| TradeStation Strategy Performance Summary
Cyclone System Dow E Mini December 2002 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
$2,715.00 |
$2,420.00 |
$295.00 |
|
| Gross Profit |
$7,905.00 |
$5,155.00 |
$2,750.00 |
|
| Gross Loss |
($5,190.00) |
($2,735.00) |
($2,455.00) |
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| Profit Factor |
1.52 |
1.88 |
1.12 |
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|
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| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
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|
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| Select Total Net Profit |
$2,715.00 |
$2,420.00 |
$295.00 |
|
| Select Gross Profit |
$7,905.00 |
$5,155.00 |
$2,750.00 |
|
| Select Gross Loss |
($5,190.00) |
($2,735.00) |
($2,455.00) |
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| Select Profit Factor |
1.52 |
1.88 |
1.12 |
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|
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| Adjusted Total Net Profit |
($46.09) |
$107.16 |
($1,272.70) |
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| Adjusted Gross Profit |
$6,091.47 |
$3,600.71 |
$1,777.73 |
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| Adjusted Gross Loss |
($6,137.56) |
($3,493.55) |
($3,050.42) |
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| Adjusted Profit Factor |
0.99 |
1.03 |
0.58 |
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| Total Number of Trades |
49 |
24 |
25 |
|
| Percent Profitable |
38.78% |
45.83% |
32.00% |
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| Winning Trades |
19 |
11 |
8 |
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| Losing Trades |
30 |
13 |
17 |
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| Even Trades |
0 |
0 |
0 |
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| Avg. Trade Net Profit |
$55.41 |
$100.83 |
$11.80 |
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| Avg. Winning Trade |
$416.05 |
$468.64 |
$343.75 |
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| Avg. Losing Trade |
($173.00) |
($210.38) |
($144.41) |
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| Ratio Avg. Winning:Avg. Losing |
2.4 |
2.23 |
2.38 |
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| Largest Winning Trade |
$1,075.00 |
$1,075.00 |
$645.00 |
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| Largest Losing Trade |
($290.00) |
($290.00) |
($280.00) |
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| Largest Winner as % of Gross Profit |
13.60% |
20.85% |
23.45% |
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| Largest Loser as % of Gross Loss |
5.59% |
10.60% |
11.41% |
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| Net Profit as % of Largest Loss |
936.21% |
834.48% |
105.36% |
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| Select Net Profit as % of Largest Loss |
936.21% |
834.48% |
105.36% |
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| Adjusted Net Profit as % of Largest Loss |
-15.89% |
36.95% |
-454.53% |
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| Max. Consecutive Winning Trades |
3 |
3 |
1 |
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| Max. Consecutive Losing Trades |
4 |
3 |
5 |
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| Avg. Bars in Total Trades |
27.94 |
30.21 |
25.76 |
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| Avg. Bars in Winning Trades |
45.32 |
45.82 |
44.63 |
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| Avg. Bars in Losing Trades |
16.93 |
17 |
16.88 |
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|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
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| Account Size Required |
$840.00 |
$960.00 |
$935.00 |
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| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
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| Total Commission |
$0.00 |
$0.00 |
$0.00 |
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| Return on Initial Capital |
27.15% |
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| Annual Rate of Return |
89.51% |
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| Buy & Hold Return |
2.45% |
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| Return on Account |
323.21% |
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| Avg. Monthly Return |
$678.75 |
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| Std. Deviation of Monthly Return |
$1,321.52 |
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| Return Retracement Ratio |
4.52 |
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| RINA Index |
417.6 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
3 Mths, 6 Dys, 15 Mins |
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| Percent of Time in the Market |
4.72% |
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| Time in the Market |
4 Dys, 14 Hrs, 55 Mins |
