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TradeStation TradeManager Performance Report Safir-Dual-Test-All, @ER2.D, 30 min, 07/11/2001 18:30:00 - 11/09/2006 17:30:00
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TradeStation Performance Summary Collapse
 
All Trades
 
Total Net Profit $90,065.00    Profit Factor 2.12
Gross Profit $170,815.00    Gross Loss ($80,750.00)
Open Position Profit/Loss $1,322.50
Select Total Net Profit $86,295.00    Select Profit Factor 2.20
Select Gross Profit $158,470.00    Select Gross Loss ($72,175.00)
Adjusted Total Net Profit $69,147.03    Adjusted Profit Factor 1.79
Adjusted Gross Profit $156,821.29    Adjusted Gross Loss ($87,674.26)
Total Number of Trades 285    Percent Profitable 52.28%
Winning Trades 149    Losing Trades 136
Even Trades 0
Avg. Trade Net Profit $316.02    Ratio Avg. Win:Avg. Loss 1.93
Avg. Winning Trade $1,146.41    Avg. Losing Trade ($593.75)
Largest Winning Trade $4,205.00    Largest Losing Trade ($3,415.00)
Largest Winner as % of Gross Profit 2.46%    Largest Loser as % of Gross Loss 4.23%
Net Profit as % of Largest Loss 2637.34%
Slct. Net Profit as % of Largest Loss 2526.94%    Adj. Net Profit as % of Largest Loss 2024.80%
Max. Consecutive Winning Trades 8    Max. Consecutive Losing Trades 6
Avg. Bars in Winning Trades 75.24    Avg. Bars in Losing Trades 41.50
Avg. Bars in Total Trades 59.14
Max. Shares/Contracts Held 1    Account Size Required $8,150.00
Total Commission $1,425.00    Total Slippage $2,850.00
Return on Initial Capital 90.07%    Annual Rate of Return 13.43%
Buy and Hold Return 43.62%    Return on Account 1105.09%
Avg. Monthly Return $2,063.00    Std. Deviation of Monthly Return $2,446.87
Return Retracement Ratio 0.34    RINA Index 134.42
Sharpe Ratio 0.49    K-Ratio n/a
Trading Period 4 Yrs, 9 Mths, 10 Dys, 23 Hrs    Percent of Time in the Market 100.00%
Time in the Market 4 Yrs, 9 Mths, 10 Dys, 22 Hrs, 30 Mins    Longest Flat Period n/a
Max. Equity Run-up $93,895.00
Date of Max. E. Run-up 08/17/06 19:30    Max. E. Run-up as % of Initial Capital 93.90%

Max. Drawdown (Intra-day Peak to Valley)

   Max. Drawdown (Trade Close to Trade Close)

Value ($9,305.00)    Value ($8,150.00)
Date 07/01/02 16:00    Date 07/01/02 16:00
as % of Initial Capital 9.31%    as % of Initial Capital 8.15%
Net Profit as % of Drawdown 967.92%    Net Profit as % of Drawdown 1105.09%
Slct. Net Profit as % of Drawdown 927.40%    Slct. Net Profit as % of Drawdown 1058.83%
Adj. Net Prof as % of Drawdown 743.12%    Adj. Net Profit as % of Drawdown 848.43%
Max. Trade Drawdown ($4,520.00)    
Long Trades
Total Net Profit $56,435.00    Profit Factor 2.49
Gross Profit $94,395.00    Gross Loss ($37,960.00)
Open Position Profit/Loss $0.00
Select Total Net Profit $60,935.00    Select Profit Factor 3.07
Select Gross Profit $90,320.00    Select Gross Loss ($29,385.00)
Adjusted Total Net Profit $41,212.03    Adjusted Profit Factor 1.96
Adjusted Gross Profit $84,156.42    Adjusted Gross Loss ($42,944.39)
Total Number of Trades 143    Percent Profitable 59.44%
Winning Trades 85    Losing Trades 58
Even Trades 0
Avg. Trade Net Profit $394.65    Ratio Avg. Win:Avg. Loss 1.70
Avg. Winning Trade $1,110.53    Avg. Losing Trade ($654.48)
Largest Winning Trade $4,075.00    Largest Losing Trade ($3,415.00)
Largest Winner as % of Gross Profit 4.32%    Largest Loser as % of Gross Loss 9.00%
Max. Consecutive Winning Trades 7    Max. Consecutive Losing Trades 6
Avg. Bars in Winning Trades 89.68    Avg. Bars in Losing Trades 59.60
Avg. Bars in Total Trades 77.48
Max. Shares/Contracts Held 1    Account Size Required $8,435.00
Total Commission $715.00    Total Slippage $1,430.00
     
Net Profit as % of Largest Loss 1652.56%
Slct. Net Profit as % of Largest Loss 1784.33%    Adj. Net Profit as % of Largest Loss 1206.79%

Max. Drawdown (Intra-day Peak to Valley)

   Max. Drawdown (Trade Close to Trade Close)

