| TradeStation Strategy Performance Summary
Spectrum SA Intraday System Dow E Mini December 2002 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
($200.00) |
$1,010.00 |
($1,210.00) |
|
| Gross Profit |
$12,930.00 |
$7,105.00 |
$5,825.00 |
|
| Gross Loss |
($13,130.00) |
($6,095.00) |
($7,035.00) |
|
| Profit Factor |
0.98 |
1.17 |
0.83 |
|
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|
|
|
|
| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
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| |
|
|
|
|
| Select Total Net Profit |
($200.00) |
$1,010.00 |
($1,210.00) |
|
| Select Gross Profit |
$12,930.00 |
$7,105.00 |
$5,825.00 |
|
| Select Gross Loss |
($13,130.00) |
($6,095.00) |
($7,035.00) |
|
| Select Profit Factor |
0.98 |
1.17 |
0.83 |
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|
|
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| Adjusted Total Net Profit |
($5,170.41) |
($2,800.51) |
($4,482.68) |
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| Adjusted Gross Profit |
$10,486.46 |
$5,053.96 |
$4,368.75 |
|
| Adjusted Gross Loss |
($15,656.87) |
($7,854.47) |
($8,851.43) |
|
| Adjusted Profit Factor |
0.67 |
0.64 |
0.49 |
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|
|
|
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| Total Number of Trades |
55 |
24 |
31 |
|
| Percent Profitable |
50.91% |
50.00% |
51.61% |
|
| Winning Trades |
28 |
12 |
16 |
|
| Losing Trades |
27 |
12 |
15 |
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| Even Trades |
0 |
0 |
0 |
|
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|
|
|
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| Avg. Trade Net Profit |
($3.64) |
$42.08 |
($39.03) |
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| Avg. Winning Trade |
$461.79 |
$592.08 |
$364.06 |
|
| Avg. Losing Trade |
($486.30) |
($507.92) |
($469.00) |
|
| Ratio Avg. Winning:Avg. Losing |
0.95 |
1.17 |
0.78 |
|
| Largest Winning Trade |
$1,515.00 |
$1,495.00 |
$1,515.00 |
|
| Largest Losing Trade |
($1,155.00) |
($890.00) |
($1,155.00) |
|
| Largest Winner as % of Gross Profit |
11.72% |
21.04% |
26.01% |
|
| Largest Loser as % of Gross Loss |
8.80% |
14.60% |
16.42% |
|
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|
|
|
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| Net Profit as % of Largest Loss |
-17.32% |
113.48% |
-104.76% |
|
| Select Net Profit as % of Largest Loss |
-17.32% |
113.48% |
-104.76% |
|
| Adjusted Net Profit as % of Largest Loss |
-447.65% |
-314.66% |
-388.11% |
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|
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| Max. Consecutive Winning Trades |
5 |
5 |
3 |
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| Max. Consecutive Losing Trades |
6 |
5 |
3 |
|
| Avg. Bars in Total Trades |
71.6 |
72.88 |
70.61 |
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| Avg. Bars in Winning Trades |
71.89 |
77.08 |
68 |
|
| Avg. Bars in Losing Trades |
71.3 |
68.67 |
73.4 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
|
| Account Size Required |
$5,470.00 |
$3,145.00 |
$4,575.00 |
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| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
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| Total Commission |
$0.00 |
$0.00 |
$0.00 |
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|
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| Return on Initial Capital |
-0.20% |
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| Annual Rate of Return |
-0.75% |
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| Buy & Hold Return |
0.59% |
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| Return on Account |
-3.66% |
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|
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| Avg. Monthly Return |
($50.00) |
|
|
|
| Std. Deviation of Monthly Return |
$2,481.30 |
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|
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|
|
|
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| Return Retracement Ratio |
-1.01 |
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|
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| RINA Index |
-3.26 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
3 Mths, 5 Dys, 16 Hrs, 25 Mins |
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|
| Percent of Time in the Market |
14.10% |
|
| Time in the Market |
13 Dys, 18 Hrs, 35 Mins |
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| Longest Flat Period |
4 Dys, 18 Hrs, 5 Mins |
