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Neural DT Performance: TF/ER2 Neural DT 60, one contract per trade, mini
Russell 2000 (TF/ER2)
Equity curve for Neural DT 60 on 60 min bars of the mini Russell 2000 with one contract per trade. $15 per contract has been deducted for trading costs.
Click here for TradeStation performance report, NDT 60, TF/ER2
MARKET SYSTEM: NEURAL DT 60 ER2
ACCOUNT SETTINGS
Starting Equity: $7,500.00
Trading Vehicle: Futures
Initial Margin: $1,000.00
Round-turn slippage per contract: $10.00
Round-turn commissions and fees per contract: $5.00
INPUT DATA SETTINGS
Profit/loss and risk calculated from P/L and risk inputs.
Profit/loss input data include slippage/commissions/fees.
Trades File: C:\NeuralDT60-WriteTrades3-ER2.csv
POSITION SIZING SETTINGS & RULES
Position Sizing Method: Fixed Contracts
No. Contracts: 1
No skipped trades. Trade at least 1 contracts per trade
ALL TRADES LONG SHORT
Total Net Profit $44,460.00 $36,240.00 $8,220.00
Gross Profit $200,350.00 $148,650.00 $51,700.00
Gross Loss ($155,890.00) ($112,410.00) ($43,480.00)
Profit Factor 1.285 1.322 1.189
Trading Period 1/23/2004 1:30:00 PM to 12/31/2008 4:03:00 PM (4 years 343 days)
Highest Closed Trade Equity $53,665.00
Lowest Closed Trade Equity $7,350.00
Final Account Equity $51,960.00
Return on Starting Equity 592.8%
Total Number of Trades 814 562 252
Number of Winning Trades 466 330 136
Number of Losing Trades 348 232 116
Trades Not Taken 0 0 0
Percent Profitable 57.25% 58.72% 53.97%
Max Number of Contracts 1 1 1
Minimum Number of Contracts 1 1 1
Average Number of Contracts 1 1 1
Largest Winning Trade $3,975.00 $3,975.00 $2,745.00
/Percent of Equity 9.251% 9.251% 5.650%
Largest Winnning Trade (%) 11.74% 11.09% 11.74%
/Trade Value $1,285.00 $815.00 $1,285.00
Average Winning Trade $429.94 $450.45 $380.15
Average Winning Trade (%) 1.792% 1.725% 1.956%
Average Length of Wins 3 hours 12 min 3 hours 9 min 3 hours 19 min
Max Number Consecutive Wins 10 10 6
Largest Losing Trade ($2,265.00) ($2,265.00) ($925.00)
/Percent of Equity -5.856% -5.856% -3.924%
Largest Losing Trade (%) -6.321% -5.856% -6.321%
/Trade Value ($525.00) ($2,265.00) ($525.00)
Average Losing Trade ($447.96) ($484.53) ($374.83)
Average Losing Trade (%) -1.775% -1.735% -1.854%
Average Length of Losses 2 hours 47 min 2 hours 40 min 3 hours 2 min
Max Number Consecutive Losses 5 5 6
Average Trade $54.62 $64.48 $32.62
Average Trade (%) 0.267% 0.297% 0.202%
Trade Standard Deviation $627.20 $673.56 $509.38
Trade Standard Deviation (%) 2.443% 2.366% 2.611%
Win/Loss Ratio 0.960 0.930 1.014
Win/Loss Ratio (%/%) 1.010 0.994 1.055
Return/Drawdown Ratio 28.70 22.92 2.673
Modified Sharpe Ratio 0.109 0.125 0.0773
Sharpe Ratio 0.477
Average Annual Profit/Loss $9,001.26
Ave Annual Compounded Return 47.97%
Average Monthly Profit/Loss $750.10
Ave Monthly Compounded Return 3.319%
Average Weekly Profit/Loss $172.51
