| 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 | $446,334.27 | $527,131.64 |
| CAGR % | 6.05% | 6.75% |
| Max % Drawdown | (35.30%) | (10.05%) |
| Standard Deviation | 3.04% | 1.92% |
| Annualized Sharpe | 0.33 | 0.57 |
| MAR Ratio | 0.17 | 0.67 |
| Win Rate % | 76.0% | 52.0% |
| Avg Win / Loss Ratio | 1.37 | 3.16 |
| Expectancy | $0.80 | $1.16 |
| Avg Win % | 9.92% | 4.26% |
| Avg Loss % | (7.55%) | (1.00%) |
| Longest Drawdown Duration | 37.4 months | 28.1 months |
| Avg Trades Per Year | 0.98 | 3.93 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $446,334.27 | $527,131.64 |
| Open Equity | $0.00 | $21,336.07 |
| Gross Profit | $393,024.35 | $529,274.92 |
| Gross Loss | ($90,465.16) | ($154,744.72) |
| Net Profit | $302,559.19 | $374,530.20 |
| Net Long Profit | $302,559.19 | $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 | $43,775.08 | $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 | 1,431.0 | 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 | 0.17 | 0.67 |
| Calmar Ratio | 0.20 | 0.74 |
| Modified Sharpe Ratio | 0.61 | 1.01 |
| Robust Sharpe Ratio | 0.64 | 0.95 |
| R-Squared | 0.9612 | 0.9504 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.05% | 6.75% |
| RAR | 6.76% | 6.33% |
| Profit Factor | 4.34 | 3.42 |
| Percent Profit Factor | 4.16 | 4.63 |
| Expectancy | $0.80 | $1.16 |
| Percentage Expectancy | 0.06 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (35.30%) | (10.05%) |
| Longest Drawdown Duration | 37.4 months | 28.1 months |
| Max Monthly % Drawdown | (29.83%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (25.69%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 23.8 months |
| Avg of All % Drawdowns | (1.70%) | (1.06%) |
| Std Dev of All % Drawdowns | 4.23% | 1.78% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (16.57%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (16.57%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (10.77%) | (2.77%) |
| Closed-Equity Std Dev of All % Drawdown | 4.83% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 52.0% |
| Lose Rate % | 24.0% | 48.0% |
| Winning Trades | 19 | 52 |
| Losing Trades | 6 | 48 |
| Total Trades | 25 | 100 |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 181.3 days | 314.9 days |
| Avg Winning Trade Duration | 181.3 days | 526.0 days |
| Avg Losing Trade Duration | 181.2 days | 86.2 days |
| Largest Winning Trade | $78,378.06 | $61,124.70 |
| Largest Losing Trade | ($34,858.81) | ($8,254.00) |
| Largest Win as % of Net Profit | 25.91% | 16.32% |
| Avg Win | $20,685.49 | $10,178.36 |
| Avg Loss | ($15,077.53) | ($3,223.85) |
| Avg Win / Loss Ratio | 1.37 | 3.16 |
| Avg Trade | $12,102.37 | $3,745.30 |
| Avg Win % | 9.92% | 4.26% |
| Avg Loss % | (7.55%) | (1.00%) |
| Avg Trade % | 5.72% | 1.74% |
| Avg Risk % | (99.01%) | (4.11%) |
| Avg Trades Per Year | 0.98 | 3.93 |
| Avg Trades Per Month | 0.08 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 82.0% | 68.3% |
| Losing Months % | 18.0% | 31.7% |
| Winning Months | 251 | 209 |
| Losing Months | 55 | 97 |
| Total Months | 306 | 306 |
| Max Consecutive Winning Months | 23 | 12 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 76.9% | 80.8% |
| Losing Years % | 23.1% | 19.2% |
| Winning Years | 20 | 21 |
| Losing Years | 6 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 8 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 78.9% | 68.8% |
| Rolling 6-Month Win Rate | 73.4% | 74.4% |
| Rolling 12-Month Win Rate | 78.3% | 81.4% |
| Rolling 3-Year Win Rate | 91.7% | 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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