| TradeStation Strategy Performance Summary
Spectrum SA Intraday System Dow E Mini June 2003 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
$5,900.00 |
$5,375.00 |
$525.00 |
|
| Gross Profit |
$11,595.00 |
$9,825.00 |
$1,770.00 |
|
| Gross Loss |
($5,695.00) |
($4,450.00) |
($1,245.00) |
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| Profit Factor |
2.04 |
2.21 |
1.42 |
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|
|
|
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| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
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|
|
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| Select Total Net Profit |
$5,605.00 |
$5,080.00 |
$525.00 |
|
| Select Gross Profit |
$10,140.00 |
$8,370.00 |
$1,770.00 |
|
| Select Gross Loss |
($4,535.00) |
($3,290.00) |
($1,245.00) |
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| Select Profit Factor |
2.24 |
2.54 |
1.42 |
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|
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| Adjusted Total Net Profit |
$2,654.99 |
$2,404.89 |
($830.57) |
|
| Adjusted Gross Profit |
$9,512.48 |
$7,934.18 |
$885.00 |
|
| Adjusted Gross Loss |
($6,857.49) |
($5,529.28) |
($1,715.57) |
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| Adjusted Profit Factor |
1.39 |
1.43 |
0.52 |
|
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|
|
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| Total Number of Trades |
55 |
44 |
11 |
|
| Percent Profitable |
56.36% |
61.36% |
36.36% |
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| Winning Trades |
31 |
27 |
4 |
|
| Losing Trades |
24 |
17 |
7 |
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| Even Trades |
0 |
0 |
0 |
|
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|
|
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| Avg. Trade Net Profit |
$107.27 |
$122.16 |
$47.73 |
|
| Avg. Winning Trade |
$374.03 |
$363.89 |
$442.50 |
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| Avg. Losing Trade |
($237.29) |
($261.76) |
($177.86) |
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| Ratio Avg. Winning:Avg. Losing |
1.58 |
1.39 |
2.49 |
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| Largest Winning Trade |
$1,455.00 |
$1,455.00 |
$735.00 |
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| Largest Losing Trade |
($1,160.00) |
($1,160.00) |
($485.00) |
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| Largest Winner as % of Gross Profit |
12.55% |
14.81% |
41.53% |
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| Largest Loser as % of Gross Loss |
20.37% |
26.07% |
38.96% |
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| Net Profit as % of Largest Loss |
508.62% |
463.36% |
108.25% |
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| Select Net Profit as % of Largest Loss |
483.19% |
437.93% |
108.25% |
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| Adjusted Net Profit as % of Largest Loss |
228.88% |
207.32% |
-171.25% |
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| Max. Consecutive Winning Trades |
5 |
5 |
1 |
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| Max. Consecutive Losing Trades |
3 |
3 |
3 |
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| Avg. Bars in Total Trades |
74.25 |
75.07 |
71 |
|
| Avg. Bars in Winning Trades |
73.58 |
73.19 |
76.25 |
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| Avg. Bars in Losing Trades |
75.13 |
78.06 |
68 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
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| Account Size Required |
$2,275.00 |
$2,275.00 |
$485.00 |
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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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| Return on Initial Capital |
5.90% |
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| Annual Rate of Return |
22.97% |
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| Buy & Hold Return |
17.47% |
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| Return on Account |
259.34% |
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| Avg. Monthly Return |
$1,475.00 |
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|
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| Std. Deviation of Monthly Return |
$1,007.18 |
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|
|
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| Return Retracement Ratio |
5.86 |
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| RINA Index |
115.96 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
2 Mths, 30 Dys, 3 Hrs, 30 Mins |
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|
| Percent of Time in the Market |
15.35% |
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| Time in the Market |
13 Dys, 23 Hrs, 50 Mins |
