| TradeStation Strategy Performance Summary
Self Adaptive Soybean Meal System |
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|
| |
All Trades |
Long Trades |
Short Trades |
| Total Net Profit |
$35,850.00 |
$20,790.00 |
$15,060.00 |
| Gross Profit |
$84,650.00 |
$45,460.00 |
$39,190.00 |
| Gross Loss |
($48,800.00) |
($24,670.00) |
($24,130.00) |
| Profit Factor |
1.73 |
1.84 |
1.62 |
| |
|
|
|
| Open Position P/L |
($110.00) |
($110.00) |
$0.00 |
| |
|
|
|
| Select Total Net Profit |
$28,190.00 |
$20,790.00 |
$7,400.00 |
| Select Gross Profit |
$73,640.00 |
$45,460.00 |
$28,180.00 |
| Select Gross Loss |
($45,450.00) |
($24,670.00) |
($20,780.00) |
| Select Profit Factor |
1.62 |
1.84 |
1.36 |
| |
|
|
|
| Adjusted Total Net Profit |
$15,632.29 |
$5,327.23 |
$1,779.15 |
| Adjusted Gross Profit |
$71,265.66 |
$34,744.98 |
$30,834.66 |
| Adjusted Gross Loss |
($55,633.37) |
($29,417.74) |
($29,055.52) |
| Adjusted Profit Factor |
1.28 |
1.18 |
1.06 |
| |
|
|
|
| Total Number of Trades |
91 |
45 |
46 |
| Percent Profitable |
43.96% |
40.00% |
47.83% |
| Winning Trades |
40 |
18 |
22 |
| Losing Trades |
51 |
27 |
24 |
| Even Trades |
0 |
0 |
0 |
| |
|
|
|
| Avg. Trade Net Profit |
$393.96 |
$462.00 |
$327.39 |
| Avg. Winning Trade |
$2,116.25 |
$2,525.56 |
$1,781.36 |
| Avg. Losing Trade |
($956.86) |
($913.70) |
($1,005.42) |
| Ratio Avg. Winning:Avg. Losing |
2.21 |
2.76 |
1.77 |
| Largest Winning Trade |
$11,010.00 |
$6,760.00 |
$11,010.00 |
| Largest Losing Trade |
($3,350.00) |
($2,480.00) |
($3,350.00) |
| Largest Winner as % of Gross Profit |
13.01% |
14.87% |
28.09% |
| Largest Loser as % of Gross Loss |
6.86% |
10.05% |
13.88% |
| |
|
|
|
| Net Profit as % of Largest Loss |
1070.15% |
838.31% |
449.55% |
| Select Net Profit as % of Largest Loss |
841.49% |
838.31% |
220.90% |
| Adjusted Net Profit as % of Largest Loss |
466.64% |
214.81% |
53.11% |
| |
|
|
|
| Max. Consecutive Winning Trades |
6 |
5 |
5 |
| Max. Consecutive Losing Trades |
6 |
7 |
4 |
| Avg. Bars in Total Trades |
68.49 |
68.64 |
68.35 |
| Avg. Bars in Winning Trades |
108.33 |
111.39 |
105.82 |
| Avg. Bars in Losing Trades |
37.25 |
40.15 |
34 |
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
| Account Size Required |
$10,370.00 |
$8,820.00 |
$6,100.00 |
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
| |
|
|
|
| Return on Initial Capital |
35.85% |
|
| Annual Rate of Return |
1.22% |
|
| Buy & Hold Return |
41.17% |
|
| Return on Account |
345.71% |
|
|
| Avg. Monthly Return |
$154.75 |
|
|
| Std. Deviation of Monthly Return |
$1,048.24 |
|
|
| |
|
|
|
| Return Retracement Ratio |
0.05 |
|
|
| RINA Index |
26.54 |
|
|
| Sharpe Ratio |
-0.05 |
|
|
| K-Ratio |
1.76 |
|
|
| |
|
|
|
| Trading Period |
25 Yrs, 24 Dys |
|
|
| Percent of Time in the Market |
97.18% |
|
| Time in the Market |
8898 Dys |
|
|
| Longest Flat Period |
n/a |
|
|
| |
|
|
|
| Max. Equity Run-up |
$45,450.00 |
|
|
| Date of Max. Equity Run-up |
6/23/1988 13:15 |
|
|
| Max. Equity Run-up as % of Initial Capital |
45.45% |
|
|
| |
|
| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($19,130.00) |
($17,700.00) |
($7,020.00) |
| Date |
12/31/1996 13:15 |
|
|
| as % of Initial Capital |
19.13% |
n/a |
n/a |
| Net Profit as % of Drawdown |
187.40% |
117.46% |
214.53% |
| Select Net Profit as % of Drawdown |
147.36% |
117.46% |
105.41% |
