| 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 | $563,916.45 |
| CAGR % | 5.97% | 6.88% |
| Max % Drawdown | (35.30%) | (33.47%) |
| Standard Deviation | 3.01% | 3.10% |
| Annualized Sharpe | 0.32 | 0.40 |
| MAR Ratio | 0.17 | 0.21 |
| Win Rate % | 76.0% | 76.0% |
| Avg Win / Loss Ratio | 1.37 | 1.17 |
| Expectancy | $0.80 | $0.65 |
| Avg Win % | 9.92% | 11.39% |
| Avg Loss % | (7.55%) | (8.58%) |
| Longest Drawdown Duration | 37.4 months | 41.8 months |
| Avg Trades Per Year | 0.96 | 0.96 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $451,790.26 | $563,916.45 |
| Open Equity | ($449.79) | $23,220.66 |
| Gross Profit | $393,024.35 | $525,846.57 |
| Gross Loss | ($90,465.16) | ($142,169.87) |
| Net Profit | $302,559.19 | $383,676.70 |
| Net Long Profit | $302,559.19 | $383,676.70 |
| 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 | $57,019.09 |
| 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 | 947.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.17 | 0.21 |
| Calmar Ratio | 0.20 | 0.26 |
| Modified Sharpe Ratio | 0.61 | 0.67 |
| Robust Sharpe Ratio | 0.65 | 0.62 |
| R-Squared | 0.9635 | 0.9668 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 5.97% | 6.88% |
| RAR | 6.79% | 6.64% |
| Profit Factor | 4.34 | 3.70 |
| Percent Profit Factor | 4.16 | 4.20 |
| Expectancy | $0.80 | $0.65 |
| Percentage Expectancy | 0.06 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (35.30%) | (33.47%) |
| Longest Drawdown Duration | 37.4 months | 41.8 months |
| Max Monthly % Drawdown | (29.83%) | (26.06%) |
| Avg of Top-5 Max % Drawdowns | (25.69%) | (23.64%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.5 months | 24.3 months |
| Avg of All % Drawdowns | (1.70%) | (2.27%) |
| Std Dev of All % Drawdowns | 4.23% | 4.61% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (16.57%) | (15.43%) |
| Closed-Equity Max Monthly % Drawdown | (16.57%) | (15.43%) |
| Closed-Equity Avg of All % Drawdown | (8.82%) | (10.15%) |
| Closed-Equity Std Dev of All % Drawdown | 6.04% | 5.03% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 76.0% |
| Lose Rate % | 24.0% | 24.0% |
| Winning Trades | 19 | 19 |
| Losing Trades | 6 | 6 |
| Total Trades | 25 | 25 |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 2 | 2 |
| Avg Trade Duration | 181.3 days | 181.3 days |
| Avg Winning Trade Duration | 181.3 days | 181.3 days |
| Avg Losing Trade Duration | 181.2 days | 181.3 days |
| Largest Winning Trade | $78,378.06 | $81,648.82 |
| Largest Losing Trade | ($34,858.81) | ($53,296.88) |
| Largest Win as % of Net Profit | 25.91% | 21.28% |
| Avg Win | $20,685.49 | $27,676.14 |
| Avg Loss | ($15,077.53) | ($23,694.98) |
| Avg Win / Loss Ratio | 1.37 | 1.17 |
| Avg Trade | $12,102.37 | $15,347.07 |
| Avg Win % | 9.92% | 11.39% |
| Avg Loss % | (7.55%) | (8.58%) |
| Avg Trade % | 5.72% | 6.60% |
| Avg Risk % | (99.01%) | (98.64%) |
| Avg Trades Per Year | 0.96 | 0.96 |
| Avg Trades Per Month | 0.08 | 0.08 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 82.1% | 78.3% |
| Losing Months % | 17.9% | 21.7% |
| Winning Months | 257 | 245 |
| Losing Months | 56 | 68 |
| Total Months | 313 | 313 |
| Max Consecutive Winning Months | 23 | 14 |
| Max Consecutive Losing Months | 5 | 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 | 9 | 9 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 79.1% | 77.2% |
| Rolling 6-Month Win Rate | 73.4% | 71.4% |
| Rolling 12-Month Win Rate | 77.8% | 76.8% |
| Rolling 3-Year Win Rate | 92.0% | 96.0% |
| 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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