| TradeStation Strategy Performance Summary
Self Adaptive Soybean System |
| |
|
| |
All Trades |
Long Trades |
Short Trades |
| Total Net Profit |
$60,706.25 |
$13,031.25 |
$47,675.00 |
| Gross Profit |
$147,137.50 |
$64,150.00 |
$82,987.50 |
| Gross Loss |
($86,431.25) |
($51,118.75) |
($35,312.50) |
| Profit Factor |
1.7 |
1.25 |
2.35 |
| |
|
|
|
| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
| |
|
|
|
| Select Total Net Profit |
$69,193.75 |
$17,068.75 |
$52,125.00 |
| Select Gross Profit |
$147,137.50 |
$64,150.00 |
$82,987.50 |
| Select Gross Loss |
($77,943.75) |
($47,081.25) |
($30,862.50) |
| Select Profit Factor |
1.89 |
1.36 |
2.69 |
| |
|
|
|
| Adjusted Total Net Profit |
$29,519.76 |
($8,855.22) |
$25,594.47 |
| Adjusted Gross Profit |
$125,675.29 |
$50,151.32 |
$66,712.31 |
| Adjusted Gross Loss |
($96,155.53) |
($59,006.54) |
($41,117.84) |
| Adjusted Profit Factor |
1.31 |
0.85 |
1.62 |
| |
|
|
|
| Total Number of Trades |
126 |
63 |
63 |
| Percent Profitable |
37.30% |
33.33% |
41.27% |
| Winning Trades |
47 |
21 |
26 |
| Losing Trades |
79 |
42 |
37 |
| Even Trades |
0 |
0 |
0 |
| |
|
|
|
| Avg. Trade Net Profit |
$481.80 |
$206.85 |
$756.75 |
| Avg. Winning Trade |
$3,130.59 |
$3,054.76 |
$3,191.83 |
| Avg. Losing Trade |
($1,094.07) |
($1,217.11) |
($954.39) |
| Ratio Avg. Winning:Avg. Losing |
2.86 |
2.51 |
3.34 |
| Largest Winning Trade |
$10,700.00 |
$8,400.00 |
$10,700.00 |
| Largest Losing Trade |
($4,450.00) |
($4,037.50) |
($4,450.00) |
| Largest Winner as % of Gross Profit |
7.27% |
13.09% |
12.89% |
| Largest Loser as % of Gross Loss |
5.15% |
7.90% |
12.60% |
| |
|
|
|
| Net Profit as % of Largest Loss |
1364.19% |
322.76% |
1071.35% |
| Select Net Profit as % of Largest Loss |
1554.92% |
422.76% |
1171.35% |
| Adjusted Net Profit as % of Largest Loss |
663.37% |
-219.32% |
575.16% |
| |
|
|
|
| Max. Consecutive Winning Trades |
4 |
5 |
4 |
| Max. Consecutive Losing Trades |
16 |
11 |
11 |
| Avg. Bars in Total Trades |
51.03 |
48.84 |
53.22 |
| Avg. Bars in Winning Trades |
85.26 |
81.05 |
88.65 |
| Avg. Bars in Losing Trades |
30.67 |
32.74 |
28.32 |
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
| Account Size Required |
$15,568.75 |
$17,075.00 |
$10,087.50 |
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
| |
|
|
|
| Return on Initial Capital |
60.71% |
|
| Annual Rate of Return |
1.89% |
|
| Buy & Hold Return |
-54.17% |
|
| Return on Account |
389.92% |
|
|
| Avg. Monthly Return |
$315.31 |
|
|
| Std. Deviation of Monthly Return |
$1,508.17 |
|
|
| |
|
|
|
| Return Retracement Ratio |
0.06 |
|
|
| RINA Index |
51.88 |
|
|
| Sharpe Ratio |
0 |
|
|
| K-Ratio |
1.06 |
|
|
| |
|
|
|
| Trading Period |
25 Yrs, 24 Dys |
|
|
| Percent of Time in the Market |
99.83% |
|
| Time in the Market |
9140 Dys |
|
|
| Longest Flat Period |
n/a |
|
|
| |
|
|
|
| Max. Equity Run-up |
$73,525.00 |
|
|
| Date of Max. Equity Run-up |
6/23/1988 13:15 |
|
|
| Max. Equity Run-up as % of Initial Capital |
73.53% |
|
|
| |
|
| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($32,625.00) |
($32,287.50) |
($11,675.00) |
| Date |
9/18/1991 13:15 |
|
|
| as % of Initial Capital |
32.63% |
n/a |
n/a |
| Net Profit as % of Drawdown |
186.07% |
40.36% |
408.35% |
| Select Net Profit as % of Drawdown |
212.09% |
52.86% |
446.47% |
