| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-07-31 | 2026-07-31 |
| Time Elapsed | 26 years, 7 months | 26 years, 7 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $602,925.42 | $614,040.62 |
| CAGR % | 6.99% | 7.07% |
| Max % Drawdown | (33.47%) | (14.90%) |
| Standard Deviation | 3.17% | 1.97% |
| Annualized Sharpe | 0.40 | 0.60 |
| MAR Ratio | 0.21 | 0.47 |
| Win Rate % | 76.9% | 49.1% |
| Avg Win / Loss Ratio | 1.23 | 3.41 |
| Expectancy | $0.72 | $1.17 |
| Avg Win % | 11.35% | 4.08% |
| Avg Loss % | (8.58%) | (0.93%) |
| Longest Drawdown Duration | 41.8 months | 30.5 months |
| Avg Trades Per Year | 0.98 | 4.21 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $602,925.42 | $614,040.62 |
| Open Equity | $0.00 | $109,215.48 |
| Gross Profit | $583,298.16 | $533,054.19 |
| Gross Loss | ($142,169.87) | ($162,060.66) |
| Net Profit | $441,128.29 | $370,993.53 |
| Net Long Profit | $441,128.29 | $370,993.53 |
| 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 | $61,797.13 | $33,831.60 |
| 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 | 985.0 | 1,185.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.21 | 0.47 |
| Calmar Ratio | 0.27 | 0.65 |
| Modified Sharpe Ratio | 0.67 | 1.04 |
| Robust Sharpe Ratio | 0.61 | 0.88 |
| R-Squared | 0.9679 | 0.9469 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.99% | 7.07% |
| RAR | 6.72% | 5.97% |
| Profit Factor | 4.10 | 3.29 |
| Percent Profit Factor | 4.41 | 4.25 |
| Expectancy | $0.72 | $1.17 |
| 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 | (2.23%) | (1.30%) |
| Std Dev of All % Drawdowns | 4.55% | 2.03% |
| 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%) | (2.50%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 2.57% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 49.1% |
| Lose Rate % | 23.1% | 50.9% |
| Winning Trades | 20 | 55 |
| Losing Trades | 6 | 57 |
| Total Trades | 26 | 112 |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 2 | 8 |
| Avg Trade Duration | 181.2 days | 285.6 days |
| Avg Winning Trade Duration | 181.2 days | 499.5 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 | 18.51% | 16.48% |
| Avg Win | $29,164.91 | $9,691.89 |
| Avg Loss | ($23,694.98) | ($2,843.17) |
| Avg Win / Loss Ratio | 1.23 | 3.41 |
| Avg Trade | $16,966.47 | $3,312.44 |
| Avg Win % | 11.35% | 4.08% |
| Avg Loss % | (8.58%) | (0.93%) |
| Avg Trade % | 6.75% | 1.53% |
| Avg Risk % | (98.68%) | (18.11%) |
| Avg Trades Per Year | 0.98 | 4.21 |
| Avg Trades Per Month | 0.08 | 0.35 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 78.4% | 66.5% |
| Losing Months % | 21.6% | 33.5% |
| Winning Months | 250 | 212 |
| Losing Months | 69 | 107 |
| Total Months | 319 | 319 |
| Max Consecutive Winning Months | 14 | 12 |
| Max Consecutive Losing Months | 4 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 85.2% |
| Losing Years % | 18.5% | 14.8% |
| Winning Years | 22 | 23 |
| Losing Years | 5 | 4 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 9 | 8 |
| Max Consecutive Losing Years | 1 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 77.0% | 68.5% |
| Rolling 6-Month Win Rate | 72.0% | 76.1% |
| Rolling 12-Month Win Rate | 77.3% | 79.5% |
| Rolling 3-Year Win Rate | 96.0% | 100.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 317 | 317 |
| Rolling 6-Month Periods | 314 | 314 |
| Rolling 12-Month Periods | 308 | 308 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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