Ave Weekly Compounded Return 0.754%
Average Daily Profit/Loss $24.64
Ave Daily Compounded Return 0.107%
CLOSED TRADE DRAWDOWNS ALL TRADES LONG SHORT
Number of Drawdowns 57 51 12
Average Drawdown ($1,542.11) ($1,459.90) ($1,470.42)
Average Drawdown (%) 5.793% 5.888% 12.25%
Average Length of Drawdowns 26 days 19 hours 27 days 5 hours 134 days 22 hours
Average Trades in Drawdowns 12 8 18
Worst Case Drawdown ($7,740.00) ($7,995.00) ($6,250.00)
/Percent of Equity 17.53% 20.43% 40.10%
Date at Trough 10/27/2008 4:03:00 PM 10/27/2008 4:03:00 PM 9/19/2007 4:03:00 PM
Trade Number at Trough 782 782 597
Length of Drawdown 41 days 4 hours 41 days 4 hours 3 years 21 days
Trades in Drawdown 14 13 119
Worst Case Drawdown (%) 20.65% 21.08% 40.10%
/Equity Value ($5,055.00) ($3,110.00) ($6,250.00)
Date at Trough 1/17/2006 4:03:00 PM 3/23/2005 4:03:00 PM 9/19/2007 4:03:00 PM
Trade Number at Trough 324 189 597
Length of Drawdown 222 days 2 hours 184 days 1 hours 3 years 21 days
Trades in Drawdown 89 49 119
Longest Drawdown 244 days 4 hours 184 days 1 hours 3 years 21 days
Start of Drawdown 9/14/2006 11:30:00 AM 1/5/2005 2:30:00 PM 11/10/2005 11:30:00 AM
End of Drawdown 5/16/2007 4:03:00 PM 7/8/2005 4:03:00 PM 12/1/2008 4:03:00 PM
Percent of Equity 19.12% 21.08% 40.10%
ANNUAL RETURNS
YEAR NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC SHARPE
2008 $17,215.00 $51,960.00 49.55 17.53 171 57.89 1.325 0.699
2007 $11,490.00 $34,745.00 49.41 12.25 166 61.45 1.406 0.681
2006 $2,670.00 $23,255.00 12.97 19.12 158 50.63 1.082 0.179
2005 $575.00 $20,585.00 2.874 20.16 165 52.73 1.023 0.0681
2004 $12,510.00 $20,010.00 166.8 17.91 154 63.64 1.744 1.018
AVE $8,892.00 $30,111.00 56.32 17.40 162.8 57.27 1.316 0.529
SD $7,017.79 $13,588.90 65.26 3.056 6.760 5.546 0.288 0.396
MONTHLY RETURNS
MONTH NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC
12-2008 $3,375.00 $51,960.00 6.947 5.951 17 64.71 1.426
11-2008 $5,580.00 $48,585.00 12.98 8.433 12 66.67 2.237
10-2008 ($870.00) $43,005.00 -1.983 17.53 12 50.00 0.906
9-2008 $3,995.00 $43,875.00 10.02 4.461 13 46.15 1.795
8-2008 ($660.00) $39,880.00 -1.628 4.944 16 50.00 0.857
7-2008 $2,415.00 $40,540.00 6.334 4.800 15 53.33 1.526
6-2008 ($1,855.00) $38,125.00 -4.640 6.705 13 53.85 0.448
5-2008 $1,200.00 $39,980.00 3.094 3.819 18 72.22 1.514
4-2008 $725.00 $38,780.00 1.905 3.222 19 63.16 1.285
3-2008 $1,465.00 $38,055.00 4.004 3.463 11 54.55 1.528
2-2008 $800.00 $36,590.00 2.235 5.180 12 58.33 1.330
1-2008 $1,045.00 $35,790.00 3.008 8.960 13 53.85 1.289
12-2007 $1,050.00 $34,745.00 3.116 5.225 12 66.67 1.347
11-2007 $995.00 $33,695.00 3.043 7.647 13 61.54 1.239
10-2007 $1,875.00 $32,700.00 6.083 4.204 15 73.33 1.713
9-2007 $1,025.00 $30,825.00 3.440 5.647 15 53.33 1.322
8-2007 $775.00 $29,800.00 2.670 8.286 11 63.64 1.229
7-2007 ($1,070.00) $29,025.00 -3.555 7.292 14 64.29 0.581
6-2007 $0.00 $30,095.00 0 4.401 12 50.00 1.000
5-2007 $3,585.00 $30,095.00 13.52 0.269 13 84.62 45.81
