| TradeStation Strategy Performance Summary
Spectrum SA Intraday System Dow E Mini March 2003 Contract |
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All Trades |
Long Trades |
Short Trades |
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| Total Net Profit |
$1,655.00 |
($315.00) |
$1,970.00 |
|
| Gross Profit |
$10,320.00 |
$3,000.00 |
$7,320.00 |
|
| Gross Loss |
($8,665.00) |
($3,315.00) |
($5,350.00) |
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| Profit Factor |
1.19 |
0.9 |
1.37 |
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|
|
|
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| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
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|
|
|
|
| Select Total Net Profit |
$1,655.00 |
($315.00) |
$1,970.00 |
|
| Select Gross Profit |
$10,320.00 |
$3,000.00 |
$7,320.00 |
|
| Select Gross Loss |
($8,665.00) |
($3,315.00) |
($5,350.00) |
|
| Select Profit Factor |
1.19 |
0.9 |
1.37 |
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|
|
|
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| Adjusted Total Net Profit |
($1,836.06) |
($2,271.96) |
($928.13) |
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| Adjusted Gross Profit |
$8,466.47 |
$2,000.00 |
$5,759.37 |
|
| Adjusted Gross Loss |
($10,302.53) |
($4,271.96) |
($6,687.50) |
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| Adjusted Profit Factor |
0.82 |
0.47 |
0.86 |
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|
|
|
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| Total Number of Trades |
59 |
21 |
38 |
|
| Percent Profitable |
52.54% |
42.86% |
57.89% |
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| Winning Trades |
31 |
9 |
22 |
|
| Losing Trades |
28 |
12 |
16 |
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| Even Trades |
0 |
0 |
0 |
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|
|
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| Avg. Trade Net Profit |
$28.05 |
($15.00) |
$51.84 |
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| Avg. Winning Trade |
$332.90 |
$333.33 |
$332.73 |
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| Avg. Losing Trade |
($309.46) |
($276.25) |
($334.38) |
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| Ratio Avg. Winning:Avg. Losing |
1.08 |
1.21 |
1 |
|
| Largest Winning Trade |
$800.00 |
$800.00 |
$710.00 |
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| Largest Losing Trade |
($880.00) |
($580.00) |
($880.00) |
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| Largest Winner as % of Gross Profit |
7.75% |
26.67% |
9.70% |
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| Largest Loser as % of Gross Loss |
10.16% |
17.50% |
16.45% |
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| Net Profit as % of Largest Loss |
188.07% |
-54.31% |
223.86% |
|
| Select Net Profit as % of Largest Loss |
188.07% |
-54.31% |
223.86% |
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| Adjusted Net Profit as % of Largest Loss |
-208.64% |
-391.72% |
-105.47% |
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| Max. Consecutive Winning Trades |
3 |
4 |
4 |
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| Max. Consecutive Losing Trades |
5 |
5 |
4 |
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| Avg. Bars in Total Trades |
72 |
67.1 |
74.71 |
|
| Avg. Bars in Winning Trades |
72.39 |
72.89 |
72.18 |
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| Avg. Bars in Losing Trades |
71.57 |
62.75 |
78.19 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
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| Account Size Required |
$1,700.00 |
$1,435.00 |
$1,120.00 |
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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 |
1.65% |
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| Annual Rate of Return |
6.04% |
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| Buy & Hold Return |
-10.77% |
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| Return on Account |
97.35% |
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|
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| Avg. Monthly Return |
$413.75 |
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|
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| Std. Deviation of Monthly Return |
$881.25 |
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|
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| Return Retracement Ratio |
1.41 |
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| RINA Index |
35.44 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
3 Mths, 7 Dys, 6 Hrs, 15 Mins |
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|
| Percent of Time in the Market |
14.70% |
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| Time in the Market |
14 Dys, 14 Hrs, 10 Mins |
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| Longest Flat Period |
