| TradeStation Strategy Performance Summary
Spectrum SA Intraday System Dow E Mini September 2002 Contract |
| |
|
| |
All Trades |
Long Trades |
Short Trades |
|
| Total Net Profit |
$1,215.00 |
$1,530.00 |
($315.00) |
|
| Gross Profit |
$18,570.00 |
$13,565.00 |
$5,005.00 |
|
| Gross Loss |
($17,355.00) |
($12,035.00) |
($5,320.00) |
|
| Profit Factor |
1.07 |
1.13 |
0.94 |
|
| |
|
|
|
|
| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
|
| |
|
|
|
|
| Select Total Net Profit |
($1,320.00) |
($1,005.00) |
($315.00) |
|
| Select Gross Profit |
$16,035.00 |
$11,030.00 |
$5,005.00 |
|
| Select Gross Loss |
($17,355.00) |
($12,035.00) |
($5,320.00) |
|
| Select Profit Factor |
0.92 |
0.92 |
0.94 |
|
| |
|
|
|
|
| Adjusted Total Net Profit |
($5,249.52) |
($4,198.74) |
($3,442.15) |
|
| Adjusted Gross Profit |
$15,385.27 |
$10,672.93 |
$3,560.18 |
|
| Adjusted Gross Loss |
($20,634.79) |
($14,871.68) |
($7,002.33) |
|
| Adjusted Profit Factor |
0.75 |
0.72 |
0.51 |
|
| |
|
|
|
|
| Total Number of Trades |
62 |
40 |
22 |
|
| Percent Profitable |
54.84% |
55.00% |
54.55% |
|
| Winning Trades |
34 |
22 |
12 |
|
| Losing Trades |
28 |
18 |
10 |
|
| Even Trades |
0 |
0 |
0 |
|
| |
|
|
|
|
| Avg. Trade Net Profit |
$19.60 |
$38.25 |
($14.32) |
|
| Avg. Winning Trade |
$546.18 |
$616.59 |
$417.08 |
|
| Avg. Losing Trade |
($619.82) |
($668.61) |
($532.00) |
|
| Ratio Avg. Winning:Avg. Losing |
0.88 |
0.92 |
0.78 |
|
| Largest Winning Trade |
$2,535.00 |
$2,535.00 |
$895.00 |
|
| Largest Losing Trade |
($1,690.00) |
($1,690.00) |
($885.00) |
|
| Largest Winner as % of Gross Profit |
13.65% |
18.69% |
17.88% |
|
| Largest Loser as % of Gross Loss |
9.74% |
14.04% |
16.64% |
|
| |
|
|
|
|
| Net Profit as % of Largest Loss |
71.89% |
90.53% |
-35.59% |
|
| Select Net Profit as % of Largest Loss |
-78.11% |
-59.47% |
-35.59% |
|
| Adjusted Net Profit as % of Largest Loss |
-310.62% |
-248.45% |
-388.94% |
|
| |
|
|
|
|
| Max. Consecutive Winning Trades |
5 |
4 |
4 |
|
| Max. Consecutive Losing Trades |
4 |
5 |
2 |
|
| Avg. Bars in Total Trades |
78.23 |
80.33 |
74.41 |
|
| Avg. Bars in Winning Trades |
79.71 |
82.18 |
75.17 |
|
| Avg. Bars in Losing Trades |
76.43 |
78.06 |
73.5 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
|
| Account Size Required |
$5,570.00 |
$4,860.00 |
$2,440.00 |
|
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
|
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
|
| |
|
|
|
|
| Return on Initial Capital |
1.21% |
|
| Annual Rate of Return |
4.43% |
|
| Buy & Hold Return |
-11.54% |
|
| Return on Account |
21.81% |
|
|
|
| Avg. Monthly Return |
$303.75 |
|
|
|
| Std. Deviation of Monthly Return |
$1,606.68 |
|
|
|
| |
|
|
|
|
| Return Retracement Ratio |
0.7 |
|
|
|
| RINA Index |
-14.38 |
|
|
|
| Sharpe Ratio |
n/a |
|
|
|
| K-Ratio |
n/a |
|
|
|
| |
|
|
|
|
| Trading Period |
3 Mths, 7 Dys, 13 Hrs, 20 Mins |
|
|
|
| Percent of Time in the Market |
17.32% |
|
| Time in the Market |
17 Dys, 5 Hrs, 45 Mins |
|
|
|
| Longest Flat Period |
3 Dys, 17 Hrs, 10 Mins |
|
|
|
| |
|
|
|
|
| Max. Equity Run-up |
$8,485.00 |
|
|
|
| Date of Max. Equity Run-up |
9/4/2002 14:50 |
|
|
|
| Max. Equity Run-up as % of Initial Capital |
8.48% |
|
|
|
| |
|
| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($6,320.00) |
($5,645.00) |
($3,545.00) |
|
| Date |
7/22/2002 11:40 |
|
|
|
| as % of Initial Capital |
