| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-01 | 2026-05-01 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $768,211.60 | $1,104,236.60 |
| CAGR % | 8.05% | 9.55% |
| Max % Drawdown | (24.14%) | (21.03%) |
| Standard Deviation | 2.92% | 3.60% |
| Annualized Sharpe | 0.52 | 0.56 |
| MAR Ratio | 0.33 | 0.45 |
| Win Rate % | 63.2% | 55.0% |
| Avg Win / Loss Ratio | 2.73 | 3.85 |
| Expectancy | $1.36 | $1.67 |
| Avg Win % | 23.35% | 27.89% |
| Avg Loss % | (6.20%) | (3.68%) |
| Longest Drawdown Duration | 32.9 months | 50.0 months |
| Avg Trades Per Year | 0.72 | 0.76 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $768,211.60 | $1,104,236.60 |
| Open Equity | ($463.89) | $103,763.65 |
| Gross Profit | $815,459.59 | $1,044,934.50 |
| Gross Loss | ($174,306.09) | ($222,099.67) |
| Net Profit | $641,153.50 | $822,834.83 |
| Net Long Profit | $641,153.50 | $822,834.83 |
| 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 | $27,521.98 | $77,638.11 |
| 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 | 2,087.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.33 | 0.45 |
| Calmar Ratio | 0.37 | 0.45 |
| Modified Sharpe Ratio | 0.82 | 0.79 |
| Robust Sharpe Ratio | 0.83 | 0.72 |
| R-Squared | 0.9837 | 0.9139 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.05% | 9.55% |
| RAR | 8.40% | 9.01% |
| Profit Factor | 4.68 | 4.70 |
| Percent Profit Factor | 6.45 | 9.25 |
| Expectancy | $1.36 | $1.67 |
| Percentage Expectancy | 0.13 | 0.14 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (24.14%) | (21.03%) |
| Longest Drawdown Duration | 32.9 months | 50.0 months |
| Max Monthly % Drawdown | (21.48%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (18.46%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.6 months | 31.4 months |
| Avg of All % Drawdowns | (1.68%) | (7.10%) |
| Std Dev of All % Drawdowns | 2.97% | 5.73% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (12.79%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (12.52%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (8.30%) | (5.55%) |
| Closed-Equity Std Dev of All % Drawdown | 3.75% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 63.2% | 55.0% |
| Lose Rate % | 36.8% | 45.0% |
| Winning Trades | 12 | 11 |
| Losing Trades | 7 | 9 |
| Total Trades | 19 | 20 |
| Max Consecutive Wins | 3 | 3 |
| Max Consecutive Losses | 2 | 4 |
| Avg Trade Duration | 375.2 days | 336.1 days |
| Avg Winning Trade Duration | 565.8 days | 541.9 days |
| Avg Losing Trade Duration | 48.4 days | 84.4 days |
| Largest Winning Trade | $188,616.32 | $216,040.20 |
| Largest Losing Trade | ($52,117.18) | ($55,980.54) |
| Largest Win as % of Net Profit | 29.42% | 26.26% |
| Avg Win | $67,954.97 | $94,994.05 |
| Avg Loss | ($24,900.87) | ($24,677.74) |
| Avg Win / Loss Ratio | 2.73 | 3.85 |
| Avg Trade | $33,744.92 | $41,141.74 |
| Avg Win % | 23.35% | 27.89% |
| Avg Loss % | (6.20%) | (3.68%) |
| Avg Trade % | 12.46% | 13.68% |
| Avg Risk % | (99.28%) | (99.48%) |
| Avg Trades Per Year | 0.72 | 0.76 |
| Avg Trades Per Month | 0.06 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 75.1% | 74.4% |
| Losing Months % | 24.9% | 25.6% |
| Winning Months | 238 | 236 |
| Losing Months | 79 | 81 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 21 | 18 |
| Max Consecutive Losing Months | 4 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 74.1% | 66.7% |
| Losing Years % | 25.9% | 33.3% |
| Winning Years | 20 | 18 |
| Losing Years | 7 | 9 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 7 | 7 |
| Max Consecutive Losing Years | 2 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 74.6% | 69.8% |
| Rolling 6-Month Win Rate | 75.3% | 69.6% |
| Rolling 12-Month Win Rate | 75.5% | 74.2% |
| Rolling 3-Year Win Rate | 100.0% | 92.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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