| TradeStation Strategy Performance Report | |||||||||
| TradeStation Strategy Performance Report - Auto_Orar_Bas_Ful_E DX5M.BS-9 min. (02/10/2006-09/12/2008) | |||||||||
| Strategy Analysis | |||||||||
| Net Profit | $100 777.2500 | Open Position | $0.0000 | ||||||
| Gross Profit | $180 100.7500 | Interest Earned | $2 563.3577 | ||||||
| Gross Loss | ($79 323.5000) | Commission Paid | $0.0000 | ||||||
| Percent profitable | 60.44% | Profit factor | 2.27 | ||||||
| Ratio avg. win/avg. loss | 1.49 | Adjusted profit factor | 1.97 | ||||||
| Annual Rate of Return | N/A | Sharpe Ratio | N/A | ||||||
| Return on Initial Capital | N/A | Return Retracement Ratio | N/A | ||||||
| Return on Max. Drawdown | 2864.01% | K-Ratio | N/A | ||||||
| Buy/Hold return | -30.41% | RINA Index | 5802.04 | ||||||
| Cumulative return | 63.83% | Percent in the market | 5.17% | ||||||
| Adjusted Net Profit | $83 150.7327 | Select Net Profit | $100 777.2500 | ||||||
| Adjusted Gross Profit | $168 687.3287 | Select Gross Profit | $180 100.7500 | ||||||
| Adjusted Gross Loss | ($85 536.5960) | Select Gross Loss | ($79 323.5000) | ||||||
| Total Trade Analysis | |||||||||
| Number of total trades | 412 | ||||||||
| Average trade | $244.6050 | Avg. trade ± 1 STDEV | $911.18 | / | ($421.9738) | ||||
| 1 Std. Deviation (STDEV) | $666.5788 | Coefficient of variation | 272.51% | ||||||
| Run-up | |||||||||
| Maximum Run-up | $1 802.5000 | Max. Run-up Date | 21/03/2007 19.24.00 | ||||||
| Average Run-up | $577.7172 | Avg. trade ± 1 STDEV | $976.5959 | / | $178.8385 | ||||
| 1 Std. Deviation (STDEV) | $398.8787 | Coefficient of variation | 69.04% | ||||||
| Drawdown | |||||||||
| Maximum Drawdown | ($837.5000) | Max. Drawdown Date | 20/06/2007 16.24.00 | ||||||
| Average Drawdown | ($336.2282) | Avg. trade ± 1 STDEV | ($137.2856) | / | ($535.1708) | ||||
| 1 Std. Deviation (STDEV) | $198.9426 | Coefficient of variation | 59.17% | ||||||
| Reward/Risk Ratios | |||||||||
| Net Prft/Largest Loss | 120.33 | Net Prft/Max Drawdown | 120.33 | ||||||
| Adj Net Prft/Largest Loss | 99.28 | Adj Net Prft/Max Drawdown | 99.28 | ||||||
| Outlier Trades | Total Trades | Profit/Loss | |||||||
| Positive outliers | 0 | $0.0000 | |||||||
| Negative outliers | 0 | $0.0000 | |||||||
| Total outliers | 0 | $0.0000 | |||||||
| Efficiency Analysis | |||||||||
| Total Efficiency | |||||||||
| Average Total Efficiency | 15.90% | Avg. trade ± 1 STDEV | 87.19% | / | -55.38% | ||||
| 1 Std. Deviation (STDEV) | 71.28% | Coefficient of variation | 448.19% | ||||||
| Entry Efficiency | |||||||||
| Average Entry Efficiency | 58.04% | Avg. trade ± 1 STDEV | 87.61% | / | 28.47% | ||||
| 1 Std. Deviation (STDEV) | 29.57% | Coefficient of variation | 50.95% | ||||||
| Exit Efficiency | |||||||||
| Average Exit Efficiency | 57.87% | Avg. trade ± 1 STDEV | 103.31% | / | 12.43% | ||||
| 1 Std. Deviation (STDEV) | 45.44% | Coefficient of variation | 78.53% | ||||||
| Open Position Analysis | |||||||||
| Open | Average | Percent | |||||||
| Position | Trade | of Average | |||||||
| Unrealized Profit/Loss | $0.0000 | $244.6050 | N/A | ||||||
| Time in trade (Days) | 0.00 | 0.10 | 0.00% | ||||||