| TradeStation Strategy Performance Summary
Cyclone System Dow E Mini June 2003 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
$2,695.00 |
$2,895.00 |
($200.00) |
|
| Gross Profit |
$7,070.00 |
$5,060.00 |
$2,010.00 |
|
| Gross Loss |
($4,375.00) |
($2,165.00) |
($2,210.00) |
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| Profit Factor |
1.62 |
2.34 |
0.91 |
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| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
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| Select Total Net Profit |
$1,205.00 |
$1,405.00 |
($200.00) |
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| Select Gross Profit |
$5,580.00 |
$3,570.00 |
$2,010.00 |
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| Select Gross Loss |
($4,375.00) |
($2,165.00) |
($2,210.00) |
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| Select Profit Factor |
1.28 |
1.65 |
0.91 |
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| Adjusted Total Net Profit |
$315.34 |
$810.35 |
($1,440.62) |
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| Adjusted Gross Profit |
$5,489.10 |
$3,534.35 |
$1,340.00 |
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| Adjusted Gross Loss |
($5,173.76) |
($2,724.00) |
($2,780.62) |
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| Adjusted Profit Factor |
1.06 |
1.3 |
0.48 |
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| Total Number of Trades |
50 |
26 |
24 |
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| Percent Profitable |
40.00% |
42.31% |
37.50% |
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| Winning Trades |
20 |
11 |
9 |
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| Losing Trades |
30 |
15 |
15 |
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| Even Trades |
0 |
0 |
0 |
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| Avg. Trade Net Profit |
$53.90 |
$111.35 |
($8.33) |
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| Avg. Winning Trade |
$353.50 |
$460.00 |
$223.33 |
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| Avg. Losing Trade |
($145.83) |
($144.33) |
($147.33) |
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| Ratio Avg. Winning:Avg. Losing |
2.42 |
3.19 |
1.52 |
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| Largest Winning Trade |
$1,490.00 |
$1,490.00 |
$540.00 |
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| Largest Losing Trade |
($205.00) |
($205.00) |
($205.00) |
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| Largest Winner as % of Gross Profit |
21.07% |
29.45% |
26.87% |
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| Largest Loser as % of Gross Loss |
4.69% |
9.47% |
9.28% |
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| Net Profit as % of Largest Loss |
1314.63% |
1412.20% |
-97.56% |
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| Select Net Profit as % of Largest Loss |
587.80% |
685.37% |
-97.56% |
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| Adjusted Net Profit as % of Largest Loss |
153.82% |
395.29% |
-702.74% |
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| Max. Consecutive Winning Trades |
4 |
2 |
3 |
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| Max. Consecutive Losing Trades |
7 |
4 |
5 |
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| Avg. Bars in Total Trades |
33.42 |
32.46 |
34.46 |
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| Avg. Bars in Winning Trades |
54.05 |
55.64 |
52.11 |
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| Avg. Bars in Losing Trades |
19.67 |
15.47 |
23.87 |
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| Max. Shares/Contracts Held |
1 |
1 |
1 |
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| Account Size Required |
$1,165.00 |
$595.00 |
$1,035.00 |
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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 |
26.95% |
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| Annual Rate of Return |
83.60% |
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| Buy & Hold Return |
22.92% |
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| Return on Account |
231.33% |
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| Avg. Monthly Return |
$673.75 |
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| Std. Deviation of Monthly Return |
$475.61 |
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| Return Retracement Ratio |
9.22 |
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| RINA Index |
208.14 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
3 Mths, 12 Dys, 6 Hrs, 15 Mins |
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| Percent of Time in the Market |
5.41% |
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| Time in the Market |
5 Dys, 15 Hrs, 15 Mins |
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| Longest Flat Period |
5 Dys, 18 Hrs, 5 Mins |
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| Max. Equity Run-up |
$3,200.00 |
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| Date of Max. Equity Run-up |
6/6/2003 9:15 |
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| Max. Equity Run-up as % of Initial Capital |
32.00% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
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| Value |
($1,365.00) |
($840.00) |
($1,170.00) |
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| Date |
4/11/2003 9:05 |