4-2007 ($270.00) $26,510.00 -1.008 4.477 16 37.50 0.852
3-2007 ($40.00) $26,780.00 -0.149 5.711 14 42.86 0.987
2-2007 $575.00 $26,820.00 2.191 1.884 13 61.54 1.657
1-2007 $2,990.00 $26,245.00 12.86 2.927 18 77.78 3.492
12-2006 ($2,110.00) $23,255.00 -8.319 9.093 14 28.57 0.397
11-2006 $900.00 $25,365.00 3.679 4.195 12 58.33 1.485
10-2006 ($600.00) $24,465.00 -2.394 6.262 12 41.67 0.777
9-2006 ($3,115.00) $25,065.00 -11.05 12.22 15 40.00 0.290
8-2006 $3,310.00 $28,180.00 13.31 1.762 14 71.43 5.868
7-2006 ($195.00) $24,870.00 -0.778 13.00 15 46.67 0.959
6-2006 $2,160.00 $25,065.00 9.430 5.388 14 57.14 1.671
5-2006 $1,395.00 $22,905.00 6.485 5.300 13 61.54 1.538
4-2006 $480.00 $21,510.00 2.282 8.429 12 50.00 1.176
3-2006 $690.00 $21,030.00 3.392 5.794 16 56.25 1.258
2-2006 $370.00 $20,340.00 1.853 5.298 12 50.00 1.182
1-2006 ($615.00) $19,970.00 -2.988 5.659 9 44.44 0.607
12-2005 ($1,570.00) $20,585.00 -7.086 8.882 12 41.67 0.409
11-2005 ($1,665.00) $22,155.00 -6.990 9.479 11 27.27 0.376
10-2005 $2,120.00 $23,820.00 9.770 7.431 18 61.11 1.840
9-2005 $185.00 $21,700.00 0.860 4.601 15 60.00 1.095
8-2005 $275.00 $21,515.00 1.295 5.715 17 58.82 1.146
7-2005 $1,865.00 $21,240.00 9.626 3.323 15 73.33 2.435
6-2005 $485.00 $19,375.00 2.567 4.829 11 36.36 1.329
5-2005 ($1,125.00) $18,890.00 -5.621 9.008 11 36.36 0.563
4-2005 $2,220.00 $20,015.00 12.48 3.492 18 72.22 2.280
3-2005 $190.00 $17,795.00 1.079 4.322 10 50.00 1.203
2-2005 $1,040.00 $17,605.00 6.278 3.764 14 57.14 1.788
1-2005 ($3,445.00) $16,565.00 -17.22 17.24 13 30.77 0.150
12-2004 $1,485.00 $20,010.00 8.016 0.612 11 81.82 10.90
11-2004 $105.00 $18,525.00 0.570 4.609 11 54.55 1.069
10-2004 $1,290.00 $18,420.00 7.531 3.104 12 66.67 2.162
9-2004 $620.00 $17,130.00 3.755 1.693 14 57.14 2.016
8-2004 $2,565.00 $16,510.00 18.39 3.052 13 76.92 5.622
7-2004 ($725.00) $13,945.00 -4.942 10.49 15 46.67 0.765
6-2004 $2,430.00 $14,670.00 19.85 4.126 14 78.57 3.842
5-2004 ($230.00) $12,240.00 -1.844 16.76 14 50.00 0.912
4-2004 $845.00 $12,470.00 7.269 12.09 15 53.33 1.398
3-2004 $2,105.00 $11,625.00 22.11 8.895 17 64.71 1.923
2-2004 $1,215.00 $9,520.00 14.63 11.50 15 66.67 1.634
1-2004 $805.00 $8,305.00 10.73 0 3 100.0 100.0
AVE $741.00 $25,819.17 3.542 6.281 13.57 57.20 4.024
SD $1,666.91 $9,811.77 7.425 3.844 2.619 14.22 13.92
Neural DT 1, one contract per trade, TF/ER2
Equity curve for Neural DT 1 on 1 min bars of the
mini Russell 2000 with one contract per trade. $15 per contract has been
deducted for trading costs. Click here for TradeStation performance report, NDT 1, TF/ER2
MARKET SYSTEM: NEURAL DT 1 ER2
ACCOUNT SETTINGS
Starting Equity: $7,500.00
Trading Vehicle: Futures
Initial Margin: $1,000.00
Round-turn slippage per contract: $10.00
Round-turn commissions and fees per contract: $5.00
INPUT DATA SETTINGS
Profit/loss and risk calculated from P/L and risk inputs.
Profit/loss input data include slippage/commissions/fees.
