| TradeStation Strategy Performance Summary
Self Adptive Oats System |
| |
|
| |
All Trades |
Long Trades |
Short Trades |
| Total Net Profit |
$24,100.00 |
$6,237.50 |
$17,862.50 |
| Gross Profit |
$54,062.50 |
$22,225.00 |
$31,837.50 |
| Gross Loss |
($29,962.50) |
($15,987.50) |
($13,975.00) |
| Profit Factor |
1.8 |
1.39 |
2.28 |
| |
|
|
|
| Open Position P/L |
($375.00) |
($375.00) |
$0.00 |
| |
|
|
|
| Select Total Net Profit |
$26,825.00 |
$7,600.00 |
$19,225.00 |
| Select Gross Profit |
$54,062.50 |
$22,225.00 |
$31,837.50 |
| Select Gross Loss |
($27,237.50) |
($14,625.00) |
($12,612.50) |
| Select Profit Factor |
1.98 |
1.52 |
2.52 |
| |
|
|
|
| Adjusted Total Net Profit |
$12,573.02 |
($1,325.68) |
$9,185.92 |
| Adjusted Gross Profit |
$46,091.42 |
$17,255.34 |
$25,593.65 |
| Adjusted Gross Loss |
($33,518.39) |
($18,581.01) |
($16,407.74) |
| Adjusted Profit Factor |
1.38 |
0.93 |
1.56 |
| |
|
|
|
| Total Number of Trades |
117 |
58 |
59 |
| Percent Profitable |
39.32% |
34.48% |
44.07% |
| Winning Trades |
46 |
20 |
26 |
| Losing Trades |
71 |
38 |
33 |
| Even Trades |
0 |
0 |
0 |
| |
|
|
|
| Avg. Trade Net Profit |
$205.98 |
$107.54 |
$302.75 |
| Avg. Winning Trade |
$1,175.27 |
$1,111.25 |
$1,224.52 |
| Avg. Losing Trade |
($422.01) |
($420.72) |
($423.48) |
| Ratio Avg. Winning:Avg. Losing |
2.78 |
2.64 |
2.89 |
| Largest Winning Trade |
$5,112.50 |
$4,887.50 |
$5,112.50 |
| Largest Losing Trade |
($1,362.50) |
($1,362.50) |
($1,362.50) |
| Largest Winner as % of Gross Profit |
9.46% |
21.99% |
16.06% |
| Largest Loser as % of Gross Loss |
4.55% |
8.52% |
9.75% |
| |
|
|
|
| Net Profit as % of Largest Loss |
1768.81% |
457.80% |
1311.01% |
| Select Net Profit as % of Largest Loss |
1968.81% |
557.80% |
1411.01% |
| Adjusted Net Profit as % of Largest Loss |
922.79% |
-97.30% |
674.20% |
| |
|
|
|
| Max. Consecutive Winning Trades |
5 |
5 |
5 |
| Max. Consecutive Losing Trades |
18 |
12 |
9 |
| Avg. Bars in Total Trades |
55.11 |
45.93 |
64.14 |
| Avg. Bars in Winning Trades |
96.93 |
78.8 |
110.88 |
| Avg. Bars in Losing Trades |
28.01 |
28.63 |
27.3 |
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
| Account Size Required |
$10,825.00 |
$7,662.50 |
$5,612.50 |
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
| |
|
|
|
| Return on Initial Capital |
24.10% |
|
| Annual Rate of Return |
0.85% |
|
| Buy & Hold Return |
-64.09% |
|
| Return on Account |
222.63% |
|
|
| Avg. Monthly Return |
$79.06 |
|
|
| Std. Deviation of Monthly Return |
$826.45 |
|
|
| |
|
|
|
| Return Retracement Ratio |
0.04 |
|
|
| RINA Index |
54.91 |
|
|
| Sharpe Ratio |
-0.11 |
|
|
| K-Ratio |
2.13 |
|
|
| |
|
|
|
| Trading Period |
25 Yrs, 3 Mths, 10 Dys |
|
|
| Percent of Time in the Market |
99.77% |
|
| Time in the Market |
9213 Dys |
|
|
| Longest Flat Period |
n/a |
|
|
| |
|
|
|
| Max. Equity Run-up |
$36,700.00 |
|
|
| Date of Max. Equity Run-up |
4/5/2002 13:15 |
|
|
| Max. Equity Run-up as % of Initial Capital |
36.70% |
|
|
| |
|
| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($12,150.00) |
($8,825.00) |
($7,012.50) |
| Date |
2/6/1985 13:15 |
|
|
| as % of Initial Capital |
12.15% |
n/a |
n/a |
| Net Profit as % of Drawdown |
198.35% |
70.68% |
254.72% |
| Select Net Profit as % of Drawdown |
220.78% |
86.12% |
274.15% |
| Adjusted Net Profit as % of Drawdown |