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| Longest Flat Period |
7 Dys, 22 Hrs, 20 Mins |
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| Max. Equity Run-up |
$4,400.00 |
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| Date of Max. Equity Run-up |
11/6/2002 13:35 |
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| Max. Equity Run-up as % of Initial Capital |
44.00% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
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| Value |
($1,460.00) |
($1,785.00) |
($1,090.00) |
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| Date |
10/10/2002 14:45 |
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| as % of Initial Capital |
14.60% |
n/a |
n/a |
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| Net Profit as % of Drawdown |
185.96% |
135.57% |
27.06% |
|
| Select Net Profit as % of Drawdown |
185.96% |
135.57% |
27.06% |
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| Adjusted Net Profit as % of Drawdown |
-3.16% |
6.00% |
-116.76% |
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($840.00) |
($960.00) |
($935.00) |
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| Date |
10/9/2002 13:10 |
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|
|
| as % of Initial Capital |
-8.40% |
-9.60% |
-9.35% |
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| Net Profit as % of Drawdown |
323.21% |
252.08% |
31.55% |
|
| Select Net Profit as % of Drawdown |
323.21% |
252.08% |
31.55% |
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| Adjusted Net Profit as % of Drawdown |
-5.49% |
11.16% |
-136.12% |
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| Max. Trade Drawdown |
($290.00) |
($290.00) |
($280.00) |
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| All Trades |
|
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| Total Net Profit |
$2,715.00 |
Profit Factor |
1.52 |
|
| Gross Profit |
$7,905.00 |
Gross Loss |
($5,190.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$2,715.00 |
Select Profit Factor |
1.52 |
|
| Select Gross Profit |
$7,905.00 |
Select Gross Loss |
($5,190.00) |
|
|
| Adjusted Total Net Profit |
($46.09) |
Adjusted Profit Factor |
0.99 |
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| Adjusted Gross Profit |
$6,091.47 |
Adjusted Gross Loss |
($6,137.56) |
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|
| Total Number of Trades |
49 |
Percent Profitable |
38.78% |
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| Winning Trades |
19 |
Losing Trades |
30 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$55.41 |
Ratio Avg. Win:Avg. Loss |
2.4 |
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| Avg. Winning Trade |
$416.05 |
Avg. Losing Trade |
($173.00) |
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| Largest Winning Trade |
$1,075.00 |
Largest Losing Trade |
($290.00) |
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| Largest Winner as % of Gross Profit |
13.60% |
Largest Loser as % of Gross Loss |
5.59% |
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| Net Profit as % of Largest Loss |
936.21% |
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| Slct. Net Profit as % of Largest Loss |
936.21% |
Adj. Net Profit as % of Largest Loss |
-15.89% |
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
4 |
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| Avg. Bars in Winning Trades |
45.32 |
Avg. Bars in Losing Trades |
16.93 |
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| Avg. Bars in Total Trades |
27.94 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$840.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
27.15% |
Annual Rate of Return |
89.51% |
|
| Buy and Hold Return |
2.45% |
Return on Account |
323.21% |
|
| Avg. Monthly Return |
$678.75 |
Std. Deviation of Monthly Return |
$1,321.52 |
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|
| Return Retracement Ratio |
4.52 |
RINA Index |
417.6 |
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| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
3 Mths, 6 Dys, 15 Mins |
Percent of Time in the Market |
4.72% |
|
| Time in the Market |
4 Dys, 14 Hrs, 55 Mins |
Longest Flat Period |
7 Dys, 22 Hrs, 20 Mins |
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|
| Max. Equity Run-up |
$4,400.00 |
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| Date of Max. E. Run-up |
11/6/2002 13:35 |
Max. E. Run-up as % of Initial Capital |
44.00% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
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| Value |
($1,460.00) |
Value |
($840.00) |
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| Date |
10/10/2002 14:45 |
Date |
10/9/2002 13:10 |
|
| as % of Initial Capital |
14.60% |
as % of Initial Capital |
-8.40% |
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| Net Profit as % of Drawdown |
185.96% |
Net Profit as % of Drawdown |
323.21% |
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| Slct. Net Profit as % of Drawdown |
185.96% |
Slct. Net Profit as % of Drawdown |