Trades File: C:\NeuralDT1-WriteTrades3-ER2.csv
POSITION SIZING SETTINGS & RULES
Position Sizing Method: Fixed Contracts
No. Contracts: 1
No skipped trades. Trade at least 1 contracts per trade
ALL TRADES LONG SHORT
Total Net Profit $27,640.00 ($430.00) $28,070.00
Gross Profit $78,605.00 $410.00 $78,195.00
Gross Loss ($50,965.00) ($840.00) ($50,125.00)
Profit Factor 1.542 0.488 1.560
Trading Period 1/9/2004 10:02:00 AM to 12/29/2008 10:09:00 AM (4 years 355 days)
Highest Closed Trade Equity $35,400.00
Lowest Closed Trade Equity $7,270.00
Final Account Equity $35,140.00
Return on Starting Equity 368.5%
Total Number of Trades 582 8 574
Number of Winning Trades 349 2 347
Number of Losing Trades 233 6 227
Trades Not Taken 0 0 0
Percent Profitable 59.97% 25.00% 60.45%
Max Number of Contracts 1 1 1
Minimum Number of Contracts 1 1 1
Average Number of Contracts 1 1 1
Largest Winning Trade $805.00 $245.00 $805.00
/Percent of Equity 2.516% 2.215% 2.516%
Largest Winnning Trade (%) 3.326% 2.215% 3.326%
/Trade Value $285.00 $245.00 $285.00
Average Winning Trade $225.23 $205.00 $225.35
Average Winning Trade (%) 1.226% 1.464% 1.225%
Average Length of Wins 16 min 44 sec 1 min 30 sec 16 min 49 sec
Max Number Consecutive Wins 10 1 10
Largest Losing Trade ($915.00) ($265.00) ($915.00)
/Percent of Equity -2.782% -1.232% -2.782%
Largest Losing Trade (%) -3.167% -2.505% -3.167%
/Trade Value ($315.00) ($205.00) ($315.00)
Average Losing Trade ($218.73) ($140.00) ($220.81)
Average Losing Trade (%) -1.150% -1.298% -1.146%
Average Length of Losses 16 min 33 sec 14 min 10 sec 16 min 37 sec
Max Number Consecutive Losses 6 3 6
Average Trade $47.49 ($53.75) $48.90
Average Trade (%) 0.275% -0.608% 0.287%
Trade Standard Deviation $258.89 $183.18 $259.62
Trade Standard Deviation (%) 1.335% 1.573% 1.329%
Win/Loss Ratio 1.030 1.464 1.021
Win/Loss Ratio (%/%) 1.066 1.127 1.068
Return/Drawdown Ratio 40.59 0 49.07
Modified Sharpe Ratio 0.206 -0.386 0.216
Sharpe Ratio 0.705
Average Annual Profit/Loss $5,559.20
Ave Annual Compounded Return 36.43%
Average Monthly Profit/Loss $463.27
Ave Monthly Compounded Return 2.622%
Average Weekly Profit/Loss $106.54
Ave Weekly Compounded Return 0.597%
Average Daily Profit/Loss $15.22
Ave Daily Compounded Return 0.0851%
CLOSED TRADE DRAWDOWNS ALL TRADES LONG SHORT
Number of Drawdowns 65 1 64
Average Drawdown ($457.69) ($595.00) ($465.16)
Average Drawdown (%) 2.425% 7.933% 2.387%
Average Length of Drawdowns 20 days 3 hours 4 years 355 days 20 days 4 hours
Average Trades in Drawdowns 6 8 6
Worst Case Drawdown ($1,885.00) ($595.00) ($1,885.00)
/Percent of Equity 5.567% 7.933% 5.497%
Date at Trough 10/27/2008 10:00:00 AM 12/5/2006 10:07:00 AM 10/27/2008 10:00:00 AM
Trade Number at Trough 563 352 563
Length of Drawdown 51 days 5 min 4 years 355 days 51 days 5 min
Trades in Drawdown 17 8 17
Worst Case Drawdown (%) 9.080% 7.933% 7.627%
/Equity Value ($1,110.00) ($595.00) ($945.00)
Date at Trough 2/8/2005 9:53:00 AM 12/5/2006 10:07:00 AM 2/8/2005 9:53:00 AM
Trade Number at Trough 127 352 127
Length of Drawdown 113 days 23 hours 4 years 355 days 70 days 35 min
Trades in Drawdown 43 8 23
Longest Drawdown 113 days 23 hours 4 years 355 days 100 days 49 min
