| TradeStation Strategy Performance Summary
Cyclone System Dow E Mini March 2003 Contract |
| |
|
| |
All Trades |
Long Trades |
Short Trades |
|
| Total Net Profit |
$1,895.00 |
$2,090.00 |
($195.00) |
|
| Gross Profit |
$4,930.00 |
$3,340.00 |
$1,590.00 |
|
| Gross Loss |
($3,035.00) |
($1,250.00) |
($1,785.00) |
|
| Profit Factor |
1.62 |
2.67 |
0.89 |
|
| |
|
|
|
|
| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
|
| |
|
|
|
|
| Select Total Net Profit |
$1,895.00 |
$2,090.00 |
($195.00) |
|
| Select Gross Profit |
$4,930.00 |
$3,340.00 |
$1,590.00 |
|
| Select Gross Loss |
($3,035.00) |
($1,250.00) |
($1,785.00) |
|
| Select Profit Factor |
1.62 |
2.67 |
0.89 |
|
| |
|
|
|
|
| Adjusted Total Net Profit |
($150.98) |
$385.66 |
($1,359.40) |
|
| Adjusted Gross Profit |
$3,562.66 |
$2,077.60 |
$940.89 |
|
| Adjusted Gross Loss |
($3,713.65) |
($1,691.94) |
($2,300.29) |
|
| Adjusted Profit Factor |
0.96 |
1.23 |
0.41 |
|
| |
|
|
|
|
| Total Number of Trades |
33 |
15 |
18 |
|
| Percent Profitable |
39.39% |
46.67% |
33.33% |
|
| Winning Trades |
13 |
7 |
6 |
|
| Losing Trades |
20 |
8 |
12 |
|
| Even Trades |
0 |
0 |
0 |
|
| |
|
|
|
|
| Avg. Trade Net Profit |
$57.42 |
$139.33 |
($10.83) |
|
| Avg. Winning Trade |
$379.23 |
$477.14 |
$265.00 |
|
| Avg. Losing Trade |
($151.75) |
($156.25) |
($148.75) |
|
| Ratio Avg. Winning:Avg. Losing |
2.5 |
3.05 |
1.78 |
|
| Largest Winning Trade |
$820.00 |
$820.00 |
$580.00 |
|
| Largest Losing Trade |
($195.00) |
($185.00) |
($195.00) |
|
| Largest Winner as % of Gross Profit |
16.63% |
24.55% |
36.48% |
|
| Largest Loser as % of Gross Loss |
6.43% |
14.80% |
10.92% |
|
| |
|
|
|
|
| Net Profit as % of Largest Loss |
971.79% |
1129.73% |
-100.00% |
|
| Select Net Profit as % of Largest Loss |
971.79% |
1129.73% |
-100.00% |
|
| Adjusted Net Profit as % of Largest Loss |
-77.43% |
208.46% |
-697.13% |
|
| |
|
|
|
|
| Max. Consecutive Winning Trades |
2 |
2 |
2 |
|
| Max. Consecutive Losing Trades |
6 |
3 |
5 |
|
| Avg. Bars in Total Trades |
31.06 |
31.6 |
30.61 |
|
| Avg. Bars in Winning Trades |
48.77 |
45.29 |
52.83 |
|
| Avg. Bars in Losing Trades |
19.55 |
19.63 |
19.5 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
|
| Account Size Required |
$845.00 |
$500.00 |
$765.00 |
|
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
|
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
|
| |
|
|
|
|
| Return on Initial Capital |
18.95% |
|
| Annual Rate of Return |
61.36% |
|
| Buy & Hold Return |
-10.19% |
|
| Return on Account |
224.26% |
|
|
|
| Avg. Monthly Return |
$473.75 |
|
|
|
| Std. Deviation of Monthly Return |
$882.07 |
|
|
|
| |
|
|
|
|
| Return Retracement Ratio |
1.56 |
|
|
|
| RINA Index |
524.58 |
|
|
|
| Sharpe Ratio |
n/a |
|
|
|
| K-Ratio |
n/a |
|
|
|
| |
|
|
|
|
| Trading Period |
3 Mths, 11 Dys, 7 Hrs |
|
|
|
| Percent of Time in the Market |
3.33% |
|
| Time in the Market |
3 Dys, 10 Hrs, 40 Mins |
|
|
|
| Longest Flat Period |
10 Dys, 17 Hrs, 55 Mins |
|
|
|
| |
|
|
|
|
| Max. Equity Run-up |
$2,785.00 |
|
|
|
| Date of Max. Equity Run-up |
3/12/2003 15:10 |
|
|
|
| Max. Equity Run-up as % of Initial Capital |
27.85% |
|
|
|
| |
|
| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($970.00) |
($710.00) |
($955.00) |
|
| Date |
12/27/2002 15:05 |
|
|
|
| as % of Initial Capital |
9.70% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
195.36% |
