| TradeStation Strategy Performance Summary
Spectrum SA Intraday System Dow E Mini September 2002 Contract Through August
15 2003 |
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All Trades |
Long Trades |
Short Trades |
|
| Total Net Profit |
$1,990.00 |
$720.00 |
$1,270.00 |
|
| Gross Profit |
$5,785.00 |
$3,520.00 |
$2,265.00 |
|
| Gross Loss |
($3,795.00) |
($2,800.00) |
($995.00) |
|
| Profit Factor |
1.52 |
1.26 |
2.28 |
|
| |
|
|
|
|
| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
|
| |
|
|
|
|
| Select Total Net Profit |
$1,990.00 |
$720.00 |
$1,270.00 |
|
| Select Gross Profit |
$5,785.00 |
$3,520.00 |
$2,265.00 |
|
| Select Gross Loss |
($3,795.00) |
($2,800.00) |
($995.00) |
|
| Select Profit Factor |
1.52 |
1.26 |
2.28 |
|
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|
|
|
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| Adjusted Total Net Profit |
($223.99) |
($1,141.71) |
$37.84 |
|
| Adjusted Gross Profit |
$4,491.43 |
$2,543.73 |
$1,408.91 |
|
| Adjusted Gross Loss |
($4,715.42) |
($3,685.44) |
($1,371.07) |
|
| Adjusted Profit Factor |
0.95 |
0.69 |
1.03 |
|
| |
|
|
|
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| Total Number of Trades |
37 |
23 |
14 |
|
| Percent Profitable |
54.05% |
56.52% |
50.00% |
|
| Winning Trades |
20 |
13 |
7 |
|
| Losing Trades |
17 |
10 |
7 |
|
| Even Trades |
0 |
0 |
0 |
|
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|
|
|
|
| Avg. Trade Net Profit |
$53.78 |
$31.30 |
$90.71 |
|
| Avg. Winning Trade |
$289.25 |
$270.77 |
$323.57 |
|
| Avg. Losing Trade |
($223.24) |
($280.00) |
($142.14) |
|
| Ratio Avg. Winning:Avg. Losing |
1.3 |
0.97 |
2.28 |
|
| Largest Winning Trade |
$810.00 |
$700.00 |
$810.00 |
|
| Largest Losing Trade |
($760.00) |
($760.00) |
($440.00) |
|
| Largest Winner as % of Gross Profit |
14.00% |
19.89% |
35.76% |
|
| Largest Loser as % of Gross Loss |
20.03% |
27.14% |
44.22% |
|
| |
|
|
|
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| Net Profit as % of Largest Loss |
261.84% |
94.74% |
288.64% |
|
| Select Net Profit as % of Largest Loss |
261.84% |
94.74% |
288.64% |
|
| Adjusted Net Profit as % of Largest Loss |
-29.47% |
-150.23% |
8.60% |
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|
|
|
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| Max. Consecutive Winning Trades |
5 |
4 |
4 |
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| Max. Consecutive Losing Trades |
4 |
4 |
3 |
|
| Avg. Bars in Total Trades |
69.27 |
74 |
61.5 |
|
| Avg. Bars in Winning Trades |
79.35 |
80.92 |
76.43 |
|
| Avg. Bars in Losing Trades |
57.41 |
65 |
46.57 |
|
|
| Max. Shares/Contracts Held |
1 |
1 |
1 |
|
| Account Size Required |
$1,045.00 |
$1,085.00 |
$510.00 |
|
| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
|
| Total Commission |
$0.00 |
$0.00 |
$0.00 |
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| |
|
|
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|
| Return on Initial Capital |
1.99% |
|
| Annual Rate of Return |
14.64% |
|
| Buy & Hold Return |
2.87% |
|
| Return on Account |
190.43% |
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|
|
| Avg. Monthly Return |
$995.00 |
|
|
|
| Std. Deviation of Monthly Return |
$381.84 |
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|
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|
|
|
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| Return Retracement Ratio |
9.63 |
|
|
|
| RINA Index |
46.39 |
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| Sharpe Ratio |
n/a |
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|
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| K-Ratio |
n/a |
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| Trading Period |
1 Mth, 18 Dys, 3 Hrs, 40 Mins |
|
|
|
| Percent of Time in the Market |
18.07% |
|
| Time in the Market |
8 Dys, 21 Hrs, 10 Mins |
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|
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| Longest Flat Period |
3 Dys, 17 Hrs, 20 Mins |
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| Max. Equity Run-up |
$2,835.00 |
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|
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| Date of Max. Equity Run-up |
8/11/2003 9:35 |
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| Max. Equity Run-up as % of Initial Capital |
2.84% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
|
| Value |
($1,705.00) |
($1,545.00) |
($880.00) |
|
| Date |
7/25/2003 9:55 |
|
|
|
| as % of Initial Capital |
1.71% |
n/a |
n/a |
|
| Net Profit as % of Drawdown |
116.72% |
46.60% |
144.32% |
|
| Select Net Profit as % of Drawdown |
116.72% |
46.60% |
144.32% |
|
| Adjusted Net Profit as % of Drawdown |
-13.14% |
-73.90% |
4.30% |
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|
|
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| Max.
Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,045.00) |
($1,085.00) |
($510.00) |
|
| Date |
7/31/2003 15:15 |
|
|
|
| as % of Initial Capital |
-1.04% |
-1.09% |
-0.51% |
|
| Net Profit as % of Drawdown |
190.43% |
66.36% |
249.02% |
|
| Select Net Profit as % of Drawdown |
190.43% |
66.36% |
249.02% |
|
| Adjusted Net Profit as % of Drawdown |
-21.43% |
-105.23% |
7.42% |
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|
|
|
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| Max. Trade Drawdown |
($760.00) |
($760.00) |
($440.00) |
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| All Trades |
|
| |
|
| Total Net Profit |
$1,990.00 |
Profit Factor |
1.52 |
|
| Gross Profit |
$5,785.00 |
Gross Loss |
($3,795.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,990.00 |
Select Profit Factor |
1.52 |
|
| Select Gross Profit |
$5,785.00 |
Select Gross Loss |
($3,795.00) |
|
|
| Adjusted Total Net Profit |
($223.99) |
Adjusted Profit Factor |
0.95 |
|
| Adjusted Gross Profit |
$4,491.43 |
Adjusted Gross Loss |
($4,715.42) |
|
|
| Total Number of Trades |
37 |
Percent Profitable |
54.05% |
|
| Winning Trades |
20 |
Losing Trades |
17 |
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| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$53.78 |
Ratio Avg. Win:Avg. Loss |
1.3 |
|
| Avg. Winning Trade |
$289.25 |
Avg. Losing Trade |
($223.24) |
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| Largest Winning Trade |
$810.00 |
Largest Losing Trade |
($760.00) |
|
| Largest Winner as % of Gross Profit |
14.00% |
Largest Loser as % of Gross Loss |
20.03% |
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| Net Profit as % of Largest Loss |
261.84% |
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| Slct. Net Profit as % of Largest Loss |
261.84% |
Adj. Net Profit as % of Largest Loss |
-29.47% |
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|
| Max. Consecutive Winning Trades |
5 |
Max. Consecutive Losing Trades |
4 |
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| Avg. Bars in Winning Trades |
79.35 |
Avg. Bars in Losing Trades |
57.41 |
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| Avg. Bars in Total Trades |
69.27 |
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|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,045.00 |
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| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
| Return on Initial Capital |
1.99% |
Annual Rate of Return |
14.64% |
|
| Buy and Hold Return |
2.87% |
Return on Account |
190.43% |
|
| Avg. Monthly Return |
$995.00 |
Std. Deviation of Monthly Return |
$381.84 |
|
|
| Return Retracement Ratio |
9.63 |
RINA Index |
46.39 |
|
| Sharpe Ratio |
n/a |
K-Ratio |
n/a |
|
|
| Trading Period |
1 Mth, 18 Dys, 3 Hrs, 40 Mins |
Percent of Time in the Market |
18.07% |
|
| Time in the Market |
8 Dys, 21 Hrs, 10 Mins |
Longest Flat Period |
3 Dys, 17 Hrs, 20 Mins |
|
|
| Max. Equity Run-up |
$2,835.00 |
|
| Date of Max. E. Run-up |
8/11/2003 9:35 |
Max. E. Run-up as % of Initial Capital |
2.84% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,705.00) |
Value |
($1,045.00) |
|
| Date |
7/25/2003 9:55 |
Date |
7/31/2003 15:15 |
|
| as % of Initial Capital |
1.71% |
as % of Initial Capital |
-1.04% |
|
| Net Profit as % of Drawdown |
116.72% |
Net Profit as % of Drawdown |
190.43% |
|
| Slct. Net Profit as % of Drawdown |
116.72% |
Slct. Net Profit as % of Drawdown |
190.43% |
|
| Adj. Net Prof as % of Drawdown |
-13.14% |
Adj. Net Profit as % of Drawdown |
-21.43% |
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| Max. Trade Drawdown |
($760.00) |
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|
|
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| Long Trades |
|
|
| Total Net Profit |
$720.00 |
Profit Factor |
1.26 |
|
| Gross Profit |
$3,520.00 |