Start of Drawdown 11/29/2004 10:10:00 AM 1/9/2004 10:02:00 AM 6/13/2006 9:32:00 AM
End of Drawdown 3/23/2005 10:07:00 AM 12/29/2008 10:09:00 AM 9/21/2006 10:21:00 AM
Percent of Equity 9.080% 7.933% 7.248%
ANNUAL RETURNS
YEAR NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC SHARPE
2008 $6,335.00 $35,140.00 21.99 5.567 113 62.83 1.397 0.518
2007 $7,130.00 $28,805.00 32.90 6.378 108 61.11 1.704 0.812
2006 $4,340.00 $21,675.00 25.04 7.361 114 60.53 1.458 0.878
2005 $5,980.00 $17,335.00 52.66 7.836 134 57.46 1.744 0.847
2004 $3,855.00 $11,355.00 51.40 7.812 113 58.41 1.524 0.668
AVE $5,528.00 $22,862.00 36.80 6.991 116.4 60.07 1.565 0.745
SD $1,381.32 $9,359.97 14.47 0.991 10.11 2.150 0.152 0.150
MONTHLY RETURNS
MONTH NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC
12-2008 ($235.00) $35,140.00 -0.664 3.969 7 57.14 0.833
11-2008 $2,645.00 $35,375.00 8.081 1.818 11 81.82 3.519
10-2008 $260.00 $32,730.00 0.801 4.080 8 50.00 1.101
9-2008 ($1,285.00) $32,470.00 -3.807 4.105 9 55.56 0.266
8-2008 $1,405.00 $33,755.00 4.343 1.138 9 77.78 3.036
7-2008 ($60.00) $32,350.00 -0.185 2.419 10 60.00 0.964
6-2008 $705.00 $32,410.00 2.224 2.862 13 53.85 1.443
5-2008 ($405.00) $31,705.00 -1.261 1.690 11 36.36 0.722
4-2008 $1,485.00 $32,110.00 4.849 1.714 11 81.82 3.652
3-2008 $440.00 $30,625.00 1.458 2.963 8 62.50 1.362
2-2008 $1,435.00 $30,185.00 4.991 0.957 5 80.00 6.218
1-2008 ($55.00) $28,750.00 -0.191 2.621 11 63.64 0.969
12-2007 $1,475.00 $28,805.00 5.397 1.065 7 85.71 6.000
11-2007 $1,575.00 $27,330.00 6.115 2.668 11 63.64 2.260
10-2007 $600.00 $25,755.00 2.385 1.783 8 75.00 1.714
9-2007 $1,180.00 $25,155.00 4.922 1.287 8 75.00 2.903
8-2007 ($385.00) $23,975.00 -1.580 6.212 11 54.55 0.817
7-2007 $280.00 $24,360.00 1.163 2.159 10 50.00 1.256
6-2007 ($575.00) $24,080.00 -2.332 3.813 11 36.36 0.672
5-2007 ($145.00) $24,655.00 -0.585 2.046 7 42.86 0.793
4-2007 $630.00 $24,800.00 2.607 0.867 8 75.00 2.575
3-2007 $265.00 $24,170.00 1.109 1.087 7 57.14 1.546
2-2007 $770.00 $23,905.00 3.328 0.843 8 62.50 3.702
1-2007 $1,460.00 $23,135.00 6.736 0.989 12 66.67 5.867
12-2006 $445.00 $21,675.00 2.096 1.232 11 54.55 1.492
11-2006 ($480.00) $21,230.00 -2.211 2.932 8 50.00 0.250
10-2006 ($5.00) $21,710.00 -0.0230 1.964 9 55.56 0.994
9-2006 $660.00 $21,715.00 3.135 1.295 10 70.00 1.910
8-2006 $410.00 $21,055.00 1.986 1.356 8 50.00 1.577
7-2006 $305.00 $20,645.00 1.500 1.720 7 57.14 1.310
6-2006 $35.00 $20,340.00 0.172 7.361 13 61.54 1.019
5-2006 $880.00 $20,305.00 4.530 1.853 8 75.00 3.444
4-2006 ($50.00) $19,425.00 -0.257 2.173 8 50.00 0.943
3-2006 $745.00 $19,475.00 3.978 2.234 13 69.23 2.112
2-2006 $880.00 $18,730.00 4.930 3.782 14 57.14 2.173
1-2006 $515.00 $17,850.00 2.971 1.091 5 80.00 3.641
12-2005 $1,200.00 $17,335.00 7.437 0.602 12 75.00 8.273
11-2005 $1,125.00 $16,135.00 7.495 2.419 13 76.92 2.772
10-2005 ($445.00) $15,010.00 -2.879 4.345 13 46.15 0.744
9-2005 $690.00 $15,455.00 4.673 1.829 12 58.33 2.122
8-2005 $635.00 $14,765.00 4.494 4.048 13 53.85 1.948
7-2005 ($345.00) $14,130.00 -2.383 3.938 9 22.22 0.496
6-2005 $660.00 $14,475.00 4.777 2.606 10 70.00 2.808
5-2005 $550.00 $13,815.00 4.146 1.730 6 66.67 3.292
