| TradeStation Strategy Performance Summary
Cyclone System Dow E Mini June 2002 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
$990.00 |
$815.00 |
$175.00 |
|
| Gross Profit |
$3,015.00 |
$1,625.00 |
$1,390.00 |
|
| Gross Loss |
($2,025.00) |
($810.00) |
($1,215.00) |
|
| Profit Factor |
1.49 |
2.01 |
1.14 |
|
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|
|
|
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| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
|
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|
|
|
|
| Select Total Net Profit |
$990.00 |
$815.00 |
$175.00 |
|
| Select Gross Profit |
$3,015.00 |
$1,625.00 |
$1,390.00 |
|
| Select Gross Loss |
($2,025.00) |
($810.00) |
($1,215.00) |
|
| Select Profit Factor |
1.49 |
2.01 |
1.14 |
|
| |
|
|
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| Adjusted Total Net Profit |
($504.63) |
($242.40) |
($876.19) |
|
| Adjusted Gross Profit |
$2,061.57 |
$898.28 |
$768.37 |
|
| Adjusted Gross Loss |
($2,566.20) |
($1,140.68) |
($1,644.57) |
|
| Adjusted Profit Factor |
0.8 |
0.79 |
0.47 |
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|
|
|
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| Total Number of Trades |
24 |
11 |
13 |
|
| Percent Profitable |
41.67% |
45.45% |
38.46% |
|
| Winning Trades |
10 |
5 |
5 |
|
| Losing Trades |
14 |
6 |
8 |
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| Even Trades |
0 |
0 |
0 |
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|
|
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| Avg. Trade Net Profit |
$41.25 |
$74.09 |
$13.46 |
|
| Avg. Winning Trade |
$301.50 |
$325.00 |
$278.00 |
|
| Avg. Losing Trade |
($144.64) |
($135.00) |
($151.88) |
|
| Ratio Avg. Winning:Avg. Losing |
2.08 |
2.41 |
1.83 |
|
| Largest Winning Trade |
$900.00 |
$820.00 |
$900.00 |
|
| Largest Losing Trade |
($180.00) |
($180.00) |
($180.00) |
|
| Largest Winner as % of Gross Profit |
29.85% |
50.46% |
64.75% |
|
| Largest Loser as % of Gross Loss |
8.89% |
22.22% |
14.81% |
|
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|
|
|
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| Net Profit as % of Largest Loss |
550.00% |
452.78% |
97.22% |
|
| Select Net Profit as % of Largest Loss |
550.00% |
452.78% |
97.22% |
|
| Adjusted Net Profit as % of Largest Loss |
-280.35% |
-134.67% |
-486.77% |
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|
|
|
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| Max. Consecutive Winning Trades |
3 |
3 |
1 |
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| Max. Consecutive Losing Trades |
4 |
3 |
2 |
|
| Avg. Bars in Total Trades |
34.17 |
30.55 |
37.23 |
|
| Avg. Bars in Winning Trades |
39.4 |
34.2 |
44.6 |
|
| Avg. Bars in Losing Trades |
30.43 |
27.5 |
32.63 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
|
| Account Size Required |
$650.00 |
$385.00 |
$725.00 |
|
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
|
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
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| Return on Initial Capital |
9.90% |
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| Annual Rate of Return |
50.64% |
|
| Buy & Hold Return |
-4.64% |
|
| Return on Account |
152.31% |
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|
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| Avg. Monthly Return |
$330.00 |
|
|
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| Std. Deviation of Monthly Return |
$602.64 |
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|
|
|
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| Return Retracement Ratio |
2.14 |
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|
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| RINA Index |
223.34 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
2 Mths, 7 Dys, 2 Hrs, 15 Mins |
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|
| Percent of Time in the Market |
4.06% |
|
| Time in the Market |
2 Dys, 18 Hrs, 20 Mins |
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| Longest Flat Period |
6 Dys, 18 Hrs, 15 Mins |
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| Max. Equity Run-up |
$1,495.00 |