| Adjusted Net Profit as % of Drawdown |
81.72% |
30.10% |
25.34% |
| |
|
|
|
| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($10,370.00) |
($8,820.00) |
($6,100.00) |
| Date |
9/6/1995 13:15 |
|
|
| as % of Initial Capital |
-10.37% |
-8.82% |
-6.10% |
| Net Profit as % of Drawdown |
345.71% |
235.71% |
246.89% |
| Select Net Profit as % of Drawdown |
271.84% |
235.71% |
121.31% |
| Adjusted Net Profit as % of Drawdown |
150.75% |
60.40% |
29.17% |
| |
|
|
|
| Max. Trade Drawdown |
($4,020.00) |
($2,570.00) |
($4,020.00) |
|
|
|
|
|
|
|
|
|
|
|
|
| All Trades |
|
| |
|
| Total Net Profit |
$35,850.00 |
Profit Factor |
1.73 |
| Gross Profit |
$84,650.00 |
Gross Loss |
($48,800.00) |
|
| Open Position Profit/Loss |
($110.00) |
|
|
| Select Total Net Profit |
$28,190.00 |
Select Profit Factor |
1.62 |
| Select Gross Profit |
$73,640.00 |
Select Gross Loss |
($45,450.00) |
|
| Adjusted Total Net Profit |
$15,632.29 |
Adjusted Profit Factor |
1.28 |
| Adjusted Gross Profit |
$71,265.66 |
Adjusted Gross Loss |
($55,633.37) |
|
| Total Number of Trades |
91 |
Percent Profitable |
43.96% |
| Winning Trades |
40 |
Losing Trades |
51 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$393.96 |
Ratio Avg. Win:Avg. Loss |
2.21 |
| Avg. Winning Trade |
$2,116.25 |
Avg. Losing Trade |
($956.86) |
| Largest Winning Trade |
$11,010.00 |
Largest Losing Trade |
($3,350.00) |
| Largest Winner as % of Gross Profit |
13.01% |
Largest Loser as % of Gross Loss |
6.86% |
|
| Net Profit as % of Largest Loss |
1070.15% |
|
| Slct. Net Profit as % of Largest Loss |
841.49% |
Adj. Net Profit as % of Largest Loss |
466.64% |
|
| Max. Consecutive Winning Trades |
6 |
Max. Consecutive Losing Trades |
6 |
| Avg. Bars in Winning Trades |
108.33 |
Avg. Bars in Losing Trades |
37.25 |
| Avg. Bars in Total Trades |
68.49 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$10,370.00 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
| Return on Initial Capital |
35.85% |
Annual Rate of Return |
1.22% |
| Buy and Hold Return |
41.17% |
Return on Account |
345.71% |
| Avg. Monthly Return |
$154.75 |
Std. Deviation of Monthly Return |
$1,048.24 |
|
| Return Retracement Ratio |
0.05 |
RINA Index |
26.54 |
| Sharpe Ratio |
-0.05 |
K-Ratio |
1.76 |
|
| Trading Period |
25 Yrs, 24 Dys |
Percent of Time in the Market |
97.18% |
| Time in the Market |
8898 Dys |
Longest Flat Period |
n/a |
|
| Max. Equity Run-up |
$45,450.00 |
|
| Date of Max. E. Run-up |
6/23/1988 13:15 |
Max. E. Run-up as % of Initial Capital |
45.45% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($19,130.00) |
Value |
($10,370.00) |
| Date |
12/31/1996 13:15 |
Date |
9/6/1995 13:15 |
| as % of Initial Capital |
19.13% |
as % of Initial Capital |
-10.37% |
| Net Profit as % of Drawdown |
187.40% |
Net Profit as % of Drawdown |
345.71% |
| Slct. Net Profit as % of Drawdown |
147.36% |
Slct. Net Profit as % of Drawdown |
271.84% |
| Adj. Net Prof as % of Drawdown |
81.72% |
Adj. Net Profit as % of Drawdown |
150.75% |
|
| Max. Trade Drawdown |
($4,020.00) |
|
|
|
| Long Trades |
|
|
| Total Net Profit |
$20,790.00 |
Profit Factor |
1.84 |
| Gross Profit |
$45,460.00 |
Gross Loss |
($24,670.00) |
|
| Open Position Profit/Loss |
($110.00) |
|
|
| Select Total Net Profit |
$20,790.00 |
Select Profit Factor |
1.84 |
| Select Gross Profit |
$45,460.00 |