3 Dys, 18 Hrs, 50 Mins |
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| Max. Equity Run-up |
$3,575.00 |
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| Date of Max. Equity Run-up |
2/25/2003 9:10 |
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| Max. Equity Run-up as % of Initial Capital |
3.58% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($2,205.00) |
($2,245.00) |
($1,415.00) |
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| Date |
2/6/2003 8:40 |
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|
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| as % of Initial Capital |
2.21% |
n/a |
n/a |
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| Net Profit as % of Drawdown |
75.06% |
-14.03% |
139.22% |
|
| Select Net Profit as % of Drawdown |
75.06% |
-14.03% |
139.22% |
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| Adjusted Net Profit as % of Drawdown |
-83.27% |
-101.20% |
-65.59% |
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,700.00) |
($1,435.00) |
($1,120.00) |
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| Date |
2/6/2003 15:15 |
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|
|
| as % of Initial Capital |
-1.70% |
-1.44% |
-1.12% |
|
| Net Profit as % of Drawdown |
97.35% |
-21.95% |
175.89% |
|
| Select Net Profit as % of Drawdown |
97.35% |
-21.95% |
175.89% |
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| Adjusted Net Profit as % of Drawdown |
-108.00% |
-158.32% |
-82.87% |
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| Max. Trade Drawdown |
($995.00) |
($755.00) |
($995.00) |
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| All Trades |
|
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|
| Total Net Profit |
$1,655.00 |
Profit Factor |
1.19 |
|
| Gross Profit |
$10,320.00 |
Gross Loss |
($8,665.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,655.00 |
Select Profit Factor |
1.19 |
|
| Select Gross Profit |
$10,320.00 |
Select Gross Loss |
($8,665.00) |
|
|
| Adjusted Total Net Profit |
($1,836.06) |
Adjusted Profit Factor |
0.82 |
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| Adjusted Gross Profit |
$8,466.47 |
Adjusted Gross Loss |
($10,302.53) |
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|
| Total Number of Trades |
59 |
Percent Profitable |
52.54% |
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| Winning Trades |
31 |
Losing Trades |
28 |
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| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$28.05 |
Ratio Avg. Win:Avg. Loss |
1.08 |
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| Avg. Winning Trade |
$332.90 |
Avg. Losing Trade |
($309.46) |
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| Largest Winning Trade |
$800.00 |
Largest Losing Trade |
($880.00) |
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| Largest Winner as % of Gross Profit |
7.75% |
Largest Loser as % of Gross Loss |
10.16% |
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| Net Profit as % of Largest Loss |
188.07% |
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| Slct. Net Profit as % of Largest Loss |
188.07% |
Adj. Net Profit as % of Largest Loss |
-208.64% |
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| Max. Consecutive Winning Trades |
3 |
Max. Consecutive Losing Trades |
5 |
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| Avg. Bars in Winning Trades |
72.39 |
Avg. Bars in Losing Trades |
71.57 |
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| Avg. Bars in Total Trades |
72 |
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,700.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
1.65% |
Annual Rate of Return |
6.04% |
|
| Buy and Hold Return |
-10.77% |
Return on Account |
97.35% |
|
| Avg. Monthly Return |
$413.75 |
Std. Deviation of Monthly Return |
$881.25 |
|
|
| Return Retracement Ratio |
1.41 |
RINA Index |
35.44 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
3 Mths, 7 Dys, 6 Hrs, 15 Mins |
Percent of Time in the Market |
14.70% |
|
| Time in the Market |
14 Dys, 14 Hrs, 10 Mins |
Longest Flat Period |
3 Dys, 18 Hrs, 50 Mins |
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|
| Max. Equity Run-up |
$3,575.00 |
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| Date of Max. E. Run-up |
2/25/2003 9:10 |
Max. E. Run-up as % of Initial Capital |
3.58% |
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
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| Value |
($2,205.00) |
Value |
($1,700.00) |
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| Date |
2/6/2003 8:40 |
Date |
2/6/2003 15:15 |
|
| as % of Initial Capital |
2.21% |
as % of Initial Capital |
-1.70% |
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| Net Profit as % of Drawdown |
75.06% |
Net Profit as % of Drawdown |
97.35% |
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| Slct. Net Profit as % of Drawdown |
