| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-10-24 | 2025-10-24 |
| Time Elapsed | 25 years, 10 months | 25 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $540,257.87 | $789,571.12 |
| CAGR % | 6.76% | 8.34% |
| Max % Drawdown | (33.47%) | (24.14%) |
| Standard Deviation | 3.11% | 2.93% |
| Annualized Sharpe | 0.39 | 0.55 |
| MAR Ratio | 0.20 | 0.35 |
| Win Rate % | 76.0% | 61.1% |
| Avg Win / Loss Ratio | 1.17 | 2.67 |
| Expectancy | $0.65 | $1.24 |
| Avg Win % | 11.39% | 24.36% |
| Avg Loss % | (8.58%) | (6.20%) |
| Longest Drawdown Duration | 41.8 months | 32.9 months |
| Avg Trades Per Year | 0.97 | 0.70 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $540,257.87 | $789,571.12 |
| Open Equity | $0.00 | $106,460.64 |
| Gross Profit | $525,846.57 | $731,934.07 |
| Gross Loss | ($142,169.87) | ($174,306.09) |
| Net Profit | $383,676.70 | $557,627.98 |
| Net Long Profit | $383,676.70 | $557,627.98 |
| 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 | $56,581.17 | $25,482.50 |
| 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 | 1,390.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.20 | 0.35 |
| Calmar Ratio | 0.26 | 0.39 |
| Modified Sharpe Ratio | 0.66 | 0.84 |
| Robust Sharpe Ratio | 0.61 | 0.82 |
| R-Squared | 0.9662 | 0.9829 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.76% | 8.34% |
| RAR | 6.63% | 8.37% |
| Profit Factor | 3.70 | 4.20 |
| Percent Profit Factor | 4.20 | 6.17 |
| Expectancy | $0.65 | $1.24 |
| Percentage Expectancy | 0.07 | 0.13 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (24.14%) |
| Longest Drawdown Duration | 41.8 months | 32.9 months |
| Max Monthly % Drawdown | (26.06%) | (21.48%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (18.46%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 27.6 months |
| Avg of All % Drawdowns | (2.32%) | (1.67%) |
| Std Dev of All % Drawdowns | 4.69% | 2.99% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (12.79%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (12.52%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (8.30%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.0% | 61.1% |
| Lose Rate % | 24.0% | 38.9% |
| Winning Trades | 19 | 11 |
| Losing Trades | 6 | 7 |
| Total Trades | 25 | 18 |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 2 | 2 |
| Avg Trade Duration | 181.3 days | 379.2 days |
| Avg Winning Trade Duration | 181.3 days | 589.6 days |
| Avg Losing Trade Duration | 181.3 days | 48.4 days |
| Largest Winning Trade | $81,648.82 | $188,616.32 |
| Largest Losing Trade | ($53,296.88) | ($52,117.18) |
| Largest Win as % of Net Profit | 21.28% | 33.82% |
| Avg Win | $27,676.14 | $66,539.46 |
| Avg Loss | ($23,694.98) | ($24,900.87) |
| Avg Win / Loss Ratio | 1.17 | 2.67 |
| Avg Trade | $15,347.07 | $30,979.33 |
| Avg Win % | 11.39% | 24.36% |
| Avg Loss % | (8.58%) | (6.20%) |
| Avg Trade % | 6.60% | 12.48% |
| Avg Risk % | (98.64%) | (99.29%) |
| Avg Trades Per Year | 0.97 | 0.70 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 78.1% | 75.5% |
| Losing Months % | 21.9% | 24.5% |
| Winning Months | 242 | 234 |
| Losing Months | 68 | 76 |
| Total Months | 310 | 310 |
| Max Consecutive Winning Months | 14 | 21 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 80.8% | 76.9% |
| Losing Years % | 19.2% | 23.1% |
| Winning Years | 21 | 20 |
| Losing Years | 5 | 6 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 9 | 7 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.9% | 75.0% |
| Rolling 6-Month Win Rate | 71.1% | 75.7% |
| Rolling 12-Month Win Rate | 76.6% | 74.9% |
| 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 | 308 | 308 |
| Rolling 6-Month Periods | 305 | 305 |
| Rolling 12-Month Periods | 299 | 299 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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