| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-08-22 | 2025-08-22 |
| Time Elapsed | 25 years, 8 months | 25 years, 8 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $750,620.14 | $1,029,352.94 |
| CAGR % | 8.18% | 9.52% |
| Max % Drawdown | (24.14%) | (33.73%) |
| Standard Deviation | 2.94% | 3.46% |
| Annualized Sharpe | 0.53 | 0.57 |
| MAR Ratio | 0.34 | 0.28 |
| Win Rate % | 61.1% | 57.6% |
| Avg Win / Loss Ratio | 2.67 | 3.03 |
| Expectancy | $1.24 | $1.32 |
| Avg Win % | 24.36% | 18.95% |
| Avg Loss % | (6.20%) | (3.99%) |
| Longest Drawdown Duration | 32.9 months | 36.7 months |
| Avg Trades Per Year | 0.70 | 1.29 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $750,620.14 | $1,029,352.94 |
| Open Equity | $67,545.92 | $29,162.54 |
| Gross Profit | $731,934.07 | $1,187,861.56 |
| Gross Loss | ($174,306.09) | ($288,990.67) |
| Net Profit | $557,627.98 | $898,870.88 |
| Net Long Profit | $557,627.98 | $898,870.88 |
| 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 | $25,446.24 | $1,319.52 |
| 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 | 1,390.0 | 10,219.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.34 | 0.28 |
| Calmar Ratio | 0.38 | 0.43 |
| Modified Sharpe Ratio | 0.83 | 0.82 |
| Robust Sharpe Ratio | 0.82 | 0.79 |
| R-Squared | 0.9825 | 0.9550 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.18% | 9.52% |
| RAR | 8.36% | 9.48% |
| Profit Factor | 4.20 | 4.11 |
| Percent Profit Factor | 6.17 | 6.44 |
| Expectancy | $1.24 | $1.32 |
| Percentage Expectancy | 0.13 | 0.09 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (24.14%) | (33.73%) |
| Longest Drawdown Duration | 32.9 months | 36.7 months |
| Max Monthly % Drawdown | (21.48%) | (22.15%) |
| Avg of Top-5 Max % Drawdowns | (18.46%) | (22.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 24.0 months |
| Avg of All % Drawdowns | (1.69%) | (2.07%) |
| Std Dev of All % Drawdowns | 3.03% | 4.33% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (12.79%) | (15.75%) |
| Closed-Equity Max Monthly % Drawdown | (12.52%) | (15.75%) |
| Closed-Equity Avg of All % Drawdown | (8.30%) | (8.58%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 4.42% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.1% | 57.6% |
| Lose Rate % | 38.9% | 42.4% |
| Winning Trades | 11 | 19 |
| Losing Trades | 7 | 14 |
| Total Trades | 18 | 33 |
| Max Consecutive Wins | 3 | 4 |
| Max Consecutive Losses | 2 | 3 |
| Avg Trade Duration | 379.2 days | 282.2 days |
| Avg Winning Trade Duration | 589.6 days | 374.5 days |
| Avg Losing Trade Duration | 48.4 days | 156.9 days |
| Largest Winning Trade | $188,616.32 | $255,900.48 |
| Largest Losing Trade | ($52,117.18) | ($51,833.25) |
| Largest Win as % of Net Profit | 33.82% | 28.47% |
| Avg Win | $66,539.46 | $62,519.03 |
| Avg Loss | ($24,900.87) | ($20,642.19) |
| Avg Win / Loss Ratio | 2.67 | 3.03 |
| Avg Trade | $30,979.33 | $27,238.51 |
| Avg Win % | 24.36% | 18.95% |
| Avg Loss % | (6.20%) | (3.99%) |
| Avg Trade % | 12.48% | 9.22% |
| Avg Risk % | (99.29%) | (99.53%) |
| Avg Trades Per Year | 0.70 | 1.29 |
| Avg Trades Per Month | 0.06 | 0.11 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 75.3% | 65.3% |
| Losing Months % | 24.7% | 34.7% |
| Winning Months | 232 | 201 |
| Losing Months | 76 | 107 |
| Total Months | 308 | 308 |
| Max Consecutive Winning Months | 21 | 15 |
| Max Consecutive Losing Months | 4 | 5 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 80.8% |
| Losing Years % | 23.1% | 19.2% |
| Winning Years | 20 | 21 |
| Losing Years | 6 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.8% | 69.3% |
| Rolling 6-Month Win Rate | 75.6% | 72.3% |
| Rolling 12-Month Win Rate | 74.7% | 76.8% |
| Rolling 3-Year Win Rate | 100.0% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 306 | 306 |
| Rolling 6-Month Periods | 303 | 303 |
| Rolling 12-Month Periods | 297 | 297 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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