| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $718,211.71 | $495,645.76 |
| CAGR % | 8.21% | 6.61% |
| Max % Drawdown | (24.14%) | (14.90%) |
| Standard Deviation | 2.93% | 1.97% |
| Annualized Sharpe | 0.54 | 0.54 |
| MAR Ratio | 0.34 | 0.44 |
| Win Rate % | 58.8% | 47.7% |
| Avg Win / Loss Ratio | 2.39 | 3.37 |
| Expectancy | $0.00 | $1.08 |
| Avg Win % | 24.30% | 4.20% |
| Avg Loss % | (6.20%) | (0.93%) |
| Longest Drawdown Duration | 32.9 months | 30.5 months |
| Avg Trades Per Year | 0.68 | 4.28 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $718,211.71 | $495,645.76 |
| Open Equity | $175,182.15 | $39,618.63 |
| Gross Profit | $596,236.97 | $484,964.55 |
| Gross Loss | ($174,306.09) | ($158,238.91) |
| Net Profit | $421,930.88 | $326,725.64 |
| Net Long Profit | $421,930.88 | $326,725.64 |
| 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 | $21,098.68 | $29,301.49 |
| 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 | 1,335.0 | 1,128.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.34 | 0.44 |
| Calmar Ratio | 0.38 | 0.61 |
| Modified Sharpe Ratio | 0.83 | 0.97 |
| Robust Sharpe Ratio | 0.82 | 0.88 |
| R-Squared | 0.9813 | 0.9381 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.21% | 6.61% |
| RAR | 8.36% | 5.99% |
| Profit Factor | 3.42 | 3.06 |
| Percent Profit Factor | 5.60 | 4.12 |
| Expectancy | $0.00 | $1.08 |
| Percentage Expectancy | 0.12 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (24.14%) | (14.90%) |
| Longest Drawdown Duration | 32.9 months | 30.5 months |
| Max Monthly % Drawdown | (21.48%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (18.46%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 24.2 months |
| Avg of All % Drawdowns | (1.65%) | (1.36%) |
| Std Dev of All % Drawdowns | 3.00% | 2.10% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (12.79%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (12.52%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (9.25%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 3.22% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 58.8% | 47.7% |
| Lose Rate % | 41.2% | 52.3% |
| Winning Trades | 10 | 51 |
| Losing Trades | 7 | 56 |
| Total Trades | 17 | 107 |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 372.8 days | 283.3 days |
| Avg Winning Trade Duration | 599.9 days | 508.3 days |
| Avg Losing Trade Duration | 48.4 days | 78.4 days |
| Largest Winning Trade | $188,616.32 | $61,124.70 |
| Largest Losing Trade | ($52,117.18) | ($9,079.40) |
| Largest Win as % of Net Profit | 44.70% | 18.71% |
| Avg Win | $59,623.70 | $9,509.11 |
| Avg Loss | ($24,900.87) | ($2,825.69) |
| Avg Win / Loss Ratio | 2.39 | 3.37 |
| Avg Trade | $24,819.46 | $3,053.51 |
| Avg Win % | 24.30% | 4.20% |
| Avg Loss % | (6.20%) | (0.93%) |
| Avg Trade % | 11.74% | 1.51% |
| Avg Risk % | (99.25%) | (18.07%) |
| Avg Trades Per Year | 0.68 | 4.28 |
| Avg Trades Per Month | 0.06 | 0.36 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 75.4% | 65.8% |
| Losing Months % | 24.6% | 34.2% |
| Winning Months | 227 | 198 |
| Losing Months | 74 | 103 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 21 | 11 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 84.6% |
| Losing Years % | 23.1% | 15.4% |
| Winning Years | 20 | 22 |
| Losing Years | 6 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 2 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 75.6% | 67.2% |
| Rolling 6-Month Win Rate | 76.0% | 75.3% |
| Rolling 12-Month Win Rate | 74.1% | 78.3% |
| 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 | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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