| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-11-21 | 2025-11-21 |
| Time Elapsed | 25 years, 11 months | 25 years, 11 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $527,065.36 | $326,568.32 |
| CAGR % | 6.63% | 4.68% |
| Max % Drawdown | (33.47%) | (14.87%) |
| Standard Deviation | 3.11% | 1.42% |
| Annualized Sharpe | 0.38 | 0.35 |
| MAR Ratio | 0.20 | 0.31 |
| Win Rate % | 76.0% | 68.8% |
| Avg Win / Loss Ratio | 1.17 | 2.10 |
| Expectancy | $0.65 | $1.13 |
| Avg Win % | 11.39% | 11.80% |
| Avg Loss % | (8.58%) | (3.22%) |
| Longest Drawdown Duration | 41.8 months | 58.6 months |
| Avg Trades Per Year | 0.97 | 0.62 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $527,065.36 | $326,568.32 |
| Open Equity | ($13,625.51) | $35,621.39 |
| Gross Profit | $525,846.57 | $221,289.47 |
| Gross Loss | ($142,169.87) | ($47,865.59) |
| Net Profit | $383,676.70 | $173,423.88 |
| Net Long Profit | $383,676.70 | $173,423.88 |
| 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 | $57,014.17 | $17,523.05 |
| 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 | 12,205.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.20 | 0.31 |
| Calmar Ratio | 0.25 | 0.34 |
| Modified Sharpe Ratio | 0.65 | 0.95 |
| Robust Sharpe Ratio | 0.61 | 0.99 |
| R-Squared | 0.9665 | 0.9334 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.63% | 4.68% |
| RAR | 6.63% | 4.86% |
| Profit Factor | 3.70 | 4.62 |
| Percent Profit Factor | 4.20 | 8.05 |
| Expectancy | $0.65 | $1.13 |
| Percentage Expectancy | 0.07 | 0.07 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (14.87%) |
| Longest Drawdown Duration | 41.8 months | 58.6 months |
| Max Monthly % Drawdown | (26.06%) | (13.69%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (9.87%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 25.2 months |
| Avg of All % Drawdowns | (2.31%) | (0.88%) |
| Std Dev of All % Drawdowns | 4.68% | 1.48% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (10.49%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (10.14%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (6.18%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 0.47% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 68.8% |
| Lose Rate % | 24.0% | 31.2% |
| Winning Trades | 19 | 11 |
| Losing Trades | 6 | 5 |
| Total Trades | 25 | 16 |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 2 | 3 |
| Avg Trade Duration | 181.3 days | 417.7 days |
| Avg Winning Trade Duration | 181.3 days | 555.5 days |
| Avg Losing Trade Duration | 181.3 days | 114.6 days |
| Largest Winning Trade | $81,648.82 | $85,604.87 |
| Largest Losing Trade | ($53,296.88) | ($15,771.66) |
| Largest Win as % of Net Profit | 21.28% | 49.36% |
| Avg Win | $27,676.14 | $20,117.22 |
| Avg Loss | ($23,694.98) | ($9,573.12) |
| Avg Win / Loss Ratio | 1.17 | 2.10 |
| Avg Trade | $15,347.07 | $10,838.99 |
| Avg Win % | 11.39% | 11.80% |
| Avg Loss % | (8.58%) | (3.22%) |
| Avg Trade % | 6.60% | 7.10% |
| Avg Risk % | (98.64%) | (99.94%) |
| Avg Trades Per Year | 0.97 | 0.62 |
| Avg Trades Per Month | 0.08 | 0.05 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 77.8% | 69.1% |
| Losing Months % | 22.2% | 30.9% |
| Winning Months | 242 | 215 |
| Losing Months | 69 | 96 |
| Total Months | 311 | 311 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 73.1% |
| Losing Years % | 19.2% | 26.9% |
| Winning Years | 21 | 19 |
| Losing Years | 5 | 7 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 7 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.7% | 70.2% |
| Rolling 6-Month Win Rate | 70.9% | 70.9% |
| Rolling 12-Month Win Rate | 76.7% | 75.7% |
| Rolling 3-Year Win Rate | 95.8% | 91.7% |
| Rolling 5-Year Win Rate | 100.0% | 90.9% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 309 | 309 |
| Rolling 6-Month Periods | 306 | 306 |
| Rolling 12-Month Periods | 300 | 300 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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