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| Max. Equity Run-up |
$5,450.00 |
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| Date of Max. Equity Run-up |
10/29/2002 9:45 |
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| Max. Equity Run-up as % of Initial Capital |
5.45% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($6,090.00) |
($3,330.00) |
($5,405.00) |
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| Date |
11/21/2002 9:40 |
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|
|
| as % of Initial Capital |
6.09% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
-3.28% |
30.33% |
-22.39% |
|
| Select Net Profit as % of Drawdown |
-3.28% |
30.33% |
-22.39% |
|
| Adjusted Net Profit as % of Drawdown |
-84.90% |
-84.10% |
-82.94% |
|
| |
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($5,470.00) |
($3,145.00) |
($4,575.00) |
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| Date |
11/20/2002 16:00 |
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|
|
| as % of Initial Capital |
-5.47% |
-3.15% |
-4.58% |
|
| Net Profit as % of Drawdown |
-3.66% |
32.11% |
-26.45% |
|
| Select Net Profit as % of Drawdown |
-3.66% |
32.11% |
-26.45% |
|
| Adjusted Net Profit as % of Drawdown |
-94.52% |
-89.05% |
-97.98% |
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| Max. Trade Drawdown |
($1,370.00) |
($1,170.00) |
($1,370.00) |
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| All Trades |
|
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|
| Total Net Profit |
($200.00) |
Profit Factor |
0.98 |
|
| Gross Profit |
$12,930.00 |
Gross Loss |
($13,130.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($200.00) |
Select Profit Factor |
0.98 |
|
| Select Gross Profit |
$12,930.00 |
Select Gross Loss |
($13,130.00) |
|
|
| Adjusted Total Net Profit |
($5,170.41) |
Adjusted Profit Factor |
0.67 |
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| Adjusted Gross Profit |
$10,486.46 |
Adjusted Gross Loss |
($15,656.87) |
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|
| Total Number of Trades |
55 |
Percent Profitable |
50.91% |
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| Winning Trades |
28 |
Losing Trades |
27 |
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| Even Trades |
0 |
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|
| Avg. Trade Net Profit |
($3.64) |
Ratio Avg. Win:Avg. Loss |
0.95 |
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| Avg. Winning Trade |
$461.79 |
Avg. Losing Trade |
($486.30) |
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| Largest Winning Trade |
$1,515.00 |
Largest Losing Trade |
($1,155.00) |
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| Largest Winner as % of Gross Profit |
11.72% |
Largest Loser as % of Gross Loss |
8.80% |
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| Net Profit as % of Largest Loss |
-17.32% |
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| Slct. Net Profit as % of Largest Loss |
-17.32% |
Adj. Net Profit as % of Largest Loss |
-447.65% |
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| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
6 |
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| Avg. Bars in Winning Trades |
71.89 |
Avg. Bars in Losing Trades |
71.3 |
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| Avg. Bars in Total Trades |
71.6 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$5,470.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
-0.20% |
Annual Rate of Return |
-0.75% |
|
| Buy and Hold Return |
0.59% |
Return on Account |
-3.66% |
|
| Avg. Monthly Return |
($50.00) |
Std. Deviation of Monthly Return |
$2,481.30 |
|
|
| Return Retracement Ratio |
-1.01 |
RINA Index |
-3.26 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
3 Mths, 5 Dys, 16 Hrs, 25 Mins |
Percent of Time in the Market |
14.10% |
|
| Time in the Market |
13 Dys, 18 Hrs, 35 Mins |
Longest Flat Period |
4 Dys, 18 Hrs, 5 Mins |
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|
| Max. Equity Run-up |
$5,450.00 |
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| Date of Max. E. Run-up |
10/29/2002 9:45 |
Max. E. Run-up as % of Initial Capital |
5.45% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
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| Value |
($6,090.00) |
Value |
($5,470.00) |
|
| Date |
11/21/2002 9:40 |
Date |
11/20/2002 16:00 |
|
| as % of Initial Capital |
6.09% |
as % of Initial Capital |
-5.47% |
|
| Net Profit as % of Drawdown |
-3.28% |
Net Profit as % of Drawdown |
-3.66% |
|
| Slct. Net Profit as % of Drawdown |
-3.28% |
Slct. Net Profit as % of Drawdown |