Value ($11,375.00)    Value ($8,435.00)
as % of Initial Capital 11.38%    as % of Initial Capital 8.44%
Net Profit as % of Drawdown 496.13%    Net Profit as % of Drawdown 669.06%
Slct. Net Profit as % of Drawdown 535.69%    Slct. Net Profit as % of Drawdown 722.41%
Adj. Net Prof as % of Drawdown 362.30%    Adj. Net Profit as % of Drawdown 722.41%
Max. Trade Drawdown ($4,520.00)  
Short Trades
Total Net Profit $33,630.00    Profit Factor 1.79
Gross Profit $76,420.00    Gross Loss ($42,790.00)
Open Position Profit/Loss $1,322.50
Select Total Net Profit $25,360.00    Select Profit Factor 1.59
Select Gross Profit $68,150.00    Select Gross Loss ($42,790.00)
Adjusted Total Net Profit $19,232.49    Adjusted Profit Factor 1.40
Adjusted Gross Profit $66,867.50    Adjusted Gross Loss ($47,635.01)
     
Total Number of Trades 142    Percent Profitable 45.07%
Winning Trades 64    Losing Trades 78
Even Trades 0
Avg. Trade Net Proft $236.83    Ratio Avg. Win:Avg. Loss 2.18
Avg. Winning Trade $1,194.06    Avg. Losing Trade ($548.59)
Largest Winning Trade $4,205.00    Largest Losing Trade ($1,485.00)
Largest Winner as % of Gross Profit 5.50%    Largest Loser as % of Gross Loss 9.00%
Max. Consecutive Winning Trades 5    Max. Consecutive Losing Trades 10
Avg. Bars in Winning Trades 56.06    Avg. Bars in Losing Trades 28.04
Avg. Bars in Total Trades 40.67
Max. Shares/Contracts Held 1    Account Size Required $7,485.00
Total Slippage $1,420.00    Total Commission $710.00
Net Profit as % of Largest Loss 2264.65%
Slct. Net Profit as % of Largest Loss 1707.74%    Adj. Net Profit as % of Largest Loss 1295.12%

Max. Drawdown (Intra-day Peak to Valley)

   Max. Drawdown (Trade Close to Trade Close)

Value ($8,480.00)    Value ($7,485.00)
as % of Initial Capital 8.48%    as % of Initial Capital 7.48%
Net Profit as % of Drawdown 396.58%    Net Profit as % of Drawdown 449.30%
Slct. Net Profit as % of Drawdown 299.06%    Slct. Net Profit as % of Drawdown 338.81%
Adj. Net Prof as % of Drawdown 226.80%    Adj. Net Prof as % of Drawdown 256.95%
Max. Trade Drawdown ($2,770.00)  
Created by TradeStation: 11/09/2006 17:07:56, Copyright (c) 1991-2004 TradeStation Technologies, Inc.
--==TSBoundary-SPR Content-Type: text/html; charset=us-ascii Content-Transfer-Encoding: 7bit Content-ID: Trade Analysis
TradeStation TradeManager Performance Report Safir-Dual-Test-All, @ER2.D, 30 min, 07/11/2001 18:30:00 - 11/09/2006 17:30:00
 TradeStation Trade Analysis Collapse
  All Trades
 Winners
 Losers
Total Number of Trades 285 149 136
Avg. Trade Net Profit $316.02 $1,146.41 ($593.75)
1 Std. Deviation of Avg. Trade $1,148.76 $930.88 $480.92
Avg. Trade + 1 Std. Deviation $1,464.78 $2,077.29 ($112.83)
Avg. Trade - 1 Std. Deviation ($832.74) $215.53 ($1,074.67)
Coefficient of Variation 363.51% 81.20% 81.00%
Time Averages
Avg. Time in Trades 6 Dys, 2 Hrs, 36 Mins 7 Dys, 18 Hrs, 3 Mins 4 Dys, 7 Hrs, 23 Mins
Avg. Time Between Trades n/a 3 Dys, 22 Hrs, 21 Mins 8 Dys, 11 Hrs, 12 Mins
Avg. Time Between Trade Profit Peaks 323 Dys, 19 Hrs, 12 Mins
Outliers Total Positive Negative
Number of Outliers 6 3 3
Outlier Profit/Loss $3,770.00 $12,345.00 ($8,575.00)
 
Run-Up/Drawdown   Run-Up Drawdown
Max. Value $5,160.00 ($4,520.00)
Max. Value Date 13/06/2006 14/06/2002
Avg. Value $1,268.53 ($585.82)
1 Std. Deviation $1,055.95 $672.40
Avg. + 1 Std. Deviation $2,324.48 $86.58
Avg. - 1 Std. Deviation $212.58 ($1,258.23)
Coefficient of Variation 83.24% 114.78%
 
Efficiency Analysis Total
 Entry
 Exit
Avg. Efficiency (0.13%) 61.87% 37.99%
1 Std. Deviation 55.13% 32.22% 31.54%
Avg. + 1 Std. Deviation 54.99% 94.09% 69.53%
Avg. - 1 Std. Deviation (55.26%) 29.65% 6.46%
Coefficient of Variation 40933.00% 52.07% 83.01%
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