6.32% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
19.22% |
27.10% |
-8.89% |
|
| Select Net Profit as % of Drawdown |
-20.89% |
-17.80% |
-8.89% |
|
| Adjusted Net Profit as % of Drawdown |
-83.06% |
-74.38% |
-97.10% |
|
| |
|
|
|
|
| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($5,570.00) |
($4,860.00) |
($2,440.00) |
|
| Date |
7/18/2002 16:00 |
|
|
|
| as % of Initial Capital |
-5.57% |
-4.86% |
-2.44% |
|
| Net Profit as % of Drawdown |
21.81% |
31.48% |
-12.91% |
|
| Select Net Profit as % of Drawdown |
-23.70% |
-20.68% |
-12.91% |
|
| Adjusted Net Profit as % of Drawdown |
-94.25% |
-86.39% |
-141.07% |
|
| |
|
|
|
|
| Max. Trade Drawdown |
($1,800.00) |
($1,800.00) |
($1,145.00) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| All Trades |
|
| |
|
| Total Net Profit |
$1,215.00 |
Profit Factor |
1.07 |
|
| Gross Profit |
$18,570.00 |
Gross Loss |
($17,355.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($1,320.00) |
Select Profit Factor |
0.92 |
|
| Select Gross Profit |
$16,035.00 |
Select Gross Loss |
($17,355.00) |
|
|
| Adjusted Total Net Profit |
($5,249.52) |
Adjusted Profit Factor |
0.75 |
|
| Adjusted Gross Profit |
$15,385.27 |
Adjusted Gross Loss |
($20,634.79) |
|
|
| Total Number of Trades |
62 |
Percent Profitable |
54.84% |
|
| Winning Trades |
34 |
Losing Trades |
28 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$19.60 |
Ratio Avg. Win:Avg. Loss |
0.88 |
|
| Avg. Winning Trade |
$546.18 |
Avg. Losing Trade |
($619.82) |
|
| Largest Winning Trade |
$2,535.00 |
Largest Losing Trade |
($1,690.00) |
|
| Largest Winner as % of Gross Profit |
13.65% |
Largest Loser as % of Gross Loss |
9.74% |
|
|
| Net Profit as % of Largest Loss |
71.89% |
|
| Slct. Net Profit as % of Largest Loss |
-78.11% |
Adj. Net Profit as % of Largest Loss |
-310.62% |
|
|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
4 |
|
| Avg. Bars in Winning Trades |
79.71 |
Avg. Bars in Losing Trades |
76.43 |
|
| Avg. Bars in Total Trades |
78.23 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$5,570.00 |
|
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
1.21% |
Annual Rate of Return |
4.43% |
|
| Buy and Hold Return |
-11.54% |
Return on Account |
21.81% |
|
| Avg. Monthly Return |
$303.75 |
Std. Deviation of Monthly Return |
$1,606.68 |
|
|
| Return Retracement Ratio |
0.7 |
RINA Index |
-14.38 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
3 Mths, 7 Dys, 13 Hrs, 20 Mins |
Percent of Time in the Market |
17.32% |
|
| Time in the Market |
17 Dys, 5 Hrs, 45 Mins |
Longest Flat Period |
3 Dys, 17 Hrs, 10 Mins |
|
|
| Max. Equity Run-up |
$8,485.00 |
|
| Date of Max. E. Run-up |
9/4/2002 14:50 |
Max. E. Run-up as % of Initial Capital |
8.48% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($6,320.00) |
Value |
($5,570.00) |
|
| Date |
7/22/2002 11:40 |
Date |
7/18/2002 16:00 |
|
| as % of Initial Capital |
6.32% |
as % of Initial Capital |
-5.57% |
|
| Net Profit as % of Drawdown |
19.22% |
Net Profit as % of Drawdown |
21.81% |
|
| Slct. Net Profit as % of Drawdown |
-20.89% |
Slct. Net Profit as % of Drawdown |
-23.70% |
|
| Adj. Net Prof as % of Drawdown |
-83.06% |
Adj. Net Profit as % of Drawdown |
-94.25% |
|
|
| Max. Trade Drawdown |
($1,800.00) |
|
|
|
|
| Long Trades |
|
|
| Total Net Profit |
$1,530.00 |
Profit Factor |
1.13 |
|
| Gross Profit |
$13,565.00 |
Gross Loss |
($12,035.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($1,005.00) |