4-2005 $1,420.00 $13,265.00 11.99 3.464 12 75.00 3.705
3-2005 ($45.00) $11,845.00 -0.378 4.050 13 38.46 0.951
2-2005 $465.00 $11,890.00 4.070 2.713 9 55.56 2.057
1-2005 $70.00 $11,425.00 0.616 6.882 12 50.00 1.067
12-2004 ($510.00) $11,355.00 -4.298 5.015 12 33.33 0.510
11-2004 ($20.00) $11,865.00 -0.168 2.945 8 50.00 0.963
10-2004 $440.00 $11,885.00 3.844 3.395 10 60.00 1.772
9-2004 $385.00 $11,445.00 3.481 1.675 9 66.67 1.778
8-2004 ($95.00) $11,060.00 -0.852 6.192 9 44.44 0.895
7-2004 $1,175.00 $11,155.00 11.77 1.791 11 72.73 4.310
6-2004 $550.00 $9,980.00 5.832 1.928 6 83.33 3.973
5-2004 ($510.00) $9,430.00 -5.131 5.178 6 50.00 0.325
4-2004 $1,045.00 $9,940.00 11.75 2.821 11 72.73 2.756
3-2004 $510.00 $8,895.00 6.082 2.909 10 60.00 1.718
2-2004 $530.00 $8,385.00 6.747 4.520 12 66.67 1.663
1-2004 $355.00 $7,855.00 4.733 4.967 9 44.44 1.877
AVE $460.67 $20,411.33 2.676 2.768 9.700 60.46 2.130
SD $688.98 $8,025.93 3.793 1.580 2.280 13.93 1.612
Neural DT 60 and Neural DT 1, portfolio with position
sizing, TF/ER2
Equity curve for Neural DT 60 and Neural DT 1 on
the mini Russell 2000 with position sizing. $15 per contract has been deducted
for trading costs.
PORTFOLIO: NEURAL DT 1, 60, TF/ER2
PORTFOLIO SETTINGS
Starting Equity: $7,500.00
MS FILE NAME VEHICLE DESCRIPTION
1 C:\NeuralDT1-ER2.msa Futures Neural DT 1 ER2
2 C:\NeuralDT60-ER2.msa Futures Neural DT 60 ER2
POSITION SIZING SETTINGS & RULES
MS SIZING METHOD PARAMETERS
1 Fixed Risk ff = 3.000%
2 Fixed Risk ff = 4.000%
ALL TRADES LONG SHORT
Total Net Profit $1,073,605.00 $389,540.00 $684,065.00
Gross Profit $4,440,980.00 $2,115,015.00 $2,325,965.00
Gross Loss ($3,367,375.00) ($1,725,475.00) ($1,641,900.00)
Profit Factor 1.319 1.226 1.417
Trading Period 1/9/2004 10:02:00 AM to 12/31/2008 4:03:00 PM (4 years 357 days)
Highest Closed Trade Equity $1,096,480.00
Lowest Closed Trade Equity $7,295.00
Final Account Equity $1,081,105.00
Return on Starting Equity 14310%
Total Number of Trades 1,396 570 826
Number of Winning Trades 815 332 483
Number of Losing Trades 581 238 343
Trades Not Taken 0 0 0
Percent Profitable 58.38% 58.25% 58.47%
Max Position Size 162 46 162
Minimum Position Size 1 1 1
Average Position Size 15 12 17
Largest Winning Trade $83,475.00 $83,475.00 $63,135.00
/Percent of Equity 10.17% 10.17% 6.412%
Largest Winnning Trade (%) 12.94% 12.94% 9.877%
/Trade Value $34,775.00 $34,775.00 $1,285.00
Average Winning Trade $5,449.06 $6,370.53 $4,815.66
Average Winning Trade (%) 2.342% 2.177% 2.455%
Average Length of Wins 1 hours 57 min 3 hours 8 min 1 hours 8 min
Max Number Consecutive Wins 10 10 12
Largest Losing Trade ($41,990.00) ($41,990.00) ($33,825.00)
/Percent of Equity -3.906% -3.906% -3.085%
Largest Losing Trade (%) -5.956% -4.431% -5.956%
/Trade Value ($525.00) ($485.00) ($525.00)
Average Losing Trade ($5,795.83) ($7,249.89) ($4,786.88)
Average Losing Trade (%) -2.335% -2.259% -2.387%
Average Length of Losses 1 hours 47 min 2 hours 36 min 1 hours 12 min
Max Number Consecutive Losses 8 6 6
Average Trade $769.06 $683.40 $828.17
Average Trade (%) 0.395% 0.325% 0.444%
Trade Standard Deviation $10,425.63 $12,466.90 $8,751.42
Trade Standard Deviation (%) 2.794% 2.874% 2.739%