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| Date of Max. Equity Run-up |
6/11/2002 15:05 |
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| Max. Equity Run-up as % of Initial Capital |
14.95% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($1,015.00) |
($600.00) |
($875.00) |
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| Date |
6/11/2002 11:10 |
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|
|
| as % of Initial Capital |
10.15% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
97.54% |
135.83% |
20.00% |
|
| Select Net Profit as % of Drawdown |
97.54% |
135.83% |
20.00% |
|
| Adjusted Net Profit as % of Drawdown |
-49.72% |
-40.40% |
-100.14% |
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|
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|
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($650.00) |
($385.00) |
($725.00) |
|
| Date |
6/7/2002 15:00 |
|
|
|
| as % of Initial Capital |
-6.50% |
-3.85% |
-7.25% |
|
| Net Profit as % of Drawdown |
152.31% |
211.69% |
24.14% |
|
| Select Net Profit as % of Drawdown |
152.31% |
211.69% |
24.14% |
|
| Adjusted Net Profit as % of Drawdown |
-77.64% |
-62.96% |
-120.85% |
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| Max. Trade Drawdown |
($180.00) |
($180.00) |
($180.00) |
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| All Trades |
|
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|
| Total Net Profit |
$990.00 |
Profit Factor |
1.49 |
|
| Gross Profit |
$3,015.00 |
Gross Loss |
($2,025.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$990.00 |
Select Profit Factor |
1.49 |
|
| Select Gross Profit |
$3,015.00 |
Select Gross Loss |
($2,025.00) |
|
|
| Adjusted Total Net Profit |
($504.63) |
Adjusted Profit Factor |
0.8 |
|
| Adjusted Gross Profit |
$2,061.57 |
Adjusted Gross Loss |
($2,566.20) |
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|
| Total Number of Trades |
24 |
Percent Profitable |
41.67% |
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| Winning Trades |
10 |
Losing Trades |
14 |
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| Even Trades |
0 |
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|
| Avg. Trade Net Profit |
$41.25 |
Ratio Avg. Win:Avg. Loss |
2.08 |
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| Avg. Winning Trade |
$301.50 |
Avg. Losing Trade |
($144.64) |
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| Largest Winning Trade |
$900.00 |
Largest Losing Trade |
($180.00) |
|
| Largest Winner as % of Gross Profit |
29.85% |
Largest Loser as % of Gross Loss |
8.89% |
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| Net Profit as % of Largest Loss |
550.00% |
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| Slct. Net Profit as % of Largest Loss |
550.00% |
Adj. Net Profit as % of Largest Loss |
-280.35% |
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
4 |
|
| Avg. Bars in Winning Trades |
39.4 |
Avg. Bars in Losing Trades |
30.43 |
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| Avg. Bars in Total Trades |
34.17 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$650.00 |
|
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
9.90% |
Annual Rate of Return |
50.64% |
|
| Buy and Hold Return |
-4.64% |
Return on Account |
152.31% |
|
| Avg. Monthly Return |
$330.00 |
Std. Deviation of Monthly Return |
$602.64 |
|
|
| Return Retracement Ratio |
2.14 |
RINA Index |
223.34 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
2 Mths, 7 Dys, 2 Hrs, 15 Mins |
Percent of Time in the Market |
4.06% |
|
| Time in the Market |
2 Dys, 18 Hrs, 20 Mins |
Longest Flat Period |
6 Dys, 18 Hrs, 15 Mins |
|
|
| Max. Equity Run-up |
$1,495.00 |
|
| Date of Max. E. Run-up |
6/11/2002 15:05 |
Max. E. Run-up as % of Initial Capital |
14.95% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,015.00) |
Value |
($650.00) |
|
| Date |
6/11/2002 11:10 |
Date |
6/7/2002 15:00 |
|
| as % of Initial Capital |
10.15% |
as % of Initial Capital |
-6.50% |
|
| Net Profit as % of Drawdown |
97.54% |
Net Profit as % of Drawdown |
152.31% |
|
| Slct. Net Profit as % of Drawdown |
97.54% |
Slct. Net Profit as % of Drawdown |
152.31% |
