| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-05-02 | 2025-05-02 |
| Time Elapsed | 25 years, 4 months | 25 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $531,020.47 | $496,299.65 |
| CAGR % | 6.81% | 6.53% |
| Max % Drawdown | (33.47%) | (14.90%) |
| Standard Deviation | 3.14% | 1.97% |
| Annualized Sharpe | 0.39 | 0.53 |
| MAR Ratio | 0.20 | 0.44 |
| Win Rate % | 76.0% | 48.2% |
| Avg Win / Loss Ratio | 1.17 | 3.44 |
| Expectancy | $0.65 | $1.14 |
| Avg Win % | 11.39% | 4.18% |
| Avg Loss % | (8.58%) | (0.93%) |
| Longest Drawdown Duration | 41.8 months | 30.5 months |
| Avg Trades Per Year | 0.99 | 4.34 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $531,020.47 | $496,299.65 |
| Open Equity | $0.00 | $8,947.50 |
| Gross Profit | $525,846.57 | $518,557.13 |
| Gross Loss | ($142,169.87) | ($162,060.66) |
| Net Profit | $383,676.70 | $356,496.47 |
| Net Long Profit | $383,676.70 | $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 | $47,343.77 | $30,855.68 |
| 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 | 947.0 | 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 | 0.20 | 0.44 |
| Calmar Ratio | 0.26 | 0.60 |
| Modified Sharpe Ratio | 0.66 | 0.96 |
| Robust Sharpe Ratio | 0.61 | 0.88 |
| R-Squared | 0.9646 | 0.9398 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.81% | 6.53% |
| RAR | 6.58% | 5.97% |
| Profit Factor | 3.70 | 3.20 |
| Percent Profit Factor | 4.20 | 4.20 |
| Expectancy | $0.65 | $1.14 |
| Percentage Expectancy | 0.07 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (14.90%) |
| Longest Drawdown Duration | 41.8 months | 30.5 months |
| Max Monthly % Drawdown | (26.06%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (10.73%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 24.2 months |
| Avg of All % Drawdowns | (2.33%) | (1.36%) |
| Std Dev of All % Drawdowns | 4.70% | 2.09% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (8.54%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (2.66%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 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 | 6 | 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 | 181.3 days | 79.2 days |
| Largest Winning Trade | $81,648.82 | $61,124.70 |
| Largest Losing Trade | ($53,296.88) | ($9,079.40) |
| Largest Win as % of Net Profit | 21.28% | 17.15% |
| Avg Win | $27,676.14 | $9,784.10 |
| Avg Loss | ($23,694.98) | ($2,843.17) |
| Avg Win / Loss Ratio | 1.17 | 3.44 |
| Avg Trade | $15,347.07 | $3,240.88 |
| Avg Win % | 11.39% | 4.18% |
| Avg Loss % | (8.58%) | (0.93%) |
| Avg Trade % | 6.60% | 1.53% |
| Avg Risk % | (98.64%) | (18.09%) |
| Avg Trades Per Year | 0.99 | 4.34 |
| Avg Trades Per Month | 0.08 | 0.36 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 77.7% | 65.6% |
| Losing Months % | 22.3% | 34.4% |
| Winning Months | 237 | 200 |
| Losing Months | 68 | 105 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 14 | 11 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 84.6% |
| Losing Years % | 19.2% | 15.4% |
| Winning Years | 21 | 22 |
| Losing Years | 5 | 4 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 8 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.6% | 67.0% |
| Rolling 6-Month Win Rate | 70.7% | 75.0% |
| Rolling 12-Month Win Rate | 76.2% | 78.6% |
| Rolling 3-Year Win Rate | 95.8% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 303 | 303 |
| Rolling 6-Month Periods | 300 | 300 |
| Rolling 12-Month Periods | 294 | 294 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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