| TradeStation Strategy Performance Report | |||||||||
| TradeStation Strategy Performance Report - Evo_4 DX5M.BS-9 min. (24/10/2006-07/04/2009) | |||||||||
| Strategy Analysis | |||||||||
| Net Profit | $131 053.2500 | Open Position | $0.0000 | ||||||
| Gross Profit | $248 762.5000 | Interest Earned | $0.0000 | ||||||
| Gross Loss | ($117 709.2500) | Commission Paid | $0.0000 | ||||||
| Percent profitable | 69.18% | Profit factor | 2.11 | ||||||
| Ratio avg. win/avg. loss | 0.94 | Adjusted profit factor | 1.85 | ||||||
| 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 | 2792.82% | K-Ratio | N/A | ||||||
| Buy/Hold return | -31.45% | RINA Index | 4195.84 | ||||||
| Cumulative return | 80.54% | Percent in the market | 6.78% | ||||||
| Adjusted Net Profit | $108 263.5458 | Select Net Profit | $131 053.2500 | ||||||
| Adjusted Gross Profit | $235 427.4303 | Select Gross Profit | $248 762.5000 | ||||||
| Adjusted Gross Loss | ($127 163.8845) | Select Gross Loss | ($117 709.2500) | ||||||
| Total Trade Analysis | |||||||||
| Number of total trades | 503 | ||||||||
| Average trade | $260.5432 | Avg. trade ± 1 STDEV | $1 022.08 | / | ($500.9965) | ||||
| 1 Std. Deviation (STDEV) | $761.5397 | Coefficient of variation | 292.29% | ||||||
| Run-up | |||||||||
| Maximum Run-up | $1 802.2500 | Max. Run-up Date | 12/07/2007 17.27.00 | ||||||
| Average Run-up | $648.3400 | Avg. trade ± 1 STDEV | $1 035.6416 | / | $261.0384 | ||||
| 1 Std. Deviation (STDEV) | $387.3016 | Coefficient of variation | 59.74% | ||||||
| Drawdown | |||||||||
| Maximum Drawdown | ($933.2500) | Max. Drawdown Date | 27/01/2009 17.36.00 | ||||||
| Average Drawdown | ($460.7043) | Avg. trade ± 1 STDEV | ($148.0813) | / | ($773.3273) | ||||
| 1 Std. Deviation (STDEV) | $312.6230 | Coefficient of variation | 67.86% | ||||||
| Reward/Risk Ratios | |||||||||
| Net Prft/Largest Loss | 140.43 | Net Prft/Max Drawdown | 140.43 | ||||||
| Adj Net Prft/Largest Loss | 116.01 | Adj Net Prft/Max Drawdown | 116.01 | ||||||
| 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 | 23.65% | Avg. trade ± 1 STDEV | 90.59% | / | -43.30% | ||||
| 1 Std. Deviation (STDEV) | 66.95% | Coefficient of variation | 283.09% | ||||||
| Entry Efficiency | |||||||||
| Average Entry Efficiency | 57.97% | Avg. trade ± 1 STDEV | 86.61% | / | 29.34% | ||||
| 1 Std. Deviation (STDEV) | 28.64% | Coefficient of variation | 49.40% | ||||||
| Exit Efficiency | |||||||||
| Average Exit Efficiency | 65.67% | Avg. trade ± 1 STDEV | 108.28% | / | 23.06% | ||||
| 1 Std. Deviation (STDEV) | 42.61% | Coefficient of variation | 64.88% | ||||||
| Open Position Analysis | |||||||||
| Open | Average | Percent | |||||||
| Position | Trade | of Average | |||||||
| Unrealized Profit/Loss | $0.0000 | $260.5432 | N/A | ||||||
| Time in trade (Days) | 0.00 | 0.12 | 0.00% | ||||||