Select Profit Factor |
0.92 |
|
| Select Gross Profit |
$11,030.00 |
Select Gross Loss |
($12,035.00) |
|
|
| Adjusted Total Net Profit |
($4,198.74) |
Adjusted Profit Factor |
0.72 |
|
| Adjusted Gross Profit |
$10,672.93 |
Adjusted Gross Loss |
($14,871.68) |
|
|
| Total Number of Trades |
40 |
Percent Profitable |
55.00% |
|
| Winning Trades |
22 |
Losing Trades |
18 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$38.25 |
Ratio Avg. Win:Avg. Loss |
0.92 |
|
| Avg. Winning Trade |
$616.59 |
Avg. Losing Trade |
($668.61) |
|
| Largest Winning Trade |
$2,535.00 |
Largest Losing Trade |
($1,690.00) |
|
| Largest Winner as % of Gross Profit |
18.69% |
Largest Loser as % of Gross Loss |
14.04% |
|
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
5 |
|
| Avg. Bars in Winning Trades |
82.18 |
Avg. Bars in Losing Trades |
78.06 |
|
| Avg. Bars in Total Trades |
80.33 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$4,860.00 |
|
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
|
|
| Net Profit as % of Largest Loss |
90.53% |
|
| Slct. Net Profit as % of Largest Loss |
-59.47% |
Adj. Net Profit as % of Largest Loss |
-248.45% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($5,645.00) |
Value |
($4,860.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-4.86% |
|
| Net Profit as % of Drawdown |
27.10% |
Net Profit as % of Drawdown |
31.48% |
|
| Slct. Net Profit as % of Drawdown |
-17.80% |
Slct. Net Profit as % of Drawdown |
-20.68% |
|
| Adj. Net Prof as % of Drawdown |
-74.38% |
Adj. Net Profit as % of Drawdown |
-20.68% |
|
|
| Max. Trade Drawdown |
($1,800.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
($315.00) |
Profit Factor |
0.94 |
|
| Gross Profit |
$5,005.00 |
Gross Loss |
($5,320.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
($315.00) |
Select Profit Factor |
0.94 |
|
| Select Gross Profit |
$5,005.00 |
Select Gross Loss |
($5,320.00) |
|
|
| Adjusted Total Net Profit |
($3,442.15) |
Adjusted Profit Factor |
0.51 |
|
| Adjusted Gross Profit |
$3,560.18 |
Adjusted Gross Loss |
($7,002.33) |
|
| |
|
|
|
|
| Total Number of Trades |
22 |
Percent Profitable |
54.55% |
|
| Winning Trades |
12 |
Losing Trades |
10 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
($14.32) |
Ratio Avg. Win:Avg. Loss |
0.78 |
|
| Avg. Winning Trade |
$417.08 |
Avg. Losing Trade |
($532.00) |
|
| Largest Winning Trade |
$895.00 |
Largest Losing Trade |
($885.00) |
|
| Largest Winner as % of Gross Profit |
17.88% |
Largest Loser as % of Gross Loss |
14.04% |
|
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
2 |
|
| Avg. Bars in Winning Trades |
75.17 |
Avg. Bars in Losing Trades |
73.5 |
|
| Avg. Bars in Total Trades |
74.41 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$2,440.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
-35.59% |
|
| Slct. Net Profit as % of Largest Loss |
-35.59% |
Adj. Net Profit as % of Largest Loss |
-388.94% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($3,545.00) |
Value |
($2,440.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-2.44% |
|
| Net Profit as % of Drawdown |
-8.89% |
Net Profit as % of Drawdown |
-12.91% |
|
| Slct. Net Profit as % of Drawdown |
-8.89% |
Slct. Net Profit as % of Drawdown |
-12.91% |
|
| Adj. Net Prof as % of Drawdown |
-97.10% |
Adj. Net Prof as % of Drawdown |
-141.07% |
|
|
| Max. Trade Drawdown |
($1,145.00) |
|
|
|
|
|
|
|
|
|