| TradeStation Strategy Performance Summary
Cyclone System Dow E Mini September 2002 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
$1,255.00 |
$760.00 |
$495.00 |
|
| Gross Profit |
$2,390.00 |
$1,145.00 |
$1,245.00 |
|
| Gross Loss |
($1,135.00) |
($385.00) |
($750.00) |
|
| Profit Factor |
2.11 |
2.97 |
1.66 |
|
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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 |
$1,255.00 |
$760.00 |
$495.00 |
|
| Select Gross Profit |
$2,390.00 |
$1,145.00 |
$1,245.00 |
|
| Select Gross Loss |
($1,135.00) |
($385.00) |
($750.00) |
|
| Select Profit Factor |
2.11 |
2.97 |
1.66 |
|
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|
|
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| Adjusted Total Net Profit |
($49.62) |
($123.35) |
($462.91) |
|
| Adjusted Gross Profit |
$1,486.66 |
$483.93 |
$622.50 |
|
| Adjusted Gross Loss |
($1,536.28) |
($607.28) |
($1,085.41) |
|
| Adjusted Profit Factor |
0.97 |
0.8 |
0.57 |
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|
|
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| Total Number of Trades |
15 |
6 |
9 |
|
| Percent Profitable |
46.67% |
50.00% |
44.44% |
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| Winning Trades |
7 |
3 |
4 |
|
| Losing Trades |
8 |
3 |
5 |
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| Even Trades |
0 |
0 |
0 |
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|
|
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| Avg. Trade Net Profit |
$83.67 |
$126.67 |
$55.00 |
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| Avg. Winning Trade |
$341.43 |
$381.67 |
$311.25 |
|
| Avg. Losing Trade |
($141.88) |
($128.33) |
($150.00) |
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| Ratio Avg. Winning:Avg. Losing |
2.41 |
2.97 |
2.08 |
|
| Largest Winning Trade |
$900.00 |
$820.00 |
$900.00 |
|
| Largest Losing Trade |
($180.00) |
($180.00) |
($180.00) |
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| Largest Winner as % of Gross Profit |
37.66% |
71.62% |
72.29% |
|
| Largest Loser as % of Gross Loss |
15.86% |
46.75% |
24.00% |
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| Net Profit as % of Largest Loss |
697.22% |
422.22% |
275.00% |
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| Select Net Profit as % of Largest Loss |
697.22% |
422.22% |
275.00% |
|
| Adjusted Net Profit as % of Largest Loss |
-27.57% |
-68.53% |
-257.17% |
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| Max. Consecutive Winning Trades |
3 |
3 |
1 |
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| Max. Consecutive Losing Trades |
4 |
3 |
2 |
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| Avg. Bars in Total Trades |
38.33 |
31.5 |
42.89 |
|
| Avg. Bars in Winning Trades |
38.86 |
37.33 |
40 |
|
| Avg. Bars in Losing Trades |
37.88 |
25.67 |
45.2 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
|
| Account Size Required |
$650.00 |
$385.00 |
$430.00 |
|
| 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 |
1.26% |
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| Annual Rate of Return |
9.27% |
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| Buy & Hold Return |
-3.70% |
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| Return on Account |
193.08% |
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|
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| Avg. Monthly Return |
$627.50 |
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|
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| Std. Deviation of Monthly Return |
$441.94 |
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| Return Retracement Ratio |
24.2 |
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| RINA Index |
311.11 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
1 Mth, 18 Dys, 3 Hrs, 35 Mins |
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| Percent of Time in the Market |
3.96% |
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| Time in the Market |
1 Dy, 22 Hrs, 40 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 |
1.50% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($1,015.00) |
($600.00) |
($825.00) |
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| Date |
6/11/2002 11:10 |
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|
|
| as % of Initial Capital |
1.01% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
123.65% |
126.67% |
60.00% |
|
| Select Net Profit as % of Drawdown |
123.65% |
126.67% |
60.00% |
|
| Adjusted Net Profit as % of Drawdown |
-4.89% |
-20.56% |
-56.11% |
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($650.00) |
($385.00) |
($430.00) |
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| Date |
6/7/2002 15:00 |
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|
|
| as % of Initial Capital |
-0.65% |
-0.39% |
-0.43% |
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| Net Profit as % of Drawdown |
193.08% |
197.40% |
115.12% |
|
| Select Net Profit as % of Drawdown |
193.08% |
197.40% |
115.12% |
|
| Adjusted Net Profit as % of Drawdown |
-7.63% |
-32.04% |
-107.65% |
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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 |
$1,255.00 |
Profit Factor |
2.11 |
|
| Gross Profit |
$2,390.00 |
Gross Loss |
($1,135.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,255.00 |
Select Profit Factor |
2.11 |
|
| Select Gross Profit |
$2,390.00 |
Select Gross Loss |
($1,135.00) |
|
|
| Adjusted Total Net Profit |
($49.62) |
Adjusted Profit Factor |
0.97 |
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| Adjusted Gross Profit |
$1,486.66 |
Adjusted Gross Loss |
($1,536.28) |
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|
| Total Number of Trades |
15 |
Percent Profitable |
46.67% |
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| Winning Trades |
7 |
Losing Trades |
8 |
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| Even Trades |
0 |
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|
| Avg. Trade Net Profit |
$83.67 |
Ratio Avg. Win:Avg. Loss |
2.41 |
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| Avg. Winning Trade |
$341.43 |
Avg. Losing Trade |
($141.88) |
