| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-02-13 | 2026-02-13 |
| Time Elapsed | 26 years, 1 month | 26 years, 1 month |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $1,231,413.68 |
| CAGR % | 2.79% | 10.09% |
| Max % Drawdown | (41.31%) | (33.73%) |
| Standard Deviation | 3.03% | 3.44% |
| Annualized Sharpe | 0.03 | 0.62 |
| MAR Ratio | 0.07 | 0.30 |
| Win Rate % | 76.9% | 61.1% |
| Avg Win / Loss Ratio | 0.74 | 2.85 |
| Expectancy | $0.34 | $1.35 |
| Avg Win % | 8.12% | 16.83% |
| Avg Loss % | (12.13%) | (3.99%) |
| Longest Drawdown Duration | 202.6 months | 36.7 months |
| Avg Trades Per Year | 0.00 | 1.38 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $1,231,413.68 |
| Open Equity | $0.00 | $126,812.78 |
| Gross Profit | $175,878.52 | $1,292,231.96 |
| Gross Loss | ($70,897.60) | ($288,990.67) |
| Net Profit | $104,980.92 | $1,003,241.29 |
| Net Long Profit | $104,980.92 | $1,003,241.29 |
| 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 | $1,359.61 |
| 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 | 11,363.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.07 | 0.30 |
| Calmar Ratio | 0.07 | 0.46 |
| Modified Sharpe Ratio | 0.31 | 0.87 |
| Robust Sharpe Ratio | 0.27 | 0.79 |
| R-Squared | 0.6397 | 0.9572 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.79% | 10.09% |
| RAR | 2.79% | 9.47% |
| Profit Factor | 2.48 | 4.47 |
| Percent Profit Factor | 2.23 | 6.62 |
| Expectancy | $0.34 | $1.35 |
| Percentage Expectancy | 0.04 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (33.73%) |
| Longest Drawdown Duration | 202.6 months | 36.7 months |
| Max Monthly % Drawdown | (38.17%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 24.0 months |
| Avg of All % Drawdowns | (2.42%) | (2.05%) |
| Std Dev of All % Drawdowns | 5.53% | 4.22% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (17.27%) | (8.58%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 4.42% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 61.1% |
| Lose Rate % | 23.1% | 38.9% |
| Winning Trades | 20 | 22 |
| Losing Trades | 6 | 14 |
| Total Trades | 26 | 36 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 184.0 days | 261.3 days |
| Avg Winning Trade Duration | 184.1 days | 327.7 days |
| Avg Losing Trade Duration | 184.0 days | 156.9 days |
| Largest Winning Trade | $37,286.08 | $255,900.48 |
| Largest Losing Trade | ($28,267.54) | ($51,833.25) |
| Largest Win as % of Net Profit | 35.52% | 25.51% |
| Avg Win | $8,793.93 | $58,737.82 |
| Avg Loss | ($11,816.27) | ($20,642.19) |
| Avg Win / Loss Ratio | 0.74 | 2.85 |
| Avg Trade | $4,037.73 | $27,867.81 |
| Avg Win % | 8.12% | 16.83% |
| Avg Loss % | (12.13%) | (3.99%) |
| Avg Trade % | 3.45% | 8.73% |
| Avg Risk % | (98.16%) | (99.49%) |
| Avg Trades Per Year | 0.00 | 1.38 |
| Avg Trades Per Month | 0.08 | 0.11 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 80.9% | 65.9% |
| Losing Months % | 19.1% | 34.1% |
| Winning Months | 254 | 207 |
| Losing Months | 60 | 107 |
| Total Months | 314 | 314 |
| Max Consecutive Winning Months | 23 | 15 |
| Max Consecutive Losing Months | 5 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 77.8% | 81.5% |
| Losing Years % | 22.2% | 18.5% |
| Winning Years | 21 | 22 |
| Losing Years | 6 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 10 | 7 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.7% | 69.9% |
| Rolling 6-Month Win Rate | 69.3% | 72.8% |
| Rolling 12-Month Win Rate | 73.3% | 77.2% |
| Rolling 3-Year Win Rate | 72.0% | 100.0% |
| Rolling 5-Year Win Rate | 73.9% | 100.0% |
| Rolling 10-Year Win Rate | 83.3% | 100.0% |
| Rolling 3-Month Periods | 312 | 312 |
| Rolling 6-Month Periods | 309 | 309 |
| Rolling 12-Month Periods | 303 | 303 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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