| Adjusted Net Profit as % of Drawdown |
90.48% |
-27.43% |
219.22% |
| |
|
|
|
| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($15,568.75) |
($17,075.00) |
($10,087.50) |
| Date |
10/2/1996 13:15 |
|
|
| as % of Initial Capital |
-15.57% |
-17.07% |
-10.09% |
| Net Profit as % of Drawdown |
389.92% |
76.32% |
472.61% |
| Select Net Profit as % of Drawdown |
444.44% |
99.96% |
516.73% |
| Adjusted Net Profit as % of Drawdown |
189.61% |
-51.86% |
253.72% |
| |
|
|
|
| Max. Trade Drawdown |
($5,437.50) |
($4,875.00) |
($5,437.50) |
|
|
|
|
|
|
|
|
|
|
|
|
| All Trades |
|
| |
|
| Total Net Profit |
$60,706.25 |
Profit Factor |
1.7 |
| Gross Profit |
$147,137.50 |
Gross Loss |
($86,431.25) |
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$69,193.75 |
Select Profit Factor |
1.89 |
| Select Gross Profit |
$147,137.50 |
Select Gross Loss |
($77,943.75) |
|
| Adjusted Total Net Profit |
$29,519.76 |
Adjusted Profit Factor |
1.31 |
| Adjusted Gross Profit |
$125,675.29 |
Adjusted Gross Loss |
($96,155.53) |
|
| Total Number of Trades |
126 |
Percent Profitable |
37.30% |
| Winning Trades |
47 |
Losing Trades |
79 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$481.80 |
Ratio Avg. Win:Avg. Loss |
2.86 |
| Avg. Winning Trade |
$3,130.59 |
Avg. Losing Trade |
($1,094.07) |
| Largest Winning Trade |
$10,700.00 |
Largest Losing Trade |
($4,450.00) |
| Largest Winner as % of Gross Profit |
7.27% |
Largest Loser as % of Gross Loss |
5.15% |
|
| Net Profit as % of Largest Loss |
1364.19% |
|
| Slct. Net Profit as % of Largest Loss |
1554.92% |
Adj. Net Profit as % of Largest Loss |
663.37% |
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
16 |
| Avg. Bars in Winning Trades |
85.26 |
Avg. Bars in Losing Trades |
30.67 |
| Avg. Bars in Total Trades |
51.03 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$15,568.75 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
| Return on Initial Capital |
60.71% |
Annual Rate of Return |
1.89% |
| Buy and Hold Return |
-54.17% |
Return on Account |
389.92% |
| Avg. Monthly Return |
$315.31 |
Std. Deviation of Monthly Return |
$1,508.17 |
|
| Return Retracement Ratio |
0.06 |
RINA Index |
51.88 |
| Sharpe Ratio |
0 |
K-Ratio |
1.06 |
|
| Trading Period |
25 Yrs, 24 Dys |
Percent of Time in the Market |
99.83% |
| Time in the Market |
9140 Dys |
Longest Flat Period |
n/a |
|
| Max. Equity Run-up |
$73,525.00 |
|
| Date of Max. E. Run-up |
6/23/1988 13:15 |
Max. E. Run-up as % of Initial Capital |
73.53% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($32,625.00) |
Value |
($15,568.75) |
| Date |
9/18/1991 13:15 |
Date |
10/2/1996 13:15 |
| as % of Initial Capital |
32.63% |
as % of Initial Capital |
-15.57% |
| Net Profit as % of Drawdown |
186.07% |
Net Profit as % of Drawdown |
389.92% |
| Slct. Net Profit as % of Drawdown |
212.09% |
Slct. Net Profit as % of Drawdown |
444.44% |
| Adj. Net Prof as % of Drawdown |
90.48% |
Adj. Net Profit as % of Drawdown |
189.61% |
|
| Max. Trade Drawdown |
($5,437.50) |
|
|
|
| Long Trades |
|
|
| Total Net Profit |
$13,031.25 |
Profit Factor |
1.25 |
| Gross Profit |
$64,150.00 |
Gross Loss |
($51,118.75) |
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$17,068.75 |
Select Profit Factor |
1.36 |
| Select Gross Profit |
$64,150.00 |
Select Gross Loss |
