| 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 | $224,075.05 |
| CAGR % | 6.81% | 3.24% |
| Max % Drawdown | (33.47%) | (60.26%) |
| Standard Deviation | 3.14% | 4.43% |
| Annualized Sharpe | 0.39 | 0.09 |
| MAR Ratio | 0.20 | 0.05 |
| Win Rate % | 76.0% | 39.3% |
| Avg Win / Loss Ratio | 1.17 | 2.27 |
| Expectancy | $0.65 | $0.28 |
| Avg Win % | 11.39% | 19.57% |
| Avg Loss % | (8.58%) | (6.45%) |
| Longest Drawdown Duration | 41.8 months | 201.8 months |
| Avg Trades Per Year | 0.99 | 1.11 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $531,020.47 | $224,075.05 |
| Open Equity | $0.00 | $0.00 |
| Gross Profit | $525,846.57 | $303,703.87 |
| Gross Loss | ($142,169.87) | ($206,835.83) |
| Net Profit | $383,676.70 | $96,868.04 |
| Net Long Profit | $383,676.70 | $96,868.04 |
| 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 | $27,207.01 |
| 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 | 1,264.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.20 | 0.05 |
| Calmar Ratio | 0.26 | 0.06 |
| Modified Sharpe Ratio | 0.66 | 0.28 |
| Robust Sharpe Ratio | 0.61 | 0.07 |
| R-Squared | 0.9646 | 0.1134 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.81% | 3.24% |
| RAR | 6.58% | 1.08% |
| Profit Factor | 3.70 | 1.47 |
| Percent Profit Factor | 4.20 | 1.96 |
| Expectancy | $0.65 | $0.28 |
| Percentage Expectancy | 0.07 | 0.04 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (60.26%) |
| Longest Drawdown Duration | 41.8 months | 201.8 months |
| Max Monthly % Drawdown | (26.06%) | (58.84%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (30.52%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 55.5 months |
| Avg of All % Drawdowns | (2.33%) | (3.67%) |
| Std Dev of All % Drawdowns | 4.70% | 5.66% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (43.60%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (43.56%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (19.00%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 17.80% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 39.3% |
| Lose Rate % | 24.0% | 60.7% |
| Winning Trades | 19 | 11 |
| Losing Trades | 6 | 17 |
| Total Trades | 25 | 28 |
| Max Consecutive Wins | 6 | 4 |
| Max Consecutive Losses | 2 | 7 |
| Avg Trade Duration | 181.3 days | 191.5 days |
| Avg Winning Trade Duration | 181.3 days | 357.3 days |
| Avg Losing Trade Duration | 181.3 days | 84.2 days |
| Largest Winning Trade | $81,648.82 | $106,576.40 |
| Largest Losing Trade | ($53,296.88) | ($34,666.80) |
| Largest Win as % of Net Profit | 21.28% | 110.02% |
| Avg Win | $27,676.14 | $27,609.44 |
| Avg Loss | ($23,694.98) | ($12,166.81) |
| Avg Win / Loss Ratio | 1.17 | 2.27 |
| Avg Trade | $15,347.07 | $3,459.57 |
| Avg Win % | 11.39% | 19.57% |
| Avg Loss % | (8.58%) | (6.45%) |
| Avg Trade % | 6.60% | 3.77% |
| Avg Risk % | (98.64%) | (98.65%) |
| Avg Trades Per Year | 0.99 | 1.11 |
| Avg Trades Per Month | 0.08 | 0.09 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 77.7% | 71.1% |
| Losing Months % | 22.3% | 28.9% |
| Winning Months | 237 | 217 |
| Losing Months | 68 | 88 |
| Total Months | 305 | 305 |
| Max Consecutive Winning Months | 14 | 22 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 57.7% |
| Losing Years % | 19.2% | 42.3% |
| Winning Years | 21 | 15 |
| Losing Years | 5 | 11 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 4 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.6% | 63.7% |
| Rolling 6-Month Win Rate | 70.7% | 55.0% |
| Rolling 12-Month Win Rate | 76.2% | 51.4% |
| Rolling 3-Year Win Rate | 95.8% | 62.5% |
| Rolling 5-Year Win Rate | 100.0% | 63.6% |
| Rolling 10-Year Win Rate | 100.0% | 52.9% |
| 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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