| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-06-19 | 2026-06-19 |
| Time Elapsed | 26 years, 5 months | 26 years, 5 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $798,173.23 | $623,547.43 |
| CAGR % | 8.17% | 7.16% |
| Max % Drawdown | (24.14%) | (10.05%) |
| Standard Deviation | 2.92% | 1.93% |
| Annualized Sharpe | 0.53 | 0.63 |
| MAR Ratio | 0.34 | 0.71 |
| Win Rate % | 63.2% | 52.4% |
| Avg Win / Loss Ratio | 2.73 | 3.20 |
| Expectancy | $1.36 | $1.20 |
| Avg Win % | 23.35% | 4.19% |
| Avg Loss % | (6.20%) | (0.98%) |
| Longest Drawdown Duration | 32.9 months | 28.1 months |
| Avg Trades Per Year | 0.72 | 3.89 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $798,173.23 | $623,547.43 |
| Open Equity | $29,456.78 | $95,398.95 |
| Gross Profit | $815,459.59 | $551,618.40 |
| Gross Loss | ($174,306.09) | ($156,614.90) |
| Net Profit | $641,153.50 | $395,003.50 |
| Net Long Profit | $641,153.50 | $395,003.50 |
| 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 | $27,562.94 | $33,144.98 |
| 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 | 1,442.0 | 4,250.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.34 | 0.71 |
| Calmar Ratio | 0.38 | 0.79 |
| Modified Sharpe Ratio | 0.83 | 1.07 |
| Robust Sharpe Ratio | 0.83 | 0.95 |
| R-Squared | 0.9840 | 0.9551 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.17% | 7.16% |
| RAR | 8.40% | 6.32% |
| Profit Factor | 4.68 | 3.52 |
| Percent Profit Factor | 6.45 | 4.69 |
| Expectancy | $1.36 | $1.20 |
| 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 | (1.68%) | (1.03%) |
| Std Dev of All % Drawdowns | 2.97% | 1.73% |
| 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%) | (2.62%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 2.46% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 63.2% | 52.4% |
| Lose Rate % | 36.8% | 47.6% |
| Winning Trades | 12 | 54 |
| Losing Trades | 7 | 49 |
| Total Trades | 19 | 103 |
| Max Consecutive Wins | 3 | 9 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 375.2 days | 317.6 days |
| Avg Winning Trade Duration | 565.8 days | 527.9 days |
| Avg Losing Trade Duration | 48.4 days | 85.8 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 | 29.42% | 15.47% |
| Avg Win | $67,954.97 | $10,215.16 |
| Avg Loss | ($24,900.87) | ($3,196.22) |
| Avg Win / Loss Ratio | 2.73 | 3.20 |
| Avg Trade | $33,744.92 | $3,834.99 |
| Avg Win % | 23.35% | 4.19% |
| Avg Loss % | (6.20%) | (0.98%) |
| Avg Trade % | 12.46% | 1.73% |
| Avg Risk % | (99.28%) | (4.10%) |
| Avg Trades Per Year | 0.72 | 3.89 |
| Avg Trades Per Month | 0.06 | 0.32 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 75.2% | 68.9% |
| Losing Months % | 24.8% | 31.1% |
| Winning Months | 239 | 219 |
| Losing Months | 79 | 99 |
| Total Months | 318 | 318 |
| Max Consecutive Winning Months | 21 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 77.8% | 81.5% |
| Losing Years % | 22.2% | 18.5% |
| Winning Years | 21 | 22 |
| Losing Years | 6 | 5 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 8 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 75.0% | 69.9% |
| Rolling 6-Month Win Rate | 75.7% | 75.4% |
| Rolling 12-Month Win Rate | 75.6% | 82.1% |
| 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 | 316 | 316 |
| Rolling 6-Month Periods | 313 | 313 |
| Rolling 12-Month Periods | 307 | 307 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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