294.37% |
-20.42% |
|
| Select Net Profit as % of Drawdown |
195.36% |
294.37% |
-20.42% |
|
| Adjusted Net Profit as % of Drawdown |
-15.57% |
54.32% |
-142.35% |
|
| |
|
|
|
|
| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($845.00) |
($500.00) |
($765.00) |
|
| Date |
12/27/2002 15:05 |
|
|
|
| as % of Initial Capital |
-8.45% |
-5.00% |
-7.65% |
|
| Net Profit as % of Drawdown |
224.26% |
418.00% |
-25.49% |
|
| Select Net Profit as % of Drawdown |
224.26% |
418.00% |
-25.49% |
|
| Adjusted Net Profit as % of Drawdown |
-17.87% |
77.13% |
-177.70% |
|
| |
|
|
|
|
| Max. Trade Drawdown |
($195.00) |
($185.00) |
($195.00) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| All Trades |
|
| |
|
| Total Net Profit |
$1,895.00 |
Profit Factor |
1.62 |
|
| Gross Profit |
$4,930.00 |
Gross Loss |
($3,035.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,895.00 |
Select Profit Factor |
1.62 |
|
| Select Gross Profit |
$4,930.00 |
Select Gross Loss |
($3,035.00) |
|
|
| Adjusted Total Net Profit |
($150.98) |
Adjusted Profit Factor |
0.96 |
|
| Adjusted Gross Profit |
$3,562.66 |
Adjusted Gross Loss |
($3,713.65) |
|
|
| Total Number of Trades |
33 |
Percent Profitable |
39.39% |
|
| Winning Trades |
13 |
Losing Trades |
20 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$57.42 |
Ratio Avg. Win:Avg. Loss |
2.5 |
|
| Avg. Winning Trade |
$379.23 |
Avg. Losing Trade |
($151.75) |
|
| Largest Winning Trade |
$820.00 |
Largest Losing Trade |
($195.00) |
|
| Largest Winner as % of Gross Profit |
16.63% |
Largest Loser as % of Gross Loss |
6.43% |
|
|
| Net Profit as % of Largest Loss |
971.79% |
|
| Slct. Net Profit as % of Largest Loss |
971.79% |
Adj. Net Profit as % of Largest Loss |
-77.43% |
|
|
| Max. Consecutive Winning Trades |
2 |
Max. Consecutive Losing Trades |
6 |
|
| Avg. Bars in Winning Trades |
48.77 |
Avg. Bars in Losing Trades |
19.55 |
|
| Avg. Bars in Total Trades |
31.06 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$845.00 |
|
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
18.95% |
Annual Rate of Return |
61.36% |
|
| Buy and Hold Return |
-10.19% |
Return on Account |
224.26% |
|
| Avg. Monthly Return |
$473.75 |
Std. Deviation of Monthly Return |
$882.07 |
|
|
| Return Retracement Ratio |
1.56 |
RINA Index |
524.58 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
3 Mths, 11 Dys, 7 Hrs |
Percent of Time in the Market |
3.33% |
|
| Time in the Market |
3 Dys, 10 Hrs, 40 Mins |
Longest Flat Period |
10 Dys, 17 Hrs, 55 Mins |
|
| Max. Equity Run-up |
$2,785.00 |
|
| Date of Max. E. Run-up |
3/12/2003 15:10 |
Max. E. Run-up as % of Initial Capital |
27.85% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($970.00) |
Value |
($845.00) |
|
| Date |
12/27/2002 15:05 |
Date |
12/27/2002 15:05 |
|
| as % of Initial Capital |
9.70% |
as % of Initial Capital |
-8.45% |
|
| Net Profit as % of Drawdown |
195.36% |
Net Profit as % of Drawdown |
224.26% |
|
| Slct. Net Profit as % of Drawdown |
195.36% |
Slct. Net Profit as % of Drawdown |
224.26% |
|
| Adj. Net Prof as % of Drawdown |
-15.57% |
Adj. Net Profit as % of Drawdown |
-17.87% |
|
|
| Max. Trade Drawdown |
($195.00) |
|
|
|
|
| Long Trades |
|
|
| Total Net Profit |
$2,090.00 |
Profit Factor |
2.67 |
|
| Gross Profit |
$3,340.00 |
Gross Loss |
($1,250.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$2,090.00 |
Select Profit Factor |