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| Longest Flat Period |
3 Dys, 17 Hrs, 50 Mins |
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| Max. Equity Run-up |
$6,390.00 |
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| Date of Max. Equity Run-up |
6/6/2003 9:15 |
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| Max. Equity Run-up as % of Initial Capital |
6.39% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($2,415.00) |
($2,650.00) |
($825.00) |
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| Date |
4/11/2003 13:00 |
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|
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| as % of Initial Capital |
2.42% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
244.31% |
202.83% |
63.64% |
|
| Select Net Profit as % of Drawdown |
232.09% |
191.70% |
63.64% |
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| Adjusted Net Profit as % of Drawdown |
109.94% |
90.75% |
-100.67% |
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($2,275.00) |
($2,275.00) |
($485.00) |
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| Date |
4/11/2003 15:15 |
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|
|
| as % of Initial Capital |
-2.27% |
-2.27% |
-0.48% |
|
| Net Profit as % of Drawdown |
259.34% |
236.26% |
108.25% |
|
| Select Net Profit as % of Drawdown |
246.37% |
223.30% |
108.25% |
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| Adjusted Net Profit as % of Drawdown |
116.70% |
105.71% |
-171.25% |
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| Max. Trade Drawdown |
($1,180.00) |
($1,180.00) |
($610.00) |
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| All Trades |
|
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| Total Net Profit |
$5,900.00 |
Profit Factor |
2.04 |
|
| Gross Profit |
$11,595.00 |
Gross Loss |
($5,695.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$5,605.00 |
Select Profit Factor |
2.24 |
|
| Select Gross Profit |
$10,140.00 |
Select Gross Loss |
($4,535.00) |
|
|
| Adjusted Total Net Profit |
$2,654.99 |
Adjusted Profit Factor |
1.39 |
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| Adjusted Gross Profit |
$9,512.48 |
Adjusted Gross Loss |
($6,857.49) |
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|
| Total Number of Trades |
55 |
Percent Profitable |
56.36% |
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| Winning Trades |
31 |
Losing Trades |
24 |
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| Even Trades |
0 |
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|
| Avg. Trade Net Profit |
$107.27 |
Ratio Avg. Win:Avg. Loss |
1.58 |
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| Avg. Winning Trade |
$374.03 |
Avg. Losing Trade |
($237.29) |
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| Largest Winning Trade |
$1,455.00 |
Largest Losing Trade |
($1,160.00) |
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| Largest Winner as % of Gross Profit |
12.55% |
Largest Loser as % of Gross Loss |
20.37% |
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| Net Profit as % of Largest Loss |
508.62% |
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| Slct. Net Profit as % of Largest Loss |
483.19% |
Adj. Net Profit as % of Largest Loss |
228.88% |
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| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
3 |
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| Avg. Bars in Winning Trades |
73.58 |
Avg. Bars in Losing Trades |
75.13 |
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| Avg. Bars in Total Trades |
74.25 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$2,275.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
5.90% |
Annual Rate of Return |
22.97% |
|
| Buy and Hold Return |
17.47% |
Return on Account |
259.34% |
|
| Avg. Monthly Return |
$1,475.00 |
Std. Deviation of Monthly Return |
$1,007.18 |
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|
| Return Retracement Ratio |
5.86 |
RINA Index |
115.96 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
2 Mths, 30 Dys, 3 Hrs, 30 Mins |
Percent of Time in the Market |
15.35% |
|
| Time in the Market |
13 Dys, 23 Hrs, 50 Mins |
Longest Flat Period |
3 Dys, 17 Hrs, 50 Mins |
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|
| Max. Equity Run-up |
$6,390.00 |
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| Date of Max. E. Run-up |
6/6/2003 9:15 |
Max. E. Run-up as % of Initial Capital |
6.39% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
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| Value |
($2,415.00) |
Value |
($2,275.00) |
|
| Date |
4/11/2003 13:00 |
Date |
4/11/2003 15:15 |
|
| as % of Initial Capital |
2.42% |
as % of Initial Capital |
-2.27% |
|
| Net Profit as % of Drawdown |
244.31% |
Net Profit as % of Drawdown |
259.34% |
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| Slct. Net Profit as % of Drawdown |