Win/Loss Ratio 0.940 0.879 1.006
Win/Loss Ratio (%/%) 1.003 0.964 1.028
Return/Drawdown Ratio 481.8 120.4 244.9
Modified Sharpe Ratio 0.142 0.113 0.162
Sharpe Ratio 0.780
Average Annual Profit/Loss $215,665.74
Ave Annual Compounded Return 171.4%
Average Monthly Profit/Loss $17,972.14
Ave Monthly Compounded Return 8.677%
Average Weekly Profit/Loss $4,133.22
Ave Weekly Compounded Return 1.932%
Average Daily Profit/Loss $590.46
Ave Daily Compounded Return 0.274%
CLOSED TRADE DRAWDOWNS ALL TRADES LONG SHORT
Number of Drawdowns 105 49 68
Average Drawdown ($13,929.62) ($21,782.96) ($12,256.76)
Average Drawdown (%) 6.102% 14.54% 8.293%
Average Length of Drawdowns 14 days 2 hours 29 days 5 hours 21 days 1 hours
Average Trades in Drawdowns 10 9 9
Worst Case Drawdown ($173,100.00) ($132,330.00) ($95,725.00)
/Percent of Equity 20.75% 42.07% 18.88%
Date at Trough 10/27/2008 4:03:00 PM 10/27/2008 4:03:00 PM 6/4/2008 9:50:00 AM
Trade Number at Trough 1,345 1,345 1,233
Length of Drawdown 85 days 4 hours 86 days 1 hours 100 days 23 hours
Trades in Drawdown 60 31 42
Worst Case Drawdown (%) 29.71% 43.15% 37.25%
/Equity Value ($9,765.00) ($130,485.00) ($55,450.00)
Date at Trough 2/8/2005 4:03:00 PM 7/7/2008 12:30:00 PM 7/17/2007 9:37:00 AM
Trade Number at Trough 299 1,262 989
Length of Drawdown 135 days 5 hours 58 days 2 hours 145 days 17 min
Trades in Drawdown 110 27 54
Longest Drawdown 135 days 5 hours 200 days 6 hours 145 days 17 min
Start of Drawdown 11/29/2004 10:10:00 AM 12/20/2004 9:49:00 AM 5/17/2007 9:54:00 AM
End of Drawdown 4/13/2005 4:03:00 PM 7/8/2005 4:03:00 PM 10/9/2007 10:11:00 AM
Percent of Equity 29.71% 32.33% 37.25%
ANNUAL RETURNS
YEAR NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC SHARPE
2008 $617,145.00 $1,081,105.00 133.0 20.75 284 59.86 1.287 0.773
2007 $340,855.00 $463,960.00 276.9 20.20 274 61.31 1.518 0.840
2006 $52,730.00 $123,105.00 74.93 27.20 272 54.78 1.138 0.486
2005 $40,765.00 $70,375.00 137.7 28.32 299 54.85 1.310 0.647
2004 $22,110.00 $29,610.00 294.8 15.54 267 61.42 1.502 1.203
AVE $214,721.00 $353,631.00 183.5 22.40 279.2 58.45 1.351 0.790
SD $260,507.02 $441,519.17 96.88 5.307 12.68 3.371 0.160 0.267
MONTHLY RETURNS
MONTH NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC
12-2008 $96,500.00 $1,081,105.00 9.801 14.69 24 62.50 1.332
11-2008 $217,295.00 $984,605.00 28.32 9.100 23 73.91 2.431
10-2008 ($20,105.00) $767,310.00 -2.553 16.60 20 50.00 0.904
9-2008 ($1,195.00) $787,415.00 -0.152 8.901 22 50.00 0.995
8-2008 $67,345.00 $788,610.00 9.337 8.673 25 60.00 1.307
7-2008 $43,100.00 $721,265.00 6.355 7.101 25 56.00 1.195
6-2008 ($22,140.00) $678,165.00 -3.161 11.14 26 53.85 0.906
5-2008 $25,170.00 $700,305.00 3.728 11.91 29 58.62 1.125
4-2008 $119,900.00 $675,135.00 21.59 7.518 30 70.00 1.940
3-2008 $36,670.00 $555,235.00 7.071 10.55 19 57.89 1.322
2-2008 $67,920.00 $518,565.00 15.07 4.397 17 64.71 2.524
1-2008 ($13,315.00) $450,645.00 -2.870 16.11 24 58.33 0.886
12-2007 $68,825.00 $463,960.00 17.42 6.674 19 73.68 2.089
11-2007 $52,850.00 $395,135.00 15.44 8.706 24 62.50 1.583
10-2007 $56,590.00 $342,285.00 19.81 7.105 23 73.91 1.868
9-2007 $42,420.00 $285,695.00 17.44 8.177 23 60.87 1.684