2.67 |
|
| Select Gross Profit |
$3,340.00 |
Select Gross Loss |
($1,250.00) |
|
|
| Adjusted Total Net Profit |
$385.66 |
Adjusted Profit Factor |
1.23 |
|
| Adjusted Gross Profit |
$2,077.60 |
Adjusted Gross Loss |
($1,691.94) |
|
|
| Total Number of Trades |
15 |
Percent Profitable |
46.67% |
|
| Winning Trades |
7 |
Losing Trades |
8 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$139.33 |
Ratio Avg. Win:Avg. Loss |
3.05 |
|
| Avg. Winning Trade |
$477.14 |
Avg. Losing Trade |
($156.25) |
|
| Largest Winning Trade |
$820.00 |
Largest Losing Trade |
($185.00) |
|
| Largest Winner as % of Gross Profit |
24.55% |
Largest Loser as % of Gross Loss |
14.80% |
|
|
| Max. Consecutive Winning Trades |
2 |
Max. Consecutive Losing Trades |
3 |
|
| Avg. Bars in Winning Trades |
45.29 |
Avg. Bars in Losing Trades |
19.63 |
|
| Avg. Bars in Total Trades |
31.6 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$500.00 |
|
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
|
|
| Net Profit as % of Largest Loss |
1129.73% |
|
| Slct. Net Profit as % of Largest Loss |
1129.73% |
Adj. Net Profit as % of Largest Loss |
208.46% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($710.00) |
Value |
($500.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-5.00% |
|
| Net Profit as % of Drawdown |
294.37% |
Net Profit as % of Drawdown |
418.00% |
|
| Slct. Net Profit as % of Drawdown |
294.37% |
Slct. Net Profit as % of Drawdown |
418.00% |
|
| Adj. Net Prof as % of Drawdown |
54.32% |
Adj. Net Profit as % of Drawdown |
418.00% |
|
|
| Max. Trade Drawdown |
($185.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
($195.00) |
Profit Factor |
0.89 |
|
| Gross Profit |
$1,590.00 |
Gross Loss |
($1,785.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($195.00) |
Select Profit Factor |
0.89 |
|
| Select Gross Profit |
$1,590.00 |
Select Gross Loss |
($1,785.00) |
|
|
| Adjusted Total Net Profit |
($1,359.40) |
Adjusted Profit Factor |
0.41 |
|
| Adjusted Gross Profit |
$940.89 |
Adjusted Gross Loss |
($2,300.29) |
|
| |
|
|
|
|
| Total Number of Trades |
18 |
Percent Profitable |
33.33% |
|
| Winning Trades |
6 |
Losing Trades |
12 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
($10.83) |
Ratio Avg. Win:Avg. Loss |
1.78 |
|
| Avg. Winning Trade |
$265.00 |
Avg. Losing Trade |
($148.75) |
|
| Largest Winning Trade |
$580.00 |
Largest Losing Trade |
($195.00) |
|
| Largest Winner as % of Gross Profit |
36.48% |
Largest Loser as % of Gross Loss |
14.80% |
|
|
| Max. Consecutive Winning Trades |
2 |
Max. Consecutive Losing Trades |
5 |
|
| Avg. Bars in Winning Trades |
52.83 |
Avg. Bars in Losing Trades |
19.5 |
|
| Avg. Bars in Total Trades |
30.61 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$765.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
-100.00% |
|
| Slct. Net Profit as % of Largest Loss |
-100.00% |
Adj. Net Profit as % of Largest Loss |
-697.13% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($955.00) |
Value |
($765.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-7.65% |
|
| Net Profit as % of Drawdown |
-20.42% |
Net Profit as % of Drawdown |
-25.49% |
|
| Slct. Net Profit as % of Drawdown |
-20.42% |
Slct. Net Profit as % of Drawdown |
-25.49% |
|
| Adj. Net Prof as % of Drawdown |
-142.35% |
Adj. Net Prof as % of Drawdown |
-177.70% |
|
|
| Max. Trade Drawdown |
($195.00) |
|
|
|
|
|
|
|