Win Rate | 70.8% | 66.7% |
| Rolling 5-Year Win Rate | 72.7% | 63.6% |
| Rolling 10-Year Win Rate | 82.4% | 52.9% |
| Rolling 3-Month Periods | 309 | 309 |
| Rolling 6-Month Periods | 306 | 306 |
| Rolling 12-Month Periods | 300 | 300 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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