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| as % of Initial Capital |
13.65% |
n/a |
n/a |
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| Net Profit as % of Drawdown |
197.44% |
344.64% |
-17.09% |
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| Select Net Profit as % of Drawdown |
88.28% |
167.26% |
-17.09% |
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| Adjusted Net Profit as % of Drawdown |
23.10% |
96.47% |
-123.13% |
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,165.00) |
($595.00) |
($1,035.00) |
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| Date |
4/11/2003 9:10 |
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| as % of Initial Capital |
-11.65% |
-5.95% |
-10.35% |
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| Net Profit as % of Drawdown |
231.33% |
486.55% |
-19.32% |
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| Select Net Profit as % of Drawdown |
103.43% |
236.13% |
-19.32% |
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| Adjusted Net Profit as % of Drawdown |
27.07% |
136.19% |
-139.19% |
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| Max. Trade Drawdown |
($205.00) |
($205.00) |
($205.00) |
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| All Trades |
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| Total Net Profit |
$2,695.00 |
Profit Factor |
1.62 |
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| Gross Profit |
$7,070.00 |
Gross Loss |
($4,375.00) |
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| Open Position Profit/Loss |
$0.00 |
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|
| Select Total Net Profit |
$1,205.00 |
Select Profit Factor |
1.28 |
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| Select Gross Profit |
$5,580.00 |
Select Gross Loss |
($4,375.00) |
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| Adjusted Total Net Profit |
$315.34 |
Adjusted Profit Factor |
1.06 |
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| Adjusted Gross Profit |
$5,489.10 |
Adjusted Gross Loss |
($5,173.76) |
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| Total Number of Trades |
50 |
Percent Profitable |
40.00% |
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| Winning Trades |
20 |
Losing Trades |
30 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$53.90 |
Ratio Avg. Win:Avg. Loss |
2.42 |
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| Avg. Winning Trade |
$353.50 |
Avg. Losing Trade |
($145.83) |
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| Largest Winning Trade |
$1,490.00 |
Largest Losing Trade |
($205.00) |
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| Largest Winner as % of Gross Profit |
21.07% |
Largest Loser as % of Gross Loss |
4.69% |
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| Net Profit as % of Largest Loss |
1314.63% |
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| Slct. Net Profit as % of Largest Loss |
587.80% |
Adj. Net Profit as % of Largest Loss |
153.82% |
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| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
7 |
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| Avg. Bars in Winning Trades |
54.05 |
Avg. Bars in Losing Trades |
19.67 |
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| Avg. Bars in Total Trades |
33.42 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,165.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
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|
| Return on Initial Capital |
26.95% |
Annual Rate of Return |
83.60% |
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| Buy and Hold Return |
22.92% |
Return on Account |
231.33% |
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| Avg. Monthly Return |
$673.75 |
Std. Deviation of Monthly Return |
$475.61 |
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|
| Return Retracement Ratio |
9.22 |
RINA Index |
208.14 |
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| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
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|
| Trading Period |
3 Mths, 12 Dys, 6 Hrs, 15 Mins |
Percent of Time in the Market |
5.41% |
|
| Time in the Market |
5 Dys, 15 Hrs, 15 Mins |
Longest Flat Period |
5 Dys, 18 Hrs, 5 Mins |
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|
| Max. Equity Run-up |
$3,200.00 |
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| Date of Max. E. Run-up |
6/6/2003 9:15 |
Max. E. Run-up as % of Initial Capital |
32.00% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
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| Value |
($1,365.00) |
Value |
($1,165.00) |
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| Date |
4/11/2003 9:05 |
Date |
4/11/2003 9:10 |
|
| as % of Initial Capital |
13.65% |
as % of Initial Capital |
-11.65% |
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| Net Profit as % of Drawdown |
197.44% |
Net Profit as % of Drawdown |
231.33% |
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| Slct. Net Profit as % of Drawdown |
88.28% |
Slct. Net Profit as % of Drawdown |
103.43% |
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| Adj. Net Prof as % of Drawdown |
23.10% |
Adj. Net Profit as % of Drawdown |
27.07% |
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| Max. Trade Drawdown |
($205.00) |
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| Long Trades |
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| Total Net Profit |
$2,895.00 |
