| 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 | $1,000,180.81 |
| CAGR % | 2.81% | 9.30% |
| Max % Drawdown | (41.31%) | (21.03%) |
| Standard Deviation | 3.05% | 3.56% |
| Annualized Sharpe | 0.04 | 0.54 |
| MAR Ratio | 0.07 | 0.44 |
| Win Rate % | 76.9% | 55.0% |
| Avg Win / Loss Ratio | 0.74 | 3.85 |
| Expectancy | $0.34 | $1.67 |
| Avg Win % | 8.12% | 27.89% |
| Avg Loss % | (12.13%) | (3.68%) |
| Longest Drawdown Duration | 202.6 months | 45.9 months |
| Avg Trades Per Year | 1.00 | 0.77 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $1,000,180.81 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $175,878.52 | $1,044,934.50 |
| Gross Loss | ($70,897.60) | ($222,099.67) |
| Net Profit | $104,980.92 | $822,834.83 |
| Net Long Profit | $104,980.92 | $822,834.83 |
| 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 | $77,345.97 |
| 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 | 2,087.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.07 | 0.44 |
| Calmar Ratio | 0.07 | 0.44 |
| Modified Sharpe Ratio | 0.32 | 0.78 |
| Robust Sharpe Ratio | 0.26 | 0.74 |
| R-Squared | 0.6326 | 0.9153 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.81% | 9.30% |
| RAR | 2.72% | 9.13% |
| Profit Factor | 2.48 | 4.70 |
| Percent Profit Factor | 2.23 | 9.25 |
| Expectancy | $0.34 | $1.67 |
| Percentage Expectancy | 0.04 | 0.14 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (21.03%) |
| Longest Drawdown Duration | 202.6 months | 45.9 months |
| Max Monthly % Drawdown | (38.17%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 30.4 months |
| Avg of All % Drawdowns | (2.42%) | (6.65%) |
| Std Dev of All % Drawdowns | 5.53% | 5.36% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (17.27%) | (5.55%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 55.0% |
| Lose Rate % | 23.1% | 45.0% |
| Winning Trades | 20 | 11 |
| Losing Trades | 6 | 9 |
| Total Trades | 26 | 20 |
| Max Consecutive Wins | 10 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Avg Trade Duration | 184.0 days | 336.1 days |
| Avg Winning Trade Duration | 184.1 days | 541.9 days |
| Avg Losing Trade Duration | 184.0 days | 84.4 days |
| Largest Winning Trade | $37,286.08 | $216,040.20 |
| Largest Losing Trade | ($28,267.54) | ($55,980.54) |
| Largest Win as % of Net Profit | 35.52% | 26.26% |
| Avg Win | $8,793.93 | $94,994.05 |
| Avg Loss | ($11,816.27) | ($24,677.74) |
| Avg Win / Loss Ratio | 0.74 | 3.85 |
| Avg Trade | $4,037.73 | $41,141.74 |
| Avg Win % | 8.12% | 27.89% |
| Avg Loss % | (12.13%) | (3.68%) |
| Avg Trade % | 3.45% | 13.68% |
| Avg Risk % | (98.16%) | (99.48%) |
| Avg Trades Per Year | 1.00 | 0.77 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.7% | 74.6% |
| Losing Months % | 19.3% | 25.4% |
| Winning Months | 251 | 232 |
| Losing Months | 60 | 79 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 23 | 18 |
| Max Consecutive Losing Months | 5 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 65.4% |
| Losing Years % | 23.1% | 34.6% |
| Winning Years | 20 | 17 |
| Losing Years | 6 | 9 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 10 | 7 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.4% | 69.6% |
| Rolling 6-Month Win Rate | 69.0% | 69.9% |
| Rolling 12-Month Win Rate | 73.0% | 73.7% |
| Rolling 3-Year Win Rate | 70.8% | 91.7% |
| Rolling 5-Year Win Rate | 72.7% | 100.0% |
| Rolling 10-Year Win Rate | 82.4% | 100.0% |
| 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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