-3.66% |
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| Adj. Net Prof as % of Drawdown |
-84.90% |
Adj. Net Profit as % of Drawdown |
-94.52% |
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| Max. Trade Drawdown |
($1,370.00) |
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|
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| Long Trades |
|
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| Total Net Profit |
$1,010.00 |
Profit Factor |
1.17 |
|
| Gross Profit |
$7,105.00 |
Gross Loss |
($6,095.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,010.00 |
Select Profit Factor |
1.17 |
|
| Select Gross Profit |
$7,105.00 |
Select Gross Loss |
($6,095.00) |
|
|
| Adjusted Total Net Profit |
($2,800.51) |
Adjusted Profit Factor |
0.64 |
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| Adjusted Gross Profit |
$5,053.96 |
Adjusted Gross Loss |
($7,854.47) |
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| Total Number of Trades |
24 |
Percent Profitable |
50.00% |
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| Winning Trades |
12 |
Losing Trades |
12 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$42.08 |
Ratio Avg. Win:Avg. Loss |
1.17 |
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| Avg. Winning Trade |
$592.08 |
Avg. Losing Trade |
($507.92) |
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| Largest Winning Trade |
$1,495.00 |
Largest Losing Trade |
($890.00) |
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| Largest Winner as % of Gross Profit |
21.04% |
Largest Loser as % of Gross Loss |
14.60% |
|
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| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
5 |
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| Avg. Bars in Winning Trades |
77.08 |
Avg. Bars in Losing Trades |
68.67 |
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| Avg. Bars in Total Trades |
72.88 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$3,145.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
|
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| Net Profit as % of Largest Loss |
113.48% |
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| Slct. Net Profit as % of Largest Loss |
113.48% |
Adj. Net Profit as % of Largest Loss |
-314.66% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($3,330.00) |
Value |
($3,145.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-3.15% |
|
| Net Profit as % of Drawdown |
30.33% |
Net Profit as % of Drawdown |
32.11% |
|
| Slct. Net Profit as % of Drawdown |
30.33% |
Slct. Net Profit as % of Drawdown |
32.11% |
|
| Adj. Net Prof as % of Drawdown |
-84.10% |
Adj. Net Profit as % of Drawdown |
32.11% |
|
|
| Max. Trade Drawdown |
($1,170.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
($1,210.00) |
Profit Factor |
0.83 |
|
| Gross Profit |
$5,825.00 |
Gross Loss |
($7,035.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($1,210.00) |
Select Profit Factor |
0.83 |
|
| Select Gross Profit |
$5,825.00 |
Select Gross Loss |
($7,035.00) |
|
|
| Adjusted Total Net Profit |
($4,482.68) |
Adjusted Profit Factor |
0.49 |
|
| Adjusted Gross Profit |
$4,368.75 |
Adjusted Gross Loss |
($8,851.43) |
|
| |
|
|
|
|
| Total Number of Trades |
31 |
Percent Profitable |
51.61% |
|
| Winning Trades |
16 |
Losing Trades |
15 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
($39.03) |
Ratio Avg. Win:Avg. Loss |
0.78 |
|
| Avg. Winning Trade |
$364.06 |
Avg. Losing Trade |
($469.00) |
|
| Largest Winning Trade |
$1,515.00 |
Largest Losing Trade |
($1,155.00) |
|
| Largest Winner as % of Gross Profit |
26.01% |
Largest Loser as % of Gross Loss |
14.60% |
|
|
| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
3 |
|
| Avg. Bars in Winning Trades |
68 |
Avg. Bars in Losing Trades |
73.4 |
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| Avg. Bars in Total Trades |
70.61 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$4,575.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
-104.76% |
|
| Slct. Net Profit as % of Largest Loss |
-104.76% |
Adj. Net Profit as % of Largest Loss |
-388.11% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($5,405.00) |
Value |
($4,575.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-4.58% |
|
| Net Profit as % of Drawdown |
-22.39% |
Net Profit as % of Drawdown |
-26.45% |
|
| Slct. Net Profit as % of Drawdown |
-22.39% |
Slct. Net Profit as % of Drawdown |
-26.45% |
|
| Adj. Net Prof as % of Drawdown |
-82.94% |
Adj. Net Prof as % of Drawdown |
-97.98% |
|
|
| Max. Trade Drawdown |
($1,370.00) |
|
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