103.48% |
-15.02% |
130.99% |
| |
|
|
|
| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($10,825.00) |
($7,662.50) |
($5,612.50) |
| Date |
10/15/1984 13:15 |
|
|
| as % of Initial Capital |
-10.82% |
-7.66% |
-5.61% |
| Net Profit as % of Drawdown |
222.63% |
81.40% |
318.26% |
| Select Net Profit as % of Drawdown |
247.81% |
99.18% |
342.54% |
| Adjusted Net Profit as % of Drawdown |
116.15% |
-17.30% |
163.67% |
| |
|
|
|
| Max. Trade Drawdown |
($1,450.00) |
($1,450.00) |
($1,375.00) |
|
|
|
|
|
|
|
|
|
|
|
|
| All Trades |
|
| |
|
| Total Net Profit |
$24,100.00 |
Profit Factor |
1.8 |
| Gross Profit |
$54,062.50 |
Gross Loss |
($29,962.50) |
|
| Open Position Profit/Loss |
($375.00) |
|
|
| Select Total Net Profit |
$26,825.00 |
Select Profit Factor |
1.98 |
| Select Gross Profit |
$54,062.50 |
Select Gross Loss |
($27,237.50) |
|
| Adjusted Total Net Profit |
$12,573.02 |
Adjusted Profit Factor |
1.38 |
| Adjusted Gross Profit |
$46,091.42 |
Adjusted Gross Loss |
($33,518.39) |
|
| Total Number of Trades |
117 |
Percent Profitable |
39.32% |
| Winning Trades |
46 |
Losing Trades |
71 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$205.98 |
Ratio Avg. Win:Avg. Loss |
2.78 |
| Avg. Winning Trade |
$1,175.27 |
Avg. Losing Trade |
($422.01) |
| Largest Winning Trade |
$5,112.50 |
Largest Losing Trade |
($1,362.50) |
| Largest Winner as % of Gross Profit |
9.46% |
Largest Loser as % of Gross Loss |
4.55% |
|
| Net Profit as % of Largest Loss |
1768.81% |
|
| Slct. Net Profit as % of Largest Loss |
1968.81% |
Adj. Net Profit as % of Largest Loss |
922.79% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
18 |
| Avg. Bars in Winning Trades |
96.93 |
Avg. Bars in Losing Trades |
28.01 |
| Avg. Bars in Total Trades |
55.11 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$10,825.00 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
| Return on Initial Capital |
24.10% |
Annual Rate of Return |
0.85% |
| Buy and Hold Return |
-64.09% |
Return on Account |
222.63% |
| Avg. Monthly Return |
$79.06 |
Std. Deviation of Monthly Return |
$826.45 |
|
| Return Retracement Ratio |
0.04 |
RINA Index |
54.91 |
| Sharpe Ratio |
-0.11 |
K-Ratio |
2.13 |
|
| Trading Period |
25 Yrs, 3 Mths, 10 Dys |
Percent of Time in the Market |
99.77% |
| Time in the Market |
9213 Dys |
Longest Flat Period |
n/a |
|
| Max. Equity Run-up |
$36,700.00 |
|
| Date of Max. E. Run-up |
4/5/2002 13:15 |
Max. E. Run-up as % of Initial Capital |
36.70% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($12,150.00) |
Value |
($10,825.00) |
| Date |
2/6/1985 13:15 |
Date |
10/15/1984 13:15 |
| as % of Initial Capital |
12.15% |
as % of Initial Capital |
-10.82% |
| Net Profit as % of Drawdown |
198.35% |
Net Profit as % of Drawdown |
222.63% |
| Slct. Net Profit as % of Drawdown |
220.78% |
Slct. Net Profit as % of Drawdown |
247.81% |
| Adj. Net Prof as % of Drawdown |
103.48% |
Adj. Net Profit as % of Drawdown |
116.15% |
|
| Max. Trade Drawdown |
($1,450.00) |
|
|
|
| Long Trades |
|
|
| Total Net Profit |
$6,237.50 |
Profit Factor |
1.39 |
| Gross Profit |
$22,225.00 |
Gross Loss |
($15,987.50) |
|
| Open Position Profit/Loss |
($375.00) |
|
|
| Select Total Net Profit |
$7,600.00 |
Select Profit Factor |
1.52 |
| Select Gross Profit |
$22,225.00 |
Select Gross Loss |
($14,625.00) |
