| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-01-03 | 2025-01-03 |
| Time Elapsed | 25 years | 25 years |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $477,152.58 | $516,674.66 |
| CAGR % | 6.45% | 6.79% |
| Max % Drawdown | (33.47%) | (10.05%) |
| Standard Deviation | 3.14% | 1.93% |
| Annualized Sharpe | 0.36 | 0.57 |
| MAR Ratio | 0.19 | 0.68 |
| Win Rate % | 75.0% | 51.5% |
| Avg Win / Loss Ratio | 1.14 | 3.11 |
| Expectancy | $0.61 | $1.12 |
| Avg Win % | 11.59% | 4.30% |
| Avg Loss % | (8.58%) | (1.00%) |
| Longest Drawdown Duration | 41.8 months | 28.1 months |
| Avg Trades Per Year | 0.96 | 3.88 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $477,152.58 | $516,674.66 |
| Open Equity | ($15,518.50) | $41,363.33 |
| Gross Profit | $487,722.84 | $496,765.06 |
| Gross Loss | ($142,169.87) | ($150,311.49) |
| Net Profit | $345,552.96 | $346,453.57 |
| Net Long Profit | $345,552.96 | $346,453.57 |
| 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 | $47,118.11 | $28,857.75 |
| 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 | 905.0 | 3,965.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.19 | 0.68 |
| Calmar Ratio | 0.25 | 0.75 |
| Modified Sharpe Ratio | 0.63 | 1.01 |
| Robust Sharpe Ratio | 0.60 | 0.95 |
| R-Squared | 0.9634 | 0.9488 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.45% | 6.79% |
| RAR | 6.56% | 6.37% |
| Profit Factor | 3.43 | 3.30 |
| Percent Profit Factor | 4.05 | 4.57 |
| Expectancy | $0.61 | $1.12 |
| Percentage Expectancy | 0.07 | 0.42 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (10.05%) |
| Longest Drawdown Duration | 41.8 months | 28.1 months |
| Max Monthly % Drawdown | (26.06%) | (9.11%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (9.49%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 23.8 months |
| Avg of All % Drawdowns | (2.28%) | (1.05%) |
| Std Dev of All % Drawdowns | 4.73% | 1.78% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (8.74%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (8.74%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (2.74%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 2.50% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 75.0% | 51.5% |
| Lose Rate % | 25.0% | 48.5% |
| Winning Trades | 18 | 50 |
| Losing Trades | 6 | 47 |
| Total Trades | 24 | 97 |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 181.3 days | 315.3 days |
| Avg Winning Trade Duration | 181.3 days | 531.3 days |
| Avg Losing Trade Duration | 181.3 days | 85.5 days |
| Largest Winning Trade | $81,648.82 | $61,124.70 |
| Largest Losing Trade | ($53,296.88) | ($8,254.00) |
| Largest Win as % of Net Profit | 23.63% | 17.64% |
| Avg Win | $27,095.71 | $9,935.30 |
| Avg Loss | ($23,694.98) | ($3,198.12) |
| Avg Win / Loss Ratio | 1.14 | 3.11 |
| Avg Trade | $14,398.04 | $3,571.69 |
| Avg Win % | 11.59% | 4.30% |
| Avg Loss % | (8.58%) | (1.00%) |
| Avg Trade % | 6.55% | 1.73% |
| Avg Risk % | (98.67%) | (4.10%) |
| Avg Trades Per Year | 0.96 | 3.88 |
| Avg Trades Per Month | 0.08 | 0.32 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 77.7% | 68.4% |
| Losing Months % | 22.3% | 31.6% |
| Winning Months | 234 | 206 |
| Losing Months | 67 | 95 |
| Total Months | 301 | 301 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 4 | 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 | 75.9% | 68.9% |
| Rolling 6-Month Win Rate | 69.9% | 74.7% |
| Rolling 12-Month Win Rate | 75.9% | 81.0% |
| 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 | 299 | 299 |
| Rolling 6-Month Periods | 296 | 296 |
| Rolling 12-Month Periods | 290 | 290 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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