Profit Factor |
2.34 |
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| Gross Profit |
$5,060.00 |
Gross Loss |
($2,165.00) |
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| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,405.00 |
Select Profit Factor |
1.65 |
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| Select Gross Profit |
$3,570.00 |
Select Gross Loss |
($2,165.00) |
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| Adjusted Total Net Profit |
$810.35 |
Adjusted Profit Factor |
1.3 |
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| Adjusted Gross Profit |
$3,534.35 |
Adjusted Gross Loss |
($2,724.00) |
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| Total Number of Trades |
26 |
Percent Profitable |
42.31% |
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| Winning Trades |
11 |
Losing Trades |
15 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$111.35 |
Ratio Avg. Win:Avg. Loss |
3.19 |
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| Avg. Winning Trade |
$460.00 |
Avg. Losing Trade |
($144.33) |
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| Largest Winning Trade |
$1,490.00 |
Largest Losing Trade |
($205.00) |
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| Largest Winner as % of Gross Profit |
29.45% |
Largest Loser as % of Gross Loss |
9.47% |
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| Max. Consecutive Winning Trades |
2 |
Max. Consecutive Losing Trades |
4 |
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| Avg. Bars in Winning Trades |
55.64 |
Avg. Bars in Losing Trades |
15.47 |
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| Avg. Bars in Total Trades |
32.46 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$595.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
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| Net Profit as % of Largest Loss |
1412.20% |
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| Slct. Net Profit as % of Largest Loss |
685.37% |
Adj. Net Profit as % of Largest Loss |
395.29% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
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| Value |
($840.00) |
Value |
($595.00) |
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| as % of Initial Capital |
n/a |
as % of Initial Capital |
-5.95% |
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| Net Profit as % of Drawdown |
344.64% |
Net Profit as % of Drawdown |
486.55% |
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| Slct. Net Profit as % of Drawdown |
167.26% |
Slct. Net Profit as % of Drawdown |
236.13% |
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| Adj. Net Prof as % of Drawdown |
96.47% |
Adj. Net Profit as % of Drawdown |
236.13% |
|
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| Max. Trade Drawdown |
($205.00) |
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|
|
| Short Trades |
|
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| Total Net Profit |
($200.00) |
Profit Factor |
0.91 |
|
| Gross Profit |
$2,010.00 |
Gross Loss |
($2,210.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($200.00) |
Select Profit Factor |
0.91 |
|
| Select Gross Profit |
$2,010.00 |
Select Gross Loss |
($2,210.00) |
|
|
| Adjusted Total Net Profit |
($1,440.62) |
Adjusted Profit Factor |
0.48 |
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| Adjusted Gross Profit |
$1,340.00 |
Adjusted Gross Loss |
($2,780.62) |
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| Total Number of Trades |
24 |
Percent Profitable |
37.50% |
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| Winning Trades |
9 |
Losing Trades |
15 |
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| Even Trades |
0 |
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| Avg. Trade Net Proft |
($8.33) |
Ratio Avg. Win:Avg. Loss |
1.52 |
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| Avg. Winning Trade |
$223.33 |
Avg. Losing Trade |
($147.33) |
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| Largest Winning Trade |
$540.00 |
Largest Losing Trade |
($205.00) |
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| Largest Winner as % of Gross Profit |
26.87% |
Largest Loser as % of Gross Loss |
9.47% |
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
5 |
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| Avg. Bars in Winning Trades |
52.11 |
Avg. Bars in Losing Trades |
23.87 |
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| Avg. Bars in Total Trades |
34.46 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,035.00 |
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| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
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| Net Profit as % of Largest Loss |
-97.56% |
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| Slct. Net Profit as % of Largest Loss |
-97.56% |
Adj. Net Profit as % of Largest Loss |
-702.74% |
|
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,170.00) |
Value |
($1,035.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-10.35% |
|
| Net Profit as % of Drawdown |
-17.09% |
Net Profit as % of Drawdown |
-19.32% |
|
| Slct. Net Profit as % of Drawdown |
-17.09% |
Slct. Net Profit as % of Drawdown |
-19.32% |
|
| Adj. Net Prof as % of Drawdown |
-123.13% |
Adj. Net Prof as % of Drawdown |
-139.19% |
|
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| Max. Trade Drawdown |
($205.00) |
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