($47,081.25) |
|
| Adjusted Total Net Profit |
($8,855.22) |
Adjusted Profit Factor |
0.85 |
| Adjusted Gross Profit |
$50,151.32 |
Adjusted Gross Loss |
($59,006.54) |
|
| Total Number of Trades |
63 |
Percent Profitable |
33.33% |
| Winning Trades |
21 |
Losing Trades |
42 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$206.85 |
Ratio Avg. Win:Avg. Loss |
2.51 |
| Avg. Winning Trade |
$3,054.76 |
Avg. Losing Trade |
($1,217.11) |
| Largest Winning Trade |
$8,400.00 |
Largest Losing Trade |
($4,037.50) |
| Largest Winner as % of Gross Profit |
13.09% |
Largest Loser as % of Gross Loss |
7.90% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
11 |
| Avg. Bars in Winning Trades |
81.05 |
Avg. Bars in Losing Trades |
32.74 |
| Avg. Bars in Total Trades |
48.84 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$17,075.00 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
| Net Profit as % of Largest Loss |
322.76% |
|
| Slct. Net Profit as % of Largest Loss |
422.76% |
Adj. Net Profit as % of Largest Loss |
-219.32% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($32,287.50) |
Value |
($17,075.00) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-17.07% |
| Net Profit as % of Drawdown |
40.36% |
Net Profit as % of Drawdown |
76.32% |
| Slct. Net Profit as % of Drawdown |
52.86% |
Slct. Net Profit as % of Drawdown |
99.96% |
| Adj. Net Prof as % of Drawdown |
-27.43% |
Adj. Net Profit as % of Drawdown |
99.96% |
|
| Max. Trade Drawdown |
($4,875.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$47,675.00 |
Profit Factor |
2.35 |
| Gross Profit |
$82,987.50 |
Gross Loss |
($35,312.50) |
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$52,125.00 |
Select Profit Factor |
2.69 |
| Select Gross Profit |
$82,987.50 |
Select Gross Loss |
($30,862.50) |
|
| Adjusted Total Net Profit |
$25,594.47 |
Adjusted Profit Factor |
1.62 |
| Adjusted Gross Profit |
$66,712.31 |
Adjusted Gross Loss |
($41,117.84) |
| |
|
|
|
| Total Number of Trades |
63 |
Percent Profitable |
41.27% |
| Winning Trades |
26 |
Losing Trades |
37 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$756.75 |
Ratio Avg. Win:Avg. Loss |
3.34 |
| Avg. Winning Trade |
$3,191.83 |
Avg. Losing Trade |
($954.39) |
| Largest Winning Trade |
$10,700.00 |
Largest Losing Trade |
($4,450.00) |
| Largest Winner as % of Gross Profit |
12.89% |
Largest Loser as % of Gross Loss |
7.90% |
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
11 |
| Avg. Bars in Winning Trades |
88.65 |
Avg. Bars in Losing Trades |
28.32 |
| Avg. Bars in Total Trades |
53.22 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$10,087.50 |
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
| Net Profit as % of Largest Loss |
1071.35% |
|
| Slct. Net Profit as % of Largest Loss |
1171.35% |
Adj. Net Profit as % of Largest Loss |
575.16% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($11,675.00) |
Value |
($10,087.50) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-10.09% |
| Net Profit as % of Drawdown |
408.35% |
Net Profit as % of Drawdown |
472.61% |
| Slct. Net Profit as % of Drawdown |
446.47% |
Slct. Net Profit as % of Drawdown |
516.73% |
| Adj. Net Prof as % of Drawdown |
219.22% |
Adj. Net Prof as % of Drawdown |
253.72% |
|
| Max. Trade Drawdown |
($5,437.50) |
|
|
|
|
|
|