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 | $192,607.78 |
CAGR % | 8.18% | 2.59% |
Max % Drawdown | (24.14%) | (41.31%) |
Standard Deviation | 2.94% | 3.05% |
Annualized Sharpe | 0.53 | 0.02 |
MAR Ratio | 0.34 | 0.06 |
Win Rate % | 61.1% | 76.0% |
Avg Win / Loss Ratio | 2.67 | 0.62 |
Expectancy | $1.24 | $0.23 |
Avg Win % | 24.36% | 7.37% |
Avg Loss % | (6.20%) | (12.13%) |
Longest Drawdown Duration | 32.9 months | 202.6 months |
Avg Trades Per Year | 0.70 | 0.98 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $750,620.14 | $192,607.78 |
Open Equity | $67,545.92 | $24,912.94 |
Gross Profit | $731,934.07 | $138,592.44 |
Gross Loss | ($174,306.09) | ($70,897.60) |
Net Profit | $557,627.98 | $67,694.84 |
Net Long Profit | $557,627.98 | $67,694.84 |
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 | $0.00 |
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 | 843.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.34 | 0.06 |
Calmar Ratio | 0.38 | 0.07 |
Modified Sharpe Ratio | 0.83 | 0.30 |
Robust Sharpe Ratio | 0.82 | 0.25 |
R-Squared | 0.9825 | 0.6233 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 8.18% | 2.59% |
RAR | 8.36% | 2.63% |
Profit Factor | 4.20 | 1.95 |
Percent Profit Factor | 6.17 | 1.93 |
Expectancy | $1.24 | $0.23 |
Percentage Expectancy | 0.13 | 0.03 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (24.14%) | (41.31%) |
Longest Drawdown Duration | 32.9 months | 202.6 months |
Max Monthly % Drawdown | (21.48%) | (38.17%) |
Avg of Top-5 Max % Drawdowns | (18.46%) | (19.07%) |
Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 51.2 months |
Avg of All % Drawdowns | (1.69%) | (2.60%) |
Std Dev of All % Drawdowns | 3.03% | 5.80% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | (12.79%) | (29.90%) |
Closed-Equity Max Monthly % Drawdown | (12.52%) | (29.90%) |
Closed-Equity Avg of All % Drawdown | (8.30%) | (17.27%) |
Closed-Equity Std Dev of All % Drawdown | 3.75% | 17.86% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 61.1% | 76.0% |
Lose Rate % | 38.9% | 24.0% |
Winning Trades | 11 | 19 |
Losing Trades | 7 | 6 |
Total Trades | 18 | 25 |
Max Consecutive Wins | 3 | 10 |
Max Consecutive Losses | 2 | 3 |
Avg Trade Duration | 379.2 days | 183.0 days |
Avg Winning Trade Duration | 589.6 days | 183.9 days |
Avg Losing Trade Duration | 48.4 days | 184.0 days |
Largest Winning Trade | $188,616.32 | $20,747.09 |
Largest Losing Trade | ($52,117.18) | ($28,267.54) |
Largest Win as % of Net Profit | 33.82% | 30.65% |
Avg Win | $66,539.46 | $7,294.34 |
Avg Loss | ($24,900.87) | ($11,816.27) |
Avg Win / Loss Ratio | 2.67 | 0.62 |
Avg Trade | $30,979.33 | $2,707.79 |
Avg Win % | 24.36% | 7.37% |
Avg Loss % | (6.20%) | (12.13%) |
Avg Trade % | 12.48% | 2.69% |
Avg Risk % | (99.29%) | (98.25%) |
Avg Trades Per Year | 0.70 | 0.98 |
Avg Trades Per Month | 0.06 | 0.08 |
Avg Trades Per Day | 0.00 | 0.00 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 75.3% | 80.5% |
Losing Months % | 24.7% | 19.5% |
Winning Months | 232 | 248 |
Losing Months | 76 | 60 |
Total Months | 308 | 308 |
Max Consecutive Winning Months | 21 | 23 |
Max Consecutive Losing Months | 4 | 5 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 76.9% | 76.9% |
Losing Years % | 23.1% | 23.1% |
Winning Years | 20 | 20 |
Losing Years | 6 | 6 |
Total Years | 26 | 26 |
Max Consecutive Winning Years | 7 | 10 |
Max Consecutive Losing Years | 2 | 3 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 74.8% | 74.2% |
Rolling 6-Month Win Rate | 75.6% | 68.6% |
Rolling 12-Month Win Rate | 74.7% | 72.7% |
Rolling 3-Year Win Rate | 100.0% | 70.8% |
Rolling 5-Year Win Rate | 100.0% | 72.7% |
Rolling 10-Year Win Rate | 100.0% | 82.4% |
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 |