Gross Loss |
($2,800.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$720.00 |
Select Profit Factor |
1.26 |
|
| Select Gross Profit |
$3,520.00 |
Select Gross Loss |
($2,800.00) |
|
|
| Adjusted Total Net Profit |
($1,141.71) |
Adjusted Profit Factor |
0.69 |
|
| Adjusted Gross Profit |
$2,543.73 |
Adjusted Gross Loss |
($3,685.44) |
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|
| Total Number of Trades |
23 |
Percent Profitable |
56.52% |
|
| Winning Trades |
13 |
Losing Trades |
10 |
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| Even Trades |
0 |
|
|
| Avg. Trade Net Profit |
$31.30 |
Ratio Avg. Win:Avg. Loss |
0.97 |
|
| Avg. Winning Trade |
$270.77 |
Avg. Losing Trade |
($280.00) |
|
| Largest Winning Trade |
$700.00 |
Largest Losing Trade |
($760.00) |
|
| Largest Winner as % of Gross Profit |
19.89% |
Largest Loser as % of Gross Loss |
27.14% |
|
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
4 |
|
| Avg. Bars in Winning Trades |
80.92 |
Avg. Bars in Losing Trades |
65 |
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| Avg. Bars in Total Trades |
74 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$1,085.00 |
|
| Total Commission |
$0.00 |
Total Slippage |
$0.00 |
|
|
|
|
|
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| Net Profit as % of Largest Loss |
94.74% |
|
| Slct. Net Profit as % of Largest Loss |
94.74% |
Adj. Net Profit as % of Largest Loss |
-150.23% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($1,545.00) |
Value |
($1,085.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-1.09% |
|
| Net Profit as % of Drawdown |
46.60% |
Net Profit as % of Drawdown |
66.36% |
|
| Slct. Net Profit as % of Drawdown |
46.60% |
Slct. Net Profit as % of Drawdown |
66.36% |
|
| Adj. Net Prof as % of Drawdown |
-73.90% |
Adj. Net Profit as % of Drawdown |
66.36% |
|
|
| Max. Trade Drawdown |
($760.00) |
|
|
|
| Short Trades |
|
|
| Total Net Profit |
$1,270.00 |
Profit Factor |
2.28 |
|
| Gross Profit |
$2,265.00 |
Gross Loss |
($995.00) |
|
|
| Open Position Profit/Loss |
$0.00 |
|
|
| Select Total Net Profit |
$1,270.00 |
Select Profit Factor |
2.28 |
|
| Select Gross Profit |
$2,265.00 |
Select Gross Loss |
($995.00) |
|
|
| Adjusted Total Net Profit |
$37.84 |
Adjusted Profit Factor |
1.03 |
|
| Adjusted Gross Profit |
$1,408.91 |
Adjusted Gross Loss |
($1,371.07) |
|
| |
|
|
|
|
| Total Number of Trades |
14 |
Percent Profitable |
50.00% |
|
| Winning Trades |
7 |
Losing Trades |
7 |
|
| Even Trades |
0 |
|
|
| Avg. Trade Net Proft |
$90.71 |
Ratio Avg. Win:Avg. Loss |
2.28 |
|
| Avg. Winning Trade |
$323.57 |
Avg. Losing Trade |
($142.14) |
|
| Largest Winning Trade |
$810.00 |
Largest Losing Trade |
($440.00) |
|
| Largest Winner as % of Gross Profit |
35.76% |
Largest Loser as % of Gross Loss |
27.14% |
|
|
| Max. Consecutive Winning Trades |
4 |
Max. Consecutive Losing Trades |
3 |
|
| Avg. Bars in Winning Trades |
76.43 |
Avg. Bars in Losing Trades |
46.57 |
|
| Avg. Bars in Total Trades |
61.5 |
|
|
| Max. Shares/Contracts Held |
1 |
Account Size Required |
$510.00 |
|
| Total Slippage |
$0.00 |
Total Commission |
$0.00 |
|
|
| Net Profit as % of Largest Loss |
288.64% |
|
| Slct. Net Profit as % of Largest Loss |
288.64% |
Adj. Net Profit as % of Largest Loss |
8.60% |
|
|
| Max. Drawdown (Intra-day Peak to Valley) |
Max. Drawdown (Trade Close to Trade Close) |
|
| Value |
($880.00) |
Value |
($510.00) |
|
| as % of Initial Capital |
n/a |
as % of Initial Capital |
-0.51% |
|
| Net Profit as % of Drawdown |
144.32% |
Net Profit as % of Drawdown |
249.02% |
|
| Slct. Net Profit as % of Drawdown |
144.32% |
Slct. Net Profit as % of Drawdown |
249.02% |
|
| Adj. Net Prof as % of Drawdown |
4.30% |
Adj. Net Prof as % of Drawdown |
7.42% |
|
|
| Max. Trade Drawdown |
($440.00) |
|
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