| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-04-02 | 2026-04-03 |
| Time Elapsed | 26 years, 3 months | 26 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $326,188.85 |
| CAGR % | 2.77% | 4.61% |
| Max % Drawdown | (41.31%) | (14.87%) |
| Standard Deviation | 3.02% | 1.42% |
| Annualized Sharpe | 0.03 | 0.34 |
| MAR Ratio | 0.07 | 0.31 |
| Win Rate % | 76.9% | 70.6% |
| Avg Win / Loss Ratio | 0.74 | 2.23 |
| Expectancy | $0.34 | $1.28 |
| Avg Win % | 8.12% | 11.82% |
| Avg Loss % | (12.13%) | (3.22%) |
| Longest Drawdown Duration | 202.6 months | 62.0 months |
| Avg Trades Per Year | 0.99 | 0.65 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $204,980.92 | $326,188.85 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $175,878.52 | $256,446.76 |
| Gross Loss | ($70,897.60) | ($47,865.59) |
| Net Profit | $104,980.92 | $208,581.17 |
| Net Long Profit | $104,980.92 | $208,581.17 |
| 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 | $17,607.68 |
| 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 | 12,905.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.07 | 0.31 |
| Calmar Ratio | 0.07 | 0.34 |
| Modified Sharpe Ratio | 0.31 | 0.94 |
| Robust Sharpe Ratio | 0.27 | 0.98 |
| R-Squared | 0.6441 | 0.9318 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 2.77% | 4.61% |
| RAR | 2.83% | 4.80% |
| Profit Factor | 2.48 | 5.36 |
| Percent Profit Factor | 2.23 | 8.80 |
| Expectancy | $0.34 | $1.28 |
| Percentage Expectancy | 0.04 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (41.31%) | (14.87%) |
| Longest Drawdown Duration | 202.6 months | 62.0 months |
| Max Monthly % Drawdown | (38.17%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (19.07%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 51.2 months | 26.1 months |
| Avg of All % Drawdowns | (2.42%) | (0.88%) |
| Std Dev of All % Drawdowns | 5.53% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (29.90%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (29.90%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (17.27%) | (4.52%) |
| Closed-Equity Std Dev of All % Drawdown | 17.86% | 5.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 70.6% |
| Lose Rate % | 23.1% | 29.4% |
| Winning Trades | 20 | 12 |
| Losing Trades | 6 | 5 |
| Total Trades | 26 | 17 |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 3 | 3 |
| Avg Trade Duration | 184.0 days | 443.2 days |
| Avg Winning Trade Duration | 184.1 days | 580.2 days |
| Avg Losing Trade Duration | 184.0 days | 114.6 days |
| Largest Winning Trade | $37,286.08 | $85,604.87 |
| Largest Losing Trade | ($28,267.54) | ($15,771.66) |
| Largest Win as % of Net Profit | 35.52% | 41.04% |
| Avg Win | $8,793.93 | $21,370.56 |
| Avg Loss | ($11,816.27) | ($9,573.12) |
| Avg Win / Loss Ratio | 0.74 | 2.23 |
| Avg Trade | $4,037.73 | $12,269.48 |
| Avg Win % | 8.12% | 11.82% |
| Avg Loss % | (12.13%) | (3.22%) |
| Avg Trade % | 3.45% | 7.40% |
| Avg Risk % | (98.16%) | (99.95%) |
| Avg Trades Per Year | 0.99 | 0.65 |
| Avg Trades Per Month | 0.08 | 0.05 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 81.0% | 69.3% |
| Losing Months % | 19.0% | 30.7% |
| Winning Months | 256 | 219 |
| Losing Months | 60 | 97 |
| Total Months | 316 | 316 |
| Max Consecutive Winning Months | 23 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 77.8% | 70.4% |
| Losing Years % | 22.2% | 29.6% |
| Winning Years | 21 | 19 |
| Losing Years | 6 | 8 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 10 | 7 |
| Max Consecutive Losing Years | 3 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.8% | 70.1% |
| Rolling 6-Month Win Rate | 69.5% | 70.7% |
| Rolling 12-Month Win Rate | 73.4% | 76.1% |
| Rolling 3-Year Win Rate | 72.0% | 92.0% |
| Rolling 5-Year Win Rate | 73.9% | 91.3% |
| Rolling 10-Year Win Rate | 83.3% | 100.0% |
| Rolling 3-Month Periods | 314 | 314 |
| Rolling 6-Month Periods | 311 | 311 |
| Rolling 12-Month Periods | 305 | 305 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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