| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2026-05-01 | 2026-05-01 |
| Time Elapsed | 26 years, 4 months | 26 years, 4 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $598,211.58 | $1,104,236.60 |
| CAGR % | 7.03% | 9.55% |
| Max % Drawdown | (33.47%) | (21.03%) |
| Standard Deviation | 3.18% | 3.60% |
| Annualized Sharpe | 0.40 | 0.56 |
| MAR Ratio | 0.21 | 0.45 |
| Win Rate % | 76.9% | 55.0% |
| Avg Win / Loss Ratio | 1.23 | 3.85 |
| Expectancy | $0.72 | $1.67 |
| Avg Win % | 11.35% | 27.89% |
| Avg Loss % | (8.58%) | (3.68%) |
| Longest Drawdown Duration | 41.8 months | 50.0 months |
| Avg Trades Per Year | 0.99 | 0.76 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $598,211.58 | $1,104,236.60 |
| Open Equity | $0.00 | $103,763.65 |
| Gross Profit | $583,298.16 | $1,044,934.50 |
| Gross Loss | ($142,169.87) | ($222,099.67) |
| Net Profit | $441,128.29 | $822,834.83 |
| Net Long Profit | $441,128.29 | $822,834.83 |
| 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 | $57,083.29 | $77,638.11 |
| 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 | 2,087.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.21 | 0.45 |
| Calmar Ratio | 0.27 | 0.45 |
| Modified Sharpe Ratio | 0.67 | 0.79 |
| Robust Sharpe Ratio | 0.61 | 0.72 |
| R-Squared | 0.9674 | 0.9139 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 7.03% | 9.55% |
| RAR | 6.69% | 9.01% |
| Profit Factor | 4.10 | 4.70 |
| Percent Profit Factor | 4.41 | 9.25 |
| Expectancy | $0.72 | $1.67 |
| Percentage Expectancy | 0.07 | 0.14 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (33.47%) | (21.03%) |
| Longest Drawdown Duration | 41.8 months | 50.0 months |
| Max Monthly % Drawdown | (26.06%) | (21.03%) |
| Avg of Top-5 Max % Drawdowns | (23.64%) | (16.69%) |
| Avg Duration of Top-5 Longest Drawdowns | 24.3 months | 31.4 months |
| Avg of All % Drawdowns | (2.23%) | (7.10%) |
| Std Dev of All % Drawdowns | 4.55% | 5.73% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | (15.43%) | (10.50%) |
| Closed-Equity Max Monthly % Drawdown | (15.43%) | (10.42%) |
| Closed-Equity Avg of All % Drawdown | (10.15%) | (5.55%) |
| Closed-Equity Std Dev of All % Drawdown | 5.03% | 3.75% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 76.9% | 55.0% |
| Lose Rate % | 23.1% | 45.0% |
| Winning Trades | 20 | 11 |
| Losing Trades | 6 | 9 |
| Total Trades | 26 | 20 |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 2 | 4 |
| Avg Trade Duration | 181.2 days | 336.1 days |
| Avg Winning Trade Duration | 181.2 days | 541.9 days |
| Avg Losing Trade Duration | 181.3 days | 84.4 days |
| Largest Winning Trade | $81,648.82 | $216,040.20 |
| Largest Losing Trade | ($53,296.88) | ($55,980.54) |
| Largest Win as % of Net Profit | 18.51% | 26.26% |
| Avg Win | $29,164.91 | $94,994.05 |
| Avg Loss | ($23,694.98) | ($24,677.74) |
| Avg Win / Loss Ratio | 1.23 | 3.85 |
| Avg Trade | $16,966.47 | $41,141.74 |
| Avg Win % | 11.35% | 27.89% |
| Avg Loss % | (8.58%) | (3.68%) |
| Avg Trade % | 6.75% | 13.68% |
| Avg Risk % | (98.68%) | (99.48%) |
| Avg Trades Per Year | 0.99 | 0.76 |
| Avg Trades Per Month | 0.08 | 0.06 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 78.2% | 74.4% |
| Losing Months % | 21.8% | 25.6% |
| Winning Months | 248 | 236 |
| Losing Months | 69 | 81 |
| Total Months | 317 | 317 |
| Max Consecutive Winning Months | 14 | 18 |
| Max Consecutive Losing Months | 4 | 3 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 81.5% | 66.7% |
| Losing Years % | 18.5% | 33.3% |
| Winning Years | 22 | 18 |
| Losing Years | 5 | 9 |
| Total Years | 27 | 27 |
| Max Consecutive Winning Years | 9 | 7 |
| Max Consecutive Losing Years | 1 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 76.8% | 69.8% |
| Rolling 6-Month Win Rate | 71.8% | 69.6% |
| Rolling 12-Month Win Rate | 77.1% | 74.2% |
| Rolling 3-Year Win Rate | 96.0% | 92.0% |
| Rolling 5-Year Win Rate | 100.0% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 315 | 315 |
| Rolling 6-Month Periods | 312 | 312 |
| Rolling 12-Month Periods | 306 | 306 |
| Rolling 3-Year Periods | 25 | 25 |
| Rolling 5-Year Periods | 23 | 23 |
| Rolling 10-Year Periods | 18 | 18 |
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