75.06% |
Slct. Net Profit as % of Drawdown |
97.35% |
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| Adj. Net Prof as % of Drawdown |
-83.27% |
Adj. Net Profit as % of Drawdown |
-108.00% |
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| Max. Trade Drawdown |
($995.00) |
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| Long Trades |
|
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| Total Net Profit |
($315.00) |
Profit Factor |
0.9 |
|
| Gross Profit |
$3,000.00 |
Gross Loss |
($3,315.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($315.00) |
Select Profit Factor |
0.9 |
|
| Select Gross Profit |
$3,000.00 |
Select Gross Loss |
($3,315.00) |
|
|
| Adjusted Total Net Profit |
($2,271.96) |
Adjusted Profit Factor |
0.47 |
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| Adjusted Gross Profit |
$2,000.00 |
Adjusted Gross Loss |
($4,271.96) |
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| Total Number of Trades |
21 |
Percent Profitable |
42.86% |
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| Winning Trades |
9 |
Losing Trades |
12 |
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| Even Trades |
0 |
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| Avg. Trade Net Profit |
($15.00) |
Ratio Avg. Win:Avg. Loss |
1.21 |
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| Avg. Winning Trade |
$333.33 |
Avg. Losing Trade |
($276.25) |
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| Largest Winning Trade |
$800.00 |
Largest Losing Trade |
($580.00) |
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| Largest Winner as % of Gross Profit |
26.67% |
Largest Loser as % of Gross Loss |
17.50% |
|
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| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
5 |
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| Avg. Bars in Winning Trades |
72.89 |
Avg. Bars in Losing Trades |
62.75 |
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| Avg. Bars in Total Trades |
67.1 |
|
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| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,435.00 |
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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 |
-54.31% |
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| Slct. Net Profit as % of Largest Loss |
-54.31% |
Adj. Net Profit as % of Largest Loss |
-391.72% |
|
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| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($2,245.00) |
Value |
($1,435.00) |
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| as % of Initial Capital |
n/a |
as % of Initial Capital |
-1.44% |
|
| Net Profit as % of Drawdown |
-14.03% |
Net Profit as % of Drawdown |
-21.95% |
|
| Slct. Net Profit as % of Drawdown |
-14.03% |
Slct. Net Profit as % of Drawdown |
-21.95% |
|
| Adj. Net Prof as % of Drawdown |
-101.20% |
Adj. Net Profit as % of Drawdown |
-21.95% |
|
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| Max. Trade Drawdown |
($755.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$1,970.00 |
Profit Factor |
1.37 |
|
| Gross Profit |
$7,320.00 |
Gross Loss |
($5,350.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,970.00 |
Select Profit Factor |
1.37 |
|
| Select Gross Profit |
$7,320.00 |
Select Gross Loss |
($5,350.00) |
|
|
| Adjusted Total Net Profit |
($928.13) |
Adjusted Profit Factor |
0.86 |
|
| Adjusted Gross Profit |
$5,759.37 |
Adjusted Gross Loss |
($6,687.50) |
|
| |
|
|
|
|
| Total Number of Trades |
38 |
Percent Profitable |
57.89% |
|
| Winning Trades |
22 |
Losing Trades |
16 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$51.84 |
Ratio Avg. Win:Avg. Loss |
1 |
|
| Avg. Winning Trade |
$332.73 |
Avg. Losing Trade |
($334.38) |
|
| Largest Winning Trade |
$710.00 |
Largest Losing Trade |
($880.00) |
|
| Largest Winner as % of Gross Profit |
9.70% |
Largest Loser as % of Gross Loss |
17.50% |
|
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
4 |
|
| Avg. Bars in Winning Trades |
72.18 |
Avg. Bars in Losing Trades |
78.19 |
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| Avg. Bars in Total Trades |
74.71 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,120.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
223.86% |
|
| Slct. Net Profit as % of Largest Loss |
223.86% |
Adj. Net Profit as % of Largest Loss |
-105.47% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,415.00) |
Value |
($1,120.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-1.12% |
|
| Net Profit as % of Drawdown |
139.22% |
Net Profit as % of Drawdown |
175.89% |
|
| Slct. Net Profit as % of Drawdown |
139.22% |
Slct. Net Profit as % of Drawdown |
175.89% |
|
| Adj. Net Prof as % of Drawdown |
-65.59% |
Adj. Net Prof as % of Drawdown |
-82.87% |
|
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| Max. Trade Drawdown |
($995.00) |
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