323.21% |
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| Adj. Net Prof as % of Drawdown |
-3.16% |
Adj. Net Profit as % of Drawdown |
-5.49% |
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| Max. Trade Drawdown |
($290.00) |
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| Long Trades |
|
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| Total Net Profit |
$2,420.00 |
Profit Factor |
1.88 |
|
| Gross Profit |
$5,155.00 |
Gross Loss |
($2,735.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$2,420.00 |
Select Profit Factor |
1.88 |
|
| Select Gross Profit |
$5,155.00 |
Select Gross Loss |
($2,735.00) |
|
|
| Adjusted Total Net Profit |
$107.16 |
Adjusted Profit Factor |
1.03 |
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| Adjusted Gross Profit |
$3,600.71 |
Adjusted Gross Loss |
($3,493.55) |
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| Total Number of Trades |
24 |
Percent Profitable |
45.83% |
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| Winning Trades |
11 |
Losing Trades |
13 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$100.83 |
Ratio Avg. Win:Avg. Loss |
2.23 |
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| Avg. Winning Trade |
$468.64 |
Avg. Losing Trade |
($210.38) |
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| Largest Winning Trade |
$1,075.00 |
Largest Losing Trade |
($290.00) |
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| Largest Winner as % of Gross Profit |
20.85% |
Largest Loser as % of Gross Loss |
10.60% |
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
3 |
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| Avg. Bars in Winning Trades |
45.82 |
Avg. Bars in Losing Trades |
17 |
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| Avg. Bars in Total Trades |
30.21 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$960.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
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| Net Profit as % of Largest Loss |
834.48% |
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| Slct. Net Profit as % of Largest Loss |
834.48% |
Adj. Net Profit as % of Largest Loss |
36.95% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,785.00) |
Value |
($960.00) |
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| as % of Initial Capital |
n/a |
as % of Initial Capital |
-9.60% |
|
| Net Profit as % of Drawdown |
135.57% |
Net Profit as % of Drawdown |
252.08% |
|
| Slct. Net Profit as % of Drawdown |
135.57% |
Slct. Net Profit as % of Drawdown |
252.08% |
|
| Adj. Net Prof as % of Drawdown |
6.00% |
Adj. Net Profit as % of Drawdown |
252.08% |
|
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| Max. Trade Drawdown |
($290.00) |
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|
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| Short Trades |
|
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| Total Net Profit |
$295.00 |
Profit Factor |
1.12 |
|
| Gross Profit |
$2,750.00 |
Gross Loss |
($2,455.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$295.00 |
Select Profit Factor |
1.12 |
|
| Select Gross Profit |
$2,750.00 |
Select Gross Loss |
($2,455.00) |
|
|
| Adjusted Total Net Profit |
($1,272.70) |
Adjusted Profit Factor |
0.58 |
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| Adjusted Gross Profit |
$1,777.73 |
Adjusted Gross Loss |
($3,050.42) |
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|
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| Total Number of Trades |
25 |
Percent Profitable |
32.00% |
|
| Winning Trades |
8 |
Losing Trades |
17 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$11.80 |
Ratio Avg. Win:Avg. Loss |
2.38 |
|
| Avg. Winning Trade |
$343.75 |
Avg. Losing Trade |
($144.41) |
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| Largest Winning Trade |
$645.00 |
Largest Losing Trade |
($280.00) |
|
| Largest Winner as % of Gross Profit |
23.45% |
Largest Loser as % of Gross Loss |
10.60% |
|
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| Max. Consecutive Winning Trades |
1 |
Max. Consecutive Losing Trades |
5 |
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| Avg. Bars in Winning Trades |
44.63 |
Avg. Bars in Losing Trades |
16.88 |
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| Avg. Bars in Total Trades |
25.76 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$935.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
105.36% |
|
| Slct. Net Profit as % of Largest Loss |
105.36% |
Adj. Net Profit as % of Largest Loss |
-454.53% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,090.00) |
Value |
($935.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-9.35% |
|
| Net Profit as % of Drawdown |
27.06% |
Net Profit as % of Drawdown |
31.55% |
|
| Slct. Net Profit as % of Drawdown |
27.06% |
Slct. Net Profit as % of Drawdown |
31.55% |
|
| Adj. Net Prof as % of Drawdown |
-116.76% |
Adj. Net Prof as % of Drawdown |
-136.12% |
|
|
| Max. Trade Drawdown |
($280.00) |
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