| 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 | $521,882.00 |
| CAGR % | 8.18% | 6.66% |
| Max % Drawdown | (24.14%) | (14.90%) |
| Standard Deviation | 2.94% | 1.96% |
| Annualized Sharpe | 0.53 | 0.55 |
| MAR Ratio | 0.34 | 0.45 |
| Win Rate % | 61.1% | 48.2% |
| Avg Win / Loss Ratio | 2.67 | 3.44 |
| Expectancy | $1.24 | $1.14 |
| Avg Win % | 24.36% | 4.18% |
| Avg Loss % | (6.20%) | (0.93%) |
| Longest Drawdown Duration | 32.9 months | 30.5 months |
| Avg Trades Per Year | 0.70 | 4.29 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $750,620.14 | $521,882.00 |
| Open Equity | $67,545.92 | $32,443.53 |
| Gross Profit | $731,934.07 | $518,557.13 |
| Gross Loss | ($174,306.09) | ($162,060.66) |
| Net Profit | $557,627.98 | $356,496.47 |
| Net Long Profit | $557,627.98 | $356,496.47 |
| 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 | $32,942.99 |
| 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 | 1,169.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.34 | 0.45 |
| Calmar Ratio | 0.38 | 0.61 |
| Modified Sharpe Ratio | 0.83 | 0.99 |
| Robust Sharpe Ratio | 0.82 | 0.88 |
| R-Squared | 0.9825 | 0.9413 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.18% | 6.66% |
| RAR | 8.36% | 5.96% |
| Profit Factor | 4.20 | 3.20 |
| Percent Profit Factor | 6.17 | 4.20 |
| Expectancy | $1.24 | $1.14 |
| Percentage Expectancy | 0.13 | 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 | (1.69%) | (1.36%) |
| Std Dev of All % Drawdowns | 3.03% | 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 | (8.30%) | (2.66%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.1% | 48.2% |
| Lose Rate % | 38.9% | 51.8% |
| Winning Trades | 11 | 53 |
| Losing Trades | 7 | 57 |
| Total Trades | 18 | 110 |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 379.2 days | 283.9 days |
| Avg Winning Trade Duration | 589.6 days | 504.0 days |
| Avg Losing Trade Duration | 48.4 days | 79.2 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 | 33.82% | 17.15% |
| Avg Win | $66,539.46 | $9,784.10 |
| Avg Loss | ($24,900.87) | ($2,843.17) |
| Avg Win / Loss Ratio | 2.67 | 3.44 |
| Avg Trade | $30,979.33 | $3,240.88 |
| Avg Win % | 24.36% | 4.18% |
| Avg Loss % | (6.20%) | (0.93%) |
| Avg Trade % | 12.48% | 1.53% |
| Avg Risk % | (99.29%) | (18.09%) |
| Avg Trades Per Year | 0.70 | 4.29 |
| Avg Trades Per Month | 0.06 | 0.36 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 75.3% | 65.9% |
| Losing Months % | 24.7% | 34.1% |
| Winning Months | 232 | 203 |
| Losing Months | 76 | 105 |
| Total Months | 308 | 308 |
| 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 | 74.8% | 67.3% |
| Rolling 6-Month Win Rate | 75.6% | 75.2% |
| Rolling 12-Month Win Rate | 74.7% | 78.8% |
| 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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