| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-01-02 | 2026-01-02 |
| Time Elapsed | 26 years | 26 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $451,790.26 | $540,597.33 |
| CAGR % | 5.97% | 6.71% |
| Max % Drawdown | (35.30%) | (14.90%) |
| Standard Deviation | 3.01% | 1.94% |
| Annualized Sharpe | 0.32 | 0.56 |
| MAR Ratio | 0.17 | 0.45 |
| Win Rate % | 76.0% | 48.2% |
| Avg Win / Loss Ratio | 1.37 | 3.44 |
| Expectancy | $0.80 | $1.14 |
| Avg Win % | 9.92% | 4.18% |
| Avg Loss % | (7.55%) | (0.93%) |
| Longest Drawdown Duration | 37.4 months | 30.5 months |
| Avg Trades Per Year | 0.96 | 4.23 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $451,790.26 | $540,597.33 |
| Open Equity | ($449.79) | $50,961.75 |
| Gross Profit | $393,024.35 | $518,557.13 |
| Gross Loss | ($90,465.16) | ($162,060.66) |
| Net Profit | $302,559.19 | $356,496.47 |
| Net Long Profit | $302,559.19 | $356,496.47 |
| 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 | $49,680.86 | $33,139.11 |
| 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 | 1,431.0 | 1,169.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.45 |
| Calmar Ratio | 0.20 | 0.62 |
| Modified Sharpe Ratio | 0.61 | 1.00 |
| Robust Sharpe Ratio | 0.65 | 0.88 |
| R-Squared | 0.9635 | 0.9434 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.97% | 6.71% |
| RAR | 6.79% | 5.95% |
| Profit Factor | 4.34 | 3.20 |
| Percent Profit Factor | 4.16 | 4.20 |
| Expectancy | $0.80 | $1.14 |
| Percentage Expectancy | 0.06 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (35.30%) | (14.90%) |
| Longest Drawdown Duration | 37.4 months | 30.5 months |
| Max Monthly % Drawdown | (29.83%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (25.69%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 24.2 months |
| Avg of All % Drawdowns | (1.70%) | (1.32%) |
| Std Dev of All % Drawdowns | 4.23% | 2.07% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (16.57%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (16.57%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (8.82%) | (2.66%) |
| Closed-Equity Std Dev of All % Drawdown | 6.04% | 2.61% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 48.2% |
| Lose Rate % | 24.0% | 51.8% |
| Winning Trades | 19 | 53 |
| Losing Trades | 6 | 57 |
| Total Trades | 25 | 110 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 181.3 days | 283.9 days |
| Avg Winning Trade Duration | 181.3 days | 504.0 days |
| Avg Losing Trade Duration | 181.2 days | 79.2 days |
| Largest Winning Trade | $78,378.06 | $61,124.70 |
| Largest Losing Trade | ($34,858.81) | ($9,079.40) |
| Largest Win as % of Net Profit | 25.91% | 17.15% |
| Avg Win | $20,685.49 | $9,784.10 |
| Avg Loss | ($15,077.53) | ($2,843.17) |
| Avg Win / Loss Ratio | 1.37 | 3.44 |
| Avg Trade | $12,102.37 | $3,240.88 |
| Avg Win % | 9.92% | 4.18% |
| Avg Loss % | (7.55%) | (0.93%) |
| Avg Trade % | 5.72% | 1.53% |
| Avg Risk % | (99.01%) | (18.09%) |
| Avg Trades Per Year | 0.96 | 4.23 |
| Avg Trades Per Month | 0.08 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 82.1% | 66.5% |
| Losing Months % | 17.9% | 33.5% |
| Winning Months | 257 | 208 |
| Losing Months | 56 | 105 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 23 | 11 |
| Max Consecutive Losing Months | 5 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 77.8% | 85.2% |
| Losing Years % | 22.2% | 14.8% |
| Winning Years | 21 | 23 |
| Losing Years | 6 | 4 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 9 | 8 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 79.1% | 67.8% |
| Rolling 6-Month Win Rate | 73.4% | 75.6% |
| Rolling 12-Month Win Rate | 77.8% | 79.1% |
| Rolling 3-Year Win Rate | 92.0% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 311 | 311 |
| Rolling 6-Month Periods | 308 | 308 |
| Rolling 12-Month Periods | 302 | 302 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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