| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-04-17 | 2026-04-17 |
| Time Elapsed | 26 years, 3 months | 26 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $608,650.39 | $112,023.84 |
| CAGR % | 7.11% | 0.43% |
| Max % Drawdown | (33.47%) | (42.03%) |
| Standard Deviation | 3.21% | 2.27% |
| Annualized Sharpe | 0.41 | (0.28) |
| MAR Ratio | 0.21 | 0.01 |
| Win Rate % | 76.0% | 78.6% |
| Avg Win / Loss Ratio | 1.17 | 0.32 |
| Expectancy | $0.65 | $0.04 |
| Avg Win % | 11.39% | 0.96% |
| Avg Loss % | (8.58%) | (2.82%) |
| Longest Drawdown Duration | 41.8 months | 278.8 months |
| Avg Trades Per Year | 0.95 | 3.92 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $608,650.39 | $112,023.84 |
| Open Equity | $67,942.29 | $1,570.93 |
| Gross Profit | $525,846.57 | $70,138.95 |
| Gross Loss | ($142,169.87) | ($59,686.04) |
| Net Profit | $383,676.70 | $10,452.91 |
| Net Long Profit | $383,676.70 | $10,452.91 |
| 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 | $57,031.40 | $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 | 947.0 | 1,833.0 |
| 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 | 0.27 | 0.01 |
| Modified Sharpe Ratio | 0.67 | 0.10 |
| Robust Sharpe Ratio | 0.60 | 0.05 |
| R-Squared | 0.9674 | 0.0702 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.11% | 0.43% |
| RAR | 6.68% | 0.37% |
| Profit Factor | 3.70 | 1.18 |
| Percent Profit Factor | 4.20 | 1.25 |
| Expectancy | $0.65 | $0.04 |
| 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%) | (9.44%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 60.2 months |
| Avg of All % Drawdowns | (2.23%) | (2.03%) |
| Std Dev of All % Drawdowns | 4.55% | 8.35% |
| 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 % | 76.0% | 78.6% |
| Lose Rate % | 24.0% | 21.4% |
| Winning Trades | 19 | 81 |
| Losing Trades | 6 | 22 |
| Total Trades | 25 | 103 |
| Max Consecutive Wins | 6 | 13 |
| Max Consecutive Losses | 2 | 4 |
| Avg Trade Duration | 181.3 days | 138.4 days |
| Avg Winning Trade Duration | 181.3 days | 83.3 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 | 21.28% | 31.54% |
| Avg Win | $27,676.14 | $865.91 |
| Avg Loss | ($23,694.98) | ($2,713.00) |
| Avg Win / Loss Ratio | 1.17 | 0.32 |
| Avg Trade | $15,347.07 | $101.48 |
| Avg Win % | 11.39% | 0.96% |
| Avg Loss % | (8.58%) | (2.82%) |
| Avg Trade % | 6.60% | 0.15% |
| Avg Risk % | (98.64%) | (18.86%) |
| Avg Trades Per Year | 0.95 | 3.92 |
| Avg Trades Per Month | 0.08 | 0.33 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 78.2% | 66.5% |
| Losing Months % | 21.8% | 33.5% |
| Winning Months | 247 | 210 |
| Losing Months | 69 | 106 |
| Total Months | 316 | 316 |
| 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 | 77.1% | 69.4% |
| Rolling 6-Month Win Rate | 71.7% | 70.4% |
| Rolling 12-Month Win Rate | 77.0% | 63.9% |
| 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 | 314 | 314 |
| Rolling 6-Month Periods | 311 | 311 |
| Rolling 12-Month Periods | 305 | 305 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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