| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-06-20 | 2025-06-20 |
| Time Elapsed | 25 years, 5 months | 25 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $691,784.12 | $527,131.64 |
| CAGR % | 7.89% | 6.75% |
| Max % Drawdown | (24.14%) | (10.05%) |
| Standard Deviation | 2.93% | 1.92% |
| Annualized Sharpe | 0.51 | 0.57 |
| MAR Ratio | 0.33 | 0.67 |
| Win Rate % | 61.1% | 52.0% |
| Avg Win / Loss Ratio | 2.67 | 3.16 |
| Expectancy | $1.24 | $1.16 |
| Avg Win % | 24.36% | 4.26% |
| Avg Loss % | (6.20%) | (1.00%) |
| Longest Drawdown Duration | 32.9 months | 28.1 months |
| Avg Trades Per Year | 0.71 | 3.93 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $691,784.12 | $527,131.64 |
| Open Equity | $8,749.00 | $21,336.07 |
| Gross Profit | $731,934.07 | $529,274.92 |
| Gross Loss | ($174,306.09) | ($154,744.72) |
| Net Profit | $557,627.98 | $374,530.20 |
| Net Long Profit | $557,627.98 | $374,530.20 |
| 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 | $25,407.13 | $31,265.37 |
| 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 | 4,012.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.33 | 0.67 |
| Calmar Ratio | 0.37 | 0.74 |
| Modified Sharpe Ratio | 0.80 | 1.01 |
| Robust Sharpe Ratio | 0.82 | 0.95 |
| R-Squared | 0.9822 | 0.9504 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.89% | 6.75% |
| RAR | 8.36% | 6.33% |
| Profit Factor | 4.20 | 3.42 |
| Percent Profit Factor | 6.17 | 4.63 |
| Expectancy | $1.24 | $1.16 |
| Percentage Expectancy | 0.13 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (24.14%) | (10.05%) |
| Longest Drawdown Duration | 32.9 months | 28.1 months |
| Max Monthly % Drawdown | (21.48%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (18.46%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 23.8 months |
| Avg of All % Drawdowns | (1.66%) | (1.06%) |
| Std Dev of All % Drawdowns | 3.00% | 1.78% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (12.79%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (12.52%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (8.30%) | (2.77%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 61.1% | 52.0% |
| Lose Rate % | 38.9% | 48.0% |
| Winning Trades | 11 | 52 |
| Losing Trades | 7 | 48 |
| Total Trades | 18 | 100 |
| Max Consecutive Wins | 3 | 9 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 379.2 days | 314.9 days |
| Avg Winning Trade Duration | 589.6 days | 526.0 days |
| Avg Losing Trade Duration | 48.4 days | 86.2 days |
| Largest Winning Trade | $188,616.32 | $61,124.70 |
| Largest Losing Trade | ($52,117.18) | ($8,254.00) |
| Largest Win as % of Net Profit | 33.82% | 16.32% |
| Avg Win | $66,539.46 | $10,178.36 |
| Avg Loss | ($24,900.87) | ($3,223.85) |
| Avg Win / Loss Ratio | 2.67 | 3.16 |
| Avg Trade | $30,979.33 | $3,745.30 |
| Avg Win % | 24.36% | 4.26% |
| Avg Loss % | (6.20%) | (1.00%) |
| Avg Trade % | 12.48% | 1.74% |
| Avg Risk % | (99.29%) | (4.11%) |
| Avg Trades Per Year | 0.71 | 3.93 |
| Avg Trades Per Month | 0.06 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 75.2% | 68.3% |
| Losing Months % | 24.8% | 31.7% |
| Winning Months | 230 | 209 |
| Losing Months | 76 | 97 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 21 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 73.1% | 80.8% |
| Losing Years % | 26.9% | 19.2% |
| Winning Years | 19 | 21 |
| Losing Years | 7 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.7% | 68.8% |
| Rolling 6-Month Win Rate | 75.1% | 74.4% |
| Rolling 12-Month Win Rate | 74.6% | 81.4% |
| 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 | 304 | 304 |
| Rolling 6-Month Periods | 301 | 301 |
| Rolling 12-Month Periods | 295 | 295 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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