232.09% |
Slct. Net Profit as % of Drawdown |
246.37% |
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| Adj. Net Prof as % of Drawdown |
109.94% |
Adj. Net Profit as % of Drawdown |
116.70% |
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| Max. Trade Drawdown |
($1,180.00) |
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| Long Trades |
|
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| Total Net Profit |
$5,375.00 |
Profit Factor |
2.21 |
|
| Gross Profit |
$9,825.00 |
Gross Loss |
($4,450.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$5,080.00 |
Select Profit Factor |
2.54 |
|
| Select Gross Profit |
$8,370.00 |
Select Gross Loss |
($3,290.00) |
|
|
| Adjusted Total Net Profit |
$2,404.89 |
Adjusted Profit Factor |
1.43 |
|
| Adjusted Gross Profit |
$7,934.18 |
Adjusted Gross Loss |
($5,529.28) |
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| Total Number of Trades |
44 |
Percent Profitable |
61.36% |
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| Winning Trades |
27 |
Losing Trades |
17 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
$122.16 |
Ratio Avg. Win:Avg. Loss |
1.39 |
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| Avg. Winning Trade |
$363.89 |
Avg. Losing Trade |
($261.76) |
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| Largest Winning Trade |
$1,455.00 |
Largest Losing Trade |
($1,160.00) |
|
| Largest Winner as % of Gross Profit |
14.81% |
Largest Loser as % of Gross Loss |
26.07% |
|
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| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
3 |
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| Avg. Bars in Winning Trades |
73.19 |
Avg. Bars in Losing Trades |
78.06 |
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| Avg. Bars in Total Trades |
75.07 |
|
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$2,275.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
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|
|
|
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| Net Profit as % of Largest Loss |
463.36% |
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| Slct. Net Profit as % of Largest Loss |
437.93% |
Adj. Net Profit as % of Largest Loss |
207.32% |
|
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($2,650.00) |
Value |
($2,275.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-2.27% |
|
| Net Profit as % of Drawdown |
202.83% |
Net Profit as % of Drawdown |
236.26% |
|
| Slct. Net Profit as % of Drawdown |
191.70% |
Slct. Net Profit as % of Drawdown |
223.30% |
|
| Adj. Net Prof as % of Drawdown |
90.75% |
Adj. Net Profit as % of Drawdown |
223.30% |
|
|
| Max. Trade Drawdown |
($1,180.00) |
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|
|
| Short Trades |
|
|
| Total Net Profit |
$525.00 |
Profit Factor |
1.42 |
|
| Gross Profit |
$1,770.00 |
Gross Loss |
($1,245.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$525.00 |
Select Profit Factor |
1.42 |
|
| Select Gross Profit |
$1,770.00 |
Select Gross Loss |
($1,245.00) |
|
|
| Adjusted Total Net Profit |
($830.57) |
Adjusted Profit Factor |
0.52 |
|
| Adjusted Gross Profit |
$885.00 |
Adjusted Gross Loss |
($1,715.57) |
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|
|
|
|
| Total Number of Trades |
11 |
Percent Profitable |
36.36% |
|
| Winning Trades |
4 |
Losing Trades |
7 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$47.73 |
Ratio Avg. Win:Avg. Loss |
2.49 |
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| Avg. Winning Trade |
$442.50 |
Avg. Losing Trade |
($177.86) |
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| Largest Winning Trade |
$735.00 |
Largest Losing Trade |
($485.00) |
|
| Largest Winner as % of Gross Profit |
41.53% |
Largest Loser as % of Gross Loss |
26.07% |
|
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| Max. Consecutive Winning Trades |
1 |
Max. Consecutive Losing Trades |
3 |
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| Avg. Bars in Winning Trades |
76.25 |
Avg. Bars in Losing Trades |
68 |
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| Avg. Bars in Total Trades |
71 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$485.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
108.25% |
|
| Slct. Net Profit as % of Largest Loss |
108.25% |
Adj. Net Profit as % of Largest Loss |
-171.25% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($825.00) |
Value |
($485.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-0.48% |
|
| Net Profit as % of Drawdown |
63.64% |
Net Profit as % of Drawdown |
108.25% |
|
| Slct. Net Profit as % of Drawdown |
63.64% |
Slct. Net Profit as % of Drawdown |
108.25% |
|
| Adj. Net Prof as % of Drawdown |
-100.67% |
Adj. Net Prof as % of Drawdown |
-171.25% |
|
|
| Max. Trade Drawdown |
($610.00) |
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