Select Gross Loss |
($24,670.00) |
|
| Adjusted Total Net Profit |
$5,327.23 |
Adjusted Profit Factor |
1.18 |
| Adjusted Gross Profit |
$34,744.98 |
Adjusted Gross Loss |
($29,417.74) |
|
| Total Number of Trades |
45 |
Percent Profitable |
40.00% |
| Winning Trades |
18 |
Losing Trades |
27 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$462.00 |
Ratio Avg. Win:Avg. Loss |
2.76 |
| Avg. Winning Trade |
$2,525.56 |
Avg. Losing Trade |
($913.70) |
| Largest Winning Trade |
$6,760.00 |
Largest Losing Trade |
($2,480.00) |
| Largest Winner as % of Gross Profit |
14.87% |
Largest Loser as % of Gross Loss |
10.05% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
7 |
| Avg. Bars in Winning Trades |
111.39 |
Avg. Bars in Losing Trades |
40.15 |
| Avg. Bars in Total Trades |
68.64 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$8,820.00 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
| Net Profit as % of Largest Loss |
838.31% |
|
| Slct. Net Profit as % of Largest Loss |
838.31% |
Adj. Net Profit as % of Largest Loss |
214.81% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($17,700.00) |
Value |
($8,820.00) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-8.82% |
| Net Profit as % of Drawdown |
117.46% |
Net Profit as % of Drawdown |
235.71% |
| Slct. Net Profit as % of Drawdown |
117.46% |
Slct. Net Profit as % of Drawdown |
235.71% |
| Adj. Net Prof as % of Drawdown |
30.10% |
Adj. Net Profit as % of Drawdown |
235.71% |
|
| Max. Trade Drawdown |
($2,570.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$15,060.00 |
Profit Factor |
1.62 |
| Gross Profit |
$39,190.00 |
Gross Loss |
($24,130.00) |
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$7,400.00 |
Select Profit Factor |
1.36 |
| Select Gross Profit |
$28,180.00 |
Select Gross Loss |
($20,780.00) |
|
| Adjusted Total Net Profit |
$1,779.15 |
Adjusted Profit Factor |
1.06 |
| Adjusted Gross Profit |
$30,834.66 |
Adjusted Gross Loss |
($29,055.52) |
| |
|
|
|
| Total Number of Trades |
46 |
Percent Profitable |
47.83% |
| Winning Trades |
22 |
Losing Trades |
24 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$327.39 |
Ratio Avg. Win:Avg. Loss |
1.77 |
| Avg. Winning Trade |
$1,781.36 |
Avg. Losing Trade |
($1,005.42) |
| Largest Winning Trade |
$11,010.00 |
Largest Losing Trade |
($3,350.00) |
| Largest Winner as % of Gross Profit |
28.09% |
Largest Loser as % of Gross Loss |
10.05% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
4 |
| Avg. Bars in Winning Trades |
105.82 |
Avg. Bars in Losing Trades |
34 |
| Avg. Bars in Total Trades |
68.35 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$6,100.00 |
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
| Net Profit as % of Largest Loss |
449.55% |
|
| Slct. Net Profit as % of Largest Loss |
220.90% |
Adj. Net Profit as % of Largest Loss |
53.11% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($7,020.00) |
Value |
($6,100.00) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-6.10% |
| Net Profit as % of Drawdown |
214.53% |
Net Profit as % of Drawdown |
246.89% |
| Slct. Net Profit as % of Drawdown |
105.41% |
Slct. Net Profit as % of Drawdown |
121.31% |
| Adj. Net Prof as % of Drawdown |
25.34% |
Adj. Net Prof as % of Drawdown |
29.17% |
|
| Max. Trade Drawdown |
($4,020.00) |
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