| TradeStation Strategy Performance Summary
Self Adaptive Corn System |
| |
|
| |
All Trades |
Long Trades |
Short Trades |
| Total Net Profit |
$48,500.00 |
$13,762.50 |
$34,737.50 |
| Gross Profit |
$71,412.50 |
$28,812.50 |
$42,600.00 |
| Gross Loss |
($22,912.50) |
($15,050.00) |
($7,862.50) |
| Profit Factor |
3.12 |
1.91 |
5.42 |
| |
|
|
|
| Open Position P/L |
$250.00 |
$0.00 |
$250.00 |
| |
|
|
|
| Select Total Net Profit |
$34,862.50 |
$6,562.50 |
$28,300.00 |
| Select Gross Profit |
$56,112.50 |
$21,612.50 |
$34,500.00 |
| Select Gross Loss |
($21,250.00) |
($15,050.00) |
($6,200.00) |
| Select Profit Factor |
2.64 |
1.44 |
5.56 |
| |
|
|
|
| Adjusted Total Net Profit |
$34,793.41 |
$3,742.09 |
$25,233.11 |
| Adjusted Gross Profit |
$60,883.30 |
$21,373.14 |
$34,948.81 |
| Adjusted Gross Loss |
($26,089.89) |
($17,631.05) |
($9,715.71) |
| Adjusted Profit Factor |
2.33 |
1.21 |
3.6 |
| |
|
|
|
| Total Number of Trades |
98 |
49 |
49 |
| Percent Profitable |
46.94% |
30.61% |
63.27% |
| Winning Trades |
46 |
15 |
31 |
| Losing Trades |
52 |
34 |
18 |
| Even Trades |
0 |
0 |
0 |
| |
|
|
|
| Avg. Trade Net Profit |
$494.90 |
$280.87 |
$708.93 |
| Avg. Winning Trade |
$1,552.45 |
$1,920.83 |
$1,374.19 |
| Avg. Losing Trade |
($440.63) |
($442.65) |
($436.81) |
| Ratio Avg. Winning:Avg. Losing |
3.52 |
4.34 |
3.15 |
| Largest Winning Trade |
$8,100.00 |
$7,200.00 |
$8,100.00 |
| Largest Losing Trade |
($1,662.50) |
($1,325.00) |
($1,662.50) |
| Largest Winner as % of Gross Profit |
11.34% |
24.99% |
19.01% |
| Largest Loser as % of Gross Loss |
7.26% |
8.80% |
21.14% |
| |
|
|
|
| Net Profit as % of Largest Loss |
2917.29% |
1038.68% |
2089.47% |
| Select Net Profit as % of Largest Loss |
2096.99% |
495.28% |
1702.26% |
| Adjusted Net Profit as % of Largest Loss |
2092.84% |
282.42% |
1517.78% |
| |
|
|
|
| Max. Consecutive Winning Trades |
5 |
3 |
5 |
| Max. Consecutive Losing Trades |
5 |
10 |
2 |
| Avg. Bars in Total Trades |
64.88 |
52.2 |
77.55 |
| Avg. Bars in Winning Trades |
104.41 |
100.47 |
106.32 |
| Avg. Bars in Losing Trades |
29.9 |
30.91 |
28 |
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
| Account Size Required |
$3,362.50 |
$5,475.00 |
$1,662.50 |
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
| |
|
|
|
| Return on Initial Capital |
48.50% |
|
| Annual Rate of Return |
1.57% |
|
| Buy & Hold Return |
-65.08% |
|
| Return on Account |
1442.38% |
|
|
| Avg. Monthly Return |
$106.56 |
|
|
| Std. Deviation of Monthly Return |
$703.27 |
|
|
| |
|
|
|
| Return Retracement Ratio |
0.06 |
|
|
| RINA Index |
73.56 |
|
|
| Sharpe Ratio |
-0.05 |
|
|
| K-Ratio |
3.72 |
|
|
| |
|
|
|
| Trading Period |
25 Yrs, 2 Mths, 10 Dys |
|
|
| Percent of Time in the Market |
99.77% |
|
| Time in the Market |
9182 Dys |
|
|
| Longest Flat Period |
n/a |
|
|
| |
|
|
|
| Max. Equity Run-up |
$49,912.50 |
|
|
| Date of Max. Equity Run-up |
7/25/2003 13:15 |
|
|
| Max. Equity Run-up as % of Initial Capital |
49.91% |
|
|
| |
|
| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($6,350.00) |
($9,312.50) |
($3,437.50) |
| Date |
8/13/1996 13:15 |
|
|
| as % of Initial Capital |
6.35% |
n/a |
n/a |
| Net Profit as % of Drawdown |
763.78% |
147.79% |
1010.55% |
| Select Net Profit as % of Drawdown |
549.02% |
70.47% |
823.27% |
| Adjusted Net Profit as % of Drawdown |