|
| Adjusted Total Net Profit |
($1,325.68) |
Adjusted Profit Factor |
0.93 |
| Adjusted Gross Profit |
$17,255.34 |
Adjusted Gross Loss |
($18,581.01) |
|
| Total Number of Trades |
58 |
Percent Profitable |
34.48% |
| Winning Trades |
20 |
Losing Trades |
38 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$107.54 |
Ratio Avg. Win:Avg. Loss |
2.64 |
| Avg. Winning Trade |
$1,111.25 |
Avg. Losing Trade |
($420.72) |
| Largest Winning Trade |
$4,887.50 |
Largest Losing Trade |
($1,362.50) |
| Largest Winner as % of Gross Profit |
21.99% |
Largest Loser as % of Gross Loss |
8.52% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
12 |
| Avg. Bars in Winning Trades |
78.8 |
Avg. Bars in Losing Trades |
28.63 |
| Avg. Bars in Total Trades |
45.93 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$7,662.50 |
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
| Net Profit as % of Largest Loss |
457.80% |
|
| Slct. Net Profit as % of Largest Loss |
557.80% |
Adj. Net Profit as % of Largest Loss |
-97.30% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($8,825.00) |
Value |
($7,662.50) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-7.66% |
| Net Profit as % of Drawdown |
70.68% |
Net Profit as % of Drawdown |
81.40% |
| Slct. Net Profit as % of Drawdown |
86.12% |
Slct. Net Profit as % of Drawdown |
99.18% |
| Adj. Net Prof as % of Drawdown |
-15.02% |
Adj. Net Profit as % of Drawdown |
99.18% |
|
| Max. Trade Drawdown |
($1,450.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$17,862.50 |
Profit Factor |
2.28 |
| Gross Profit |
$31,837.50 |
Gross Loss |
($13,975.00) |
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$19,225.00 |
Select Profit Factor |
2.52 |
| Select Gross Profit |
$31,837.50 |
Select Gross Loss |
($12,612.50) |
|
| Adjusted Total Net Profit |
$9,185.92 |
Adjusted Profit Factor |
1.56 |
| Adjusted Gross Profit |
$25,593.65 |
Adjusted Gross Loss |
($16,407.74) |
| |
|
|
|
| Total Number of Trades |
59 |
Percent Profitable |
44.07% |
| Winning Trades |
26 |
Losing Trades |
33 |
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$302.75 |
Ratio Avg. Win:Avg. Loss |
2.89 |
| Avg. Winning Trade |
$1,224.52 |
Avg. Losing Trade |
($423.48) |
| Largest Winning Trade |
$5,112.50 |
Largest Losing Trade |
($1,362.50) |
| Largest Winner as % of Gross Profit |
16.06% |
Largest Loser as % of Gross Loss |
8.52% |
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
9 |
| Avg. Bars in Winning Trades |
110.88 |
Avg. Bars in Losing Trades |
27.3 |
| Avg. Bars in Total Trades |
64.14 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$5,612.50 |
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
| Net Profit as % of Largest Loss |
1311.01% |
|
| Slct. Net Profit as % of Largest Loss |
1411.01% |
Adj. Net Profit as % of Largest Loss |
674.20% |
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($7,012.50) |
Value |
($5,612.50) |
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-5.61% |
| Net Profit as % of Drawdown |
254.72% |
Net Profit as % of Drawdown |
318.26% |
| Slct. Net Profit as % of Drawdown |
274.15% |
Slct. Net Profit as % of Drawdown |
342.54% |
| Adj. Net Prof as % of Drawdown |
130.99% |
Adj. Net Prof as % of Drawdown |
163.67% |
|
| Max. Trade Drawdown |
($1,375.00) |
|
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