| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-11-06 | 2026-11-06 |
| Time Elapsed | 26 years, 10 months | 26 years, 10 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $596,947.32 | $112,953.47 |
| CAGR % | 6.88% | 0.45% |
| Max % Drawdown | (33.47%) | (42.03%) |
| Standard Deviation | 3.16% | 2.25% |
| Annualized Sharpe | 0.39 | (0.28) |
| MAR Ratio | 0.21 | 0.01 |
| Win Rate % | 76.9% | 79.2% |
| Avg Win / Loss Ratio | 1.23 | 0.32 |
| Expectancy | $0.72 | $0.05 |
| Avg Win % | 11.35% | 0.95% |
| Avg Loss % | (8.58%) | (2.82%) |
| Longest Drawdown Duration | 41.8 months | 278.8 months |
| Avg Trades Per Year | 0.97 | 3.95 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $596,947.32 | $112,953.47 |
| Open Equity | ($11,208.19) | ($77.76) |
| Gross Profit | $583,298.16 | $72,717.27 |
| Gross Loss | ($142,169.87) | ($59,686.04) |
| Net Profit | $441,128.29 | $13,031.23 |
| Net Long Profit | $441,128.29 | $13,031.23 |
| 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 | $67,027.22 | $0.00 |
| 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 | 1,883.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.21 | 0.01 |
| Calmar Ratio | 0.26 | 0.01 |
| Modified Sharpe Ratio | 0.66 | 0.10 |
| Robust Sharpe Ratio | 0.62 | 0.06 |
| R-Squared | 0.9685 | 0.0967 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 6.88% | 0.45% |
| RAR | 6.75% | 0.43% |
| Profit Factor | 4.10 | 1.22 |
| Percent Profit Factor | 4.41 | 1.29 |
| Expectancy | $0.72 | $0.05 |
| Percentage Expectancy | 0.07 | 0.01 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (42.03%) |
| Longest Drawdown Duration | 41.8 months | 278.8 months |
| Max Monthly % Drawdown | (26.06%) | (40.26%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (9.48%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 60.4 months |
| Avg of All % Drawdowns | (2.23%) | (1.79%) |
| Std Dev of All % Drawdowns | 4.55% | 7.75% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (29.59%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (29.59%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (17.44%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 17.18% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 79.2% |
| Lose Rate % | 23.1% | 20.8% |
| Winning Trades | 20 | 84 |
| Losing Trades | 6 | 22 |
| Total Trades | 26 | 106 |
| Max Consecutive Wins | 6 | 16 |
| Max Consecutive Losses | 2 | 4 |
| Avg Trade Duration | 181.2 days | 135.3 days |
| Avg Winning Trade Duration | 181.2 days | 81.4 days |
| Avg Losing Trade Duration | 181.3 days | 341.3 days |
| Largest Winning Trade | $81,648.82 | $3,296.90 |
| Largest Losing Trade | ($53,296.88) | ($7,363.83) |
| Largest Win as % of Net Profit | 18.51% | 25.30% |
| Avg Win | $29,164.91 | $865.68 |
| Avg Loss | ($23,694.98) | ($2,713.00) |
| Avg Win / Loss Ratio | 1.23 | 0.32 |
| Avg Trade | $16,966.47 | $122.94 |
| Avg Win % | 11.35% | 0.95% |
| Avg Loss % | (8.58%) | (2.82%) |
| Avg Trade % | 6.75% | 0.17% |
| Avg Risk % | (98.68%) | (18.83%) |
| Avg Trades Per Year | 0.97 | 3.95 |
| Avg Trades Per Month | 0.08 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 78.3% | 66.9% |
| Losing Months % | 21.7% | 33.1% |
| Winning Months | 253 | 216 |
| Losing Months | 70 | 107 |
| Total Months | 323 | 323 |
| Max Consecutive Winning Months | 14 | 23 |
| Max Consecutive Losing Months | 4 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 63.0% |
| Losing Years % | 18.5% | 37.0% |
| Winning Years | 22 | 17 |
| Losing Years | 5 | 10 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 9 | 4 |
| Max Consecutive Losing Years | 1 | 3 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.9% | 69.8% |
| Rolling 6-Month Win Rate | 71.7% | 71.1% |
| Rolling 12-Month Win Rate | 77.6% | 64.7% |
| Rolling 3-Year Win Rate | 96.0% | 72.0% |
| Rolling 5-Year Win Rate | 100.0% | 65.2% |
| Rolling 10-Year Win Rate | 100.0% | 50.0% |
| Rolling 3-Month Periods | 321 | 321 |
| Rolling 6-Month Periods | 318 | 318 |
| Rolling 12-Month Periods | 312 | 312 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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