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| Largest Winning Trade |
$900.00 |
Largest Losing Trade |
($180.00) |
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| Largest Winner as % of Gross Profit |
37.66% |
Largest Loser as % of Gross Loss |
15.86% |
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| Net Profit as % of Largest Loss |
697.22% |
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| Slct. Net Profit as % of Largest Loss |
697.22% |
Adj. Net Profit as % of Largest Loss |
-27.57% |
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
4 |
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| Avg. Bars in Winning Trades |
38.86 |
Avg. Bars in Losing Trades |
37.88 |
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| Avg. Bars in Total Trades |
38.33 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$650.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
1.26% |
Annual Rate of Return |
9.27% |
|
| Buy and Hold Return |
-3.70% |
Return on Account |
193.08% |
|
| Avg. Monthly Return |
$627.50 |
Std. Deviation of Monthly Return |
$441.94 |
|
|
| Return Retracement Ratio |
24.2 |
RINA Index |
311.11 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
1 Mth, 18 Dys, 3 Hrs, 35 Mins |
Percent of Time in the Market |
3.96% |
|
| Time in the Market |
1 Dy, 22 Hrs, 40 Mins |
Longest Flat Period |
6 Dys, 18 Hrs, 15 Mins |
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|
| 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 |
1.50% |
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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 |
1.01% |
as % of Initial Capital |
-0.65% |
|
| Net Profit as % of Drawdown |
123.65% |
Net Profit as % of Drawdown |
193.08% |
|
| Slct. Net Profit as % of Drawdown |
123.65% |
Slct. Net Profit as % of Drawdown |
193.08% |
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| Adj. Net Prof as % of Drawdown |
-4.89% |
Adj. Net Profit as % of Drawdown |
-7.63% |
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| Max. Trade Drawdown |
($180.00) |
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| Long Trades |
|
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| Total Net Profit |
$760.00 |
Profit Factor |
2.97 |
|
| Gross Profit |
$1,145.00 |
Gross Loss |
($385.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$760.00 |
Select Profit Factor |
2.97 |
|
| Select Gross Profit |
$1,145.00 |
Select Gross Loss |
($385.00) |
|
|
| Adjusted Total Net Profit |
($123.35) |
Adjusted Profit Factor |
0.8 |
|
| Adjusted Gross Profit |
$483.93 |
Adjusted Gross Loss |
($607.28) |
|
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| Total Number of Trades |
6 |
Percent Profitable |
50.00% |
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| Winning Trades |
3 |
Losing Trades |
3 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$126.67 |
Ratio Avg. Win:Avg. Loss |
2.97 |
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| Avg. Winning Trade |
$381.67 |
Avg. Losing Trade |
($128.33) |
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| Largest Winning Trade |
$820.00 |
Largest Losing Trade |
($180.00) |
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| Largest Winner as % of Gross Profit |
71.62% |
Largest Loser as % of Gross Loss |
46.75% |
|
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
3 |
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| Avg. Bars in Winning Trades |
37.33 |
Avg. Bars in Losing Trades |
25.67 |
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| Avg. Bars in Total Trades |
31.5 |
|
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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 |
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|
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| Net Profit as % of Largest Loss |
422.22% |
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| Slct. Net Profit as % of Largest Loss |
422.22% |
Adj. Net Profit as % of Largest Loss |
-68.53% |
|
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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 |
-0.39% |
|
| Net Profit as % of Drawdown |
126.67% |
Net Profit as % of Drawdown |
197.40% |
|
| Slct. Net Profit as % of Drawdown |
126.67% |
Slct. Net Profit as % of Drawdown |
197.40% |
|
| Adj. Net Prof as % of Drawdown |
-20.56% |
Adj. Net Profit as % of Drawdown |
197.40% |
|
|
| Max. Trade Drawdown |
($180.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$495.00 |
Profit Factor |
1.66 |
|
| Gross Profit |
$1,245.00 |
Gross Loss |
($750.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$495.00 |
Select Profit Factor |
1.66 |
|
| Select Gross Profit |
$1,245.00 |
Select Gross Loss |
($750.00) |
|
|
| Adjusted Total Net Profit |
($462.91) |
Adjusted Profit Factor |
0.57 |
|
| Adjusted Gross Profit |
$622.50 |
Adjusted Gross Loss |
($1,085.41) |
|
| |
|
|
|
|
| Total Number of Trades |
9 |
Percent Profitable |
44.44% |
|
| Winning Trades |
4 |
Losing Trades |
5 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$55.00 |
Ratio Avg. Win:Avg. Loss |
2.08 |
|
| Avg. Winning Trade |
$311.25 |
Avg. Losing Trade |
($150.00) |
|
| Largest Winning Trade |
$900.00 |
Largest Losing Trade |
($180.00) |
|
| Largest Winner as % of Gross Profit |
72.29% |
Largest Loser as % of Gross Loss |
46.75% |
|
|
| Max. Consecutive Winning Trades |
1 |
Max. Consecutive Losing Trades |
2 |
|
| Avg. Bars in Winning Trades |
40 |
Avg. Bars in Losing Trades |
45.2 |
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| Avg. Bars in Total Trades |
42.89 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$430.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
275.00% |
|
| Slct. Net Profit as % of Largest Loss |
275.00% |
Adj. Net Profit as % of Largest Loss |
-257.17% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($825.00) |
Value |
($430.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-0.43% |
|
| Net Profit as % of Drawdown |
60.00% |
Net Profit as % of Drawdown |
115.12% |
|
| Slct. Net Profit as % of Drawdown |
60.00% |
Slct. Net Profit as % of Drawdown |
115.12% |
|
| Adj. Net Prof as % of Drawdown |
-56.11% |
Adj. Net Prof as % of Drawdown |
-107.65% |
|
|
| Max. Trade Drawdown |
($180.00) |
|
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