547.93% |
40.18% |
734.05% |
| |
|
|
|
| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($3,362.50) |
($5,475.00) |
($1,662.50) |
| Date |
5/30/2000 13:15 |
|
|
| as % of Initial Capital |
-3.36% |
-5.47% |
-1.66% |
| Net Profit as % of Drawdown |
1442.38% |
251.37% |
2089.47% |
| Select Net Profit as % of Drawdown |
1036.80% |
119.86% |
1702.26% |
| Adjusted Net Profit as % of Drawdown |
1034.75% |
68.35% |
1517.78% |
| |
|
|
|
| Max. Trade Drawdown |
($1,950.00) |
($1,525.00) |
($1,950.00) |
|
|
|
|
|
|
|
|
|
|
|
|
| All Trades |
|
| |
|
| Total Net Profit |
$48,500.00 |
Profit Factor |
3.12 |
| Gross Profit |
$71,412.50 |
Gross Loss |
($22,912.50) |
|
| Open Position Profit/Loss |
$250.00 |
|
|
| Select Total Net Profit |
$34,862.50 |
Select Profit Factor |
2.64 |
| Select Gross Profit |
$56,112.50 |
Select Gross Loss |
($21,250.00) |
|
| Adjusted Total Net Profit |
$34,793.41 |
Adjusted Profit Factor |
2.33 |
| Adjusted Gross Profit |
$60,883.30 |
Adjusted Gross Loss |
($26,089.89) |
|
| Total Number of Trades |
98 |
Percent Profitable |
46.94% |
| Winning Trades |
46 |
Losing Trades |
52 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$494.90 |
Ratio Avg. Win:Avg. Loss |
3.52 |
| Avg. Winning Trade |
$1,552.45 |
Avg. Losing Trade |
($440.63) |
| Largest Winning Trade |
$8,100.00 |
Largest Losing Trade |
($1,662.50) |
| Largest Winner as % of Gross Profit |
11.34% |
Largest Loser as % of Gross Loss |
7.26% |
|
| Net Profit as % of Largest Loss |
2917.29% |
|
| Slct. Net Profit as % of Largest Loss |
2096.99% |
Adj. Net Profit as % of Largest Loss |
2092.84% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
5 |
| Avg. Bars in Winning Trades |
104.41 |
Avg. Bars in Losing Trades |
29.9 |
| Avg. Bars in Total Trades |
64.88 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$3,362.50 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
| Return on Initial Capital |
48.50% |
Annual Rate of Return |
1.57% |
| Buy and Hold Return |
-65.08% |
Return on Account |
1442.38% |
| Avg. Monthly Return |
$106.56 |
Std. Deviation of Monthly Return |
$703.27 |
|
| Return Retracement Ratio |
0.06 |
RINA Index |
73.56 |
| Sharpe Ratio |
-0.05 |
K-Ratio |
3.72 |
|
| Trading Period |
25 Yrs, 2 Mths, 10 Dys |
Percent of Time in the Market |
99.77% |
| Time in the Market |
9182 Dys |
Longest Flat Period |
n/a |
|
| Max. Equity Run-up |
$49,912.50 |
|
| Date of Max. E. Run-up |
7/25/2003 13:15 |
Max. E. Run-up as % of Initial Capital |
49.91% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($6,350.00) |
Value |
($3,362.50) |
| Date |
8/13/1996 13:15 |
Date |
5/30/2000 13:15 |
| as % of Initial Capital |
6.35% |
as % of Initial Capital |
-3.36% |
| Net Profit as % of Drawdown |
763.78% |
Net Profit as % of Drawdown |
1442.38% |
| Slct. Net Profit as % of Drawdown |
549.02% |
Slct. Net Profit as % of Drawdown |
1036.80% |
| Adj. Net Prof as % of Drawdown |
547.93% |
Adj. Net Profit as % of Drawdown |
1034.75% |
|
| Max. Trade Drawdown |
($1,950.00) |
|
|
|
| Long Trades |
|
|
| Total Net Profit |
$13,762.50 |
Profit Factor |
1.91 |
| Gross Profit |
$28,812.50 |
Gross Loss |
($15,050.00) |
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$6,562.50 |
Select Profit Factor |
1.44 |
| Select Gross Profit |
$21,612.50 |
Select Gross Loss |
($15,050.00) |
|