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| Adj. Net Prof as % of Drawdown |
-49.72% |
Adj. Net Profit as % of Drawdown |
-77.64% |
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| Max. Trade Drawdown |
($180.00) |
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|
|
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| Long Trades |
|
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| Total Net Profit |
$815.00 |
Profit Factor |
2.01 |
|
| Gross Profit |
$1,625.00 |
Gross Loss |
($810.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$815.00 |
Select Profit Factor |
2.01 |
|
| Select Gross Profit |
$1,625.00 |
Select Gross Loss |
($810.00) |
|
|
| Adjusted Total Net Profit |
($242.40) |
Adjusted Profit Factor |
0.79 |
|
| Adjusted Gross Profit |
$898.28 |
Adjusted Gross Loss |
($1,140.68) |
|
|
| Total Number of Trades |
11 |
Percent Profitable |
45.45% |
|
| Winning Trades |
5 |
Losing Trades |
6 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$74.09 |
Ratio Avg. Win:Avg. Loss |
2.41 |
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| Avg. Winning Trade |
$325.00 |
Avg. Losing Trade |
($135.00) |
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| Largest Winning Trade |
$820.00 |
Largest Losing Trade |
($180.00) |
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| Largest Winner as % of Gross Profit |
50.46% |
Largest Loser as % of Gross Loss |
22.22% |
|
|
| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
3 |
|
| Avg. Bars in Winning Trades |
34.2 |
Avg. Bars in Losing Trades |
27.5 |
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| Avg. Bars in Total Trades |
30.55 |
|
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$385.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
|
|
| Net Profit as % of Largest Loss |
452.78% |
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| Slct. Net Profit as % of Largest Loss |
452.78% |
Adj. Net Profit as % of Largest Loss |
-134.67% |
|
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($600.00) |
Value |
($385.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-3.85% |
|
| Net Profit as % of Drawdown |
135.83% |
Net Profit as % of Drawdown |
211.69% |
|
| Slct. Net Profit as % of Drawdown |
135.83% |
Slct. Net Profit as % of Drawdown |
211.69% |
|
| Adj. Net Prof as % of Drawdown |
-40.40% |
Adj. Net Profit as % of Drawdown |
211.69% |
|
|
| Max. Trade Drawdown |
($180.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$175.00 |
Profit Factor |
1.14 |
|
| Gross Profit |
$1,390.00 |
Gross Loss |
($1,215.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$175.00 |
Select Profit Factor |
1.14 |
|
| Select Gross Profit |
$1,390.00 |
Select Gross Loss |
($1,215.00) |
|
|
| Adjusted Total Net Profit |
($876.19) |
Adjusted Profit Factor |
0.47 |
|
| Adjusted Gross Profit |
$768.37 |
Adjusted Gross Loss |
($1,644.57) |
|
| |
|
|
|
|
| Total Number of Trades |
13 |
Percent Profitable |
38.46% |
|
| Winning Trades |
5 |
Losing Trades |
8 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$13.46 |
Ratio Avg. Win:Avg. Loss |
1.83 |
|
| Avg. Winning Trade |
$278.00 |
Avg. Losing Trade |
($151.88) |
|
| Largest Winning Trade |
$900.00 |
Largest Losing Trade |
($180.00) |
|
| Largest Winner as % of Gross Profit |
64.75% |
Largest Loser as % of Gross Loss |
22.22% |
|
|
| Max. Consecutive Winning Trades |
1 |
Max. Consecutive Losing Trades |
2 |
|
| Avg. Bars in Winning Trades |
44.6 |
Avg. Bars in Losing Trades |
32.63 |
|
| Avg. Bars in Total Trades |
37.23 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$725.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
97.22% |
|
| Slct. Net Profit as % of Largest Loss |
97.22% |
Adj. Net Profit as % of Largest Loss |
-486.77% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($875.00) |
Value |
($725.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-7.25% |
|
| Net Profit as % of Drawdown |
20.00% |
Net Profit as % of Drawdown |
24.14% |
|
| Slct. Net Profit as % of Drawdown |
20.00% |
Slct. Net Profit as % of Drawdown |
24.14% |
|
| Adj. Net Prof as % of Drawdown |
-100.14% |
Adj. Net Prof as % of Drawdown |
-120.85% |
|
|
| Max. Trade Drawdown |
($180.00) |
|
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