8-2007 $3,680.00 $243,275.00 1.536 12.41 22 59.09 1.066
7-2007 ($23,790.00) $239,595.00 -9.032 14.76 24 58.33 0.676
6-2007 ($22,030.00) $263,385.00 -7.719 13.61 23 43.48 0.746
5-2007 $54,585.00 $285,415.00 23.65 3.269 20 70.00 3.205
4-2007 $18,080.00 $230,830.00 8.498 10.26 24 50.00 1.360
3-2007 $5,400.00 $212,750.00 2.604 9.151 21 47.62 1.115
2-2007 $27,705.00 $207,350.00 15.42 3.757 21 61.90 2.338
1-2007 $56,540.00 $179,645.00 45.93 7.674 30 73.33 4.171
12-2006 ($12,190.00) $123,105.00 -9.010 11.99 25 40.00 0.748
11-2006 ($3,650.00) $135,295.00 -2.627 15.11 20 55.00 0.884
10-2006 ($4,020.00) $138,945.00 -2.812 12.93 21 47.62 0.895
9-2006 ($17,935.00) $142,965.00 -11.15 15.46 25 52.00 0.700
8-2006 $29,270.00 $160,900.00 22.24 5.700 22 63.64 2.504
7-2006 ($1,455.00) $131,630.00 -1.093 16.02 22 50.00 0.966
6-2006 $15,590.00 $133,085.00 13.27 11.69 27 59.26 1.430
5-2006 $15,555.00 $117,495.00 15.26 11.36 21 66.67 1.765
4-2006 $5,785.00 $101,940.00 6.016 10.13 20 50.00 1.195
3-2006 $12,720.00 $96,155.00 15.25 9.531 29 62.07 1.484
2-2006 $11,170.00 $83,435.00 15.46 10.15 26 53.85 1.623
1-2006 $1,890.00 $72,265.00 2.686 7.301 14 57.14 1.175
12-2005 $4,755.00 $70,375.00 7.246 7.753 24 58.33 1.308
11-2005 $2,710.00 $65,620.00 4.308 9.894 24 54.17 1.149
10-2005 $2,795.00 $62,910.00 4.649 13.60 31 54.84 1.138
9-2005 $5,750.00 $60,115.00 10.58 11.40 27 59.26 1.424
8-2005 $5,400.00 $54,365.00 11.03 16.49 30 56.67 1.444
7-2005 $2,750.00 $48,965.00 5.950 4.858 24 54.17 1.289
6-2005 $6,520.00 $46,215.00 16.43 9.812 21 52.38 1.923
5-2005 ($625.00) $39,695.00 -1.550 8.896 17 47.06 0.928
4-2005 $10,980.00 $40,320.00 37.42 3.970 30 73.33 2.877
3-2005 ($110.00) $29,340.00 -0.374 11.16 23 43.48 0.983
2-2005 $4,215.00 $29,450.00 16.70 8.605 23 56.52 2.032
1-2005 ($4,375.00) $25,235.00 -14.78 23.51 25 40.00 0.559
12-2004 $370.00 $29,610.00 1.265 6.542 23 56.52 1.060
11-2004 ($95.00) $29,240.00 -0.324 11.03 19 52.63 0.986
10-2004 $4,285.00 $29,335.00 17.11 3.865 22 63.64 1.881
9-2004 $2,645.00 $25,050.00 11.81 4.378 23 60.87 1.716
8-2004 $1,400.00 $22,405.00 6.665 5.264 22 63.64 1.333
7-2004 $2,400.00 $21,005.00 12.90 10.23 26 57.69 1.557
6-2004 $4,100.00 $18,605.00 28.27 5.842 20 80.00 4.347
5-2004 ($940.00) $14,505.00 -6.086 15.54 20 50.00 0.738
4-2004 $2,385.00 $15,445.00 18.26 8.729 26 61.54 1.769
3-2004 $2,600.00 $13,060.00 24.86 6.164 27 62.96 1.818
2-2004 $1,800.00 $10,460.00 20.79 11.17 27 66.67 1.663
1-2004 $1,160.00 $8,660.00 15.47 4.641 12 58.33 3.864
AVE $17,893.42 $238,414.67 9.260 9.883 23.27 58.21 1.565
SD $38,880.96 $275,909.49 11.86 4.034 3.813 8.633 0.816
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE
CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD,
SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE
TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-
OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET
FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN
GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE
BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY
ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO
THOSE SHOWN.
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