| Adjusted Total Net Profit |
$3,742.09 |
Adjusted Profit Factor |
1.21 |
| Adjusted Gross Profit |
$21,373.14 |
Adjusted Gross Loss |
($17,631.05) |
|
| Total Number of Trades |
49 |
Percent Profitable |
30.61% |
| Winning Trades |
15 |
Losing Trades |
34 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$280.87 |
Ratio Avg. Win:Avg. Loss |
4.34 |
| Avg. Winning Trade |
$1,920.83 |
Avg. Losing Trade |
($442.65) |
| Largest Winning Trade |
$7,200.00 |
Largest Losing Trade |
($1,325.00) |
| Largest Winner as % of Gross Profit |
24.99% |
Largest Loser as % of Gross Loss |
8.80% |
|
| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
10 |
| Avg. Bars in Winning Trades |
100.47 |
Avg. Bars in Losing Trades |
30.91 |
| Avg. Bars in Total Trades |
52.2 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$5,475.00 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
| Net Profit as % of Largest Loss |
1038.68% |
|
| Slct. Net Profit as % of Largest Loss |
495.28% |
Adj. Net Profit as % of Largest Loss |
282.42% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($9,312.50) |
Value |
($5,475.00) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-5.47% |
| Net Profit as % of Drawdown |
147.79% |
Net Profit as % of Drawdown |
251.37% |
| Slct. Net Profit as % of Drawdown |
70.47% |
Slct. Net Profit as % of Drawdown |
119.86% |
| Adj. Net Prof as % of Drawdown |
40.18% |
Adj. Net Profit as % of Drawdown |
119.86% |
|
| Max. Trade Drawdown |
($1,525.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$34,737.50 |
Profit Factor |
5.42 |
| Gross Profit |
$42,600.00 |
Gross Loss |
($7,862.50) |
|
| Open Position Profit/Loss |
$250.00 |
|
|
| Select Total Net Profit |
$28,300.00 |
Select Profit Factor |
5.56 |
| Select Gross Profit |
$34,500.00 |
Select Gross Loss |
($6,200.00) |
|
| Adjusted Total Net Profit |
$25,233.11 |
Adjusted Profit Factor |
3.6 |
| Adjusted Gross Profit |
$34,948.81 |
Adjusted Gross Loss |
($9,715.71) |
| |
|
|
|
| Total Number of Trades |
49 |
Percent Profitable |
63.27% |
| Winning Trades |
31 |
Losing Trades |
18 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$708.93 |
Ratio Avg. Win:Avg. Loss |
3.15 |
| Avg. Winning Trade |
$1,374.19 |
Avg. Losing Trade |
($436.81) |
| Largest Winning Trade |
$8,100.00 |
Largest Losing Trade |
($1,662.50) |
| Largest Winner as % of Gross Profit |
19.01% |
Largest Loser as % of Gross Loss |
8.80% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
2 |
| Avg. Bars in Winning Trades |
106.32 |
Avg. Bars in Losing Trades |
28 |
| Avg. Bars in Total Trades |
77.55 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,662.50 |
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
| Net Profit as % of Largest Loss |
2089.47% |
|
| Slct. Net Profit as % of Largest Loss |
1702.26% |
Adj. Net Profit as % of Largest Loss |
1517.78% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($3,437.50) |
Value |
($1,662.50) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-1.66% |
| Net Profit as % of Drawdown |
1010.55% |
Net Profit as % of Drawdown |
2089.47% |
| Slct. Net Profit as % of Drawdown |
823.27% |
Slct. Net Profit as % of Drawdown |
1702.26% |
| Adj. Net Prof as % of Drawdown |
734.05% |
Adj. Net Prof as % of Drawdown |
1517.78% |
|
| Max. Trade Drawdown |
($1,950.00) |
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