| TradeStation Strategy Performance Report | |||||||||
| TradeStation Strategy Performance Report - TSGO_TEST1 EUR A0-FX-60 min. (06.10.2003-24.11.2003) | |||||||||
| Strategy Analysis | |||||||||
| Net Profit | $1 690,0000 | Open Position | ($27,0000) | ||||||
| Gross Profit | $1 790,0000 | Interest Earned | $4,1096 | ||||||
| Gross Loss | ($100,0000) | Commission Paid | $280,0000 | ||||||
| Percent profitable | 82,14% | Profit factor | 17,90 | ||||||
| Ratio avg. win/avg. loss | 3,89 | Adjusted profit factor | 9,79 | ||||||
| Annual Rate of Return | 254,86% | Sharpe Ratio | N/A | ||||||
| Return on Initial Capital | 16,90% | Return Retracement Ratio | N/A | ||||||
| Return on Max. Drawdown | 1076,43% | K-Ratio | N/A | ||||||
| Buy/Hold return | 1,36% | RINA Index | 46,55 | ||||||
| Cumulative return | 14,42% | Percent in the market | 91,56% | ||||||
| Adjusted Net Profit | $1 272,0378 | Select Net Profit | $1 311,0000 | ||||||
| Adjusted Gross Profit | $1 416,7592 | Select Gross Profit | $1 411,0000 | ||||||
| Adjusted Gross Loss | ($144,7214) | Select Gross Loss | ($100,0000) | ||||||
| Total Trade Analysis | |||||||||
| Number of total trades | 28 | ||||||||
| Average trade | $60,3571 | Avg. trade ± 1 STDEV | $152,15 | / | ($31,4322) | ||||
| 1 Std. Deviation (STDEV) | $91,7893 | Coefficient of variation | 152,08% | ||||||
| Run-up | |||||||||
| Maximum Run-up | $402,0000 | Max. Run-up Date | 18.11.2003 19:01:00 | ||||||
| Average Run-up | $85,8966 | Avg. trade ± 1 STDEV | $177,8389 | / | $0,0000 | ||||
| 1 Std. Deviation (STDEV) | $91,9423 | Coefficient of variation | 107,04% | ||||||
| Drawdown | |||||||||
| Maximum Drawdown | ($109,0000) | Max. Drawdown Date | 14.10.2003 10:01:00 | ||||||
| Average Drawdown | ($30,7586) | Avg. trade ± 1 STDEV | ($1,5467) | / | ($59,9705) | ||||
| 1 Std. Deviation (STDEV) | $29,2119 | Coefficient of variation | 94,97% | ||||||
| Reward/Risk Ratios | |||||||||
| Net Prft/Largest Loss | 30,73 | Net Prft/Max Drawdown | 15,50 | ||||||
| Adj Net Prft/Largest Loss | 23,13 | Adj Net Prft/Max Drawdown | 11,67 | ||||||
| Outlier Trades | Total Trades | Profit/Loss | |||||||
| Positive outliers | 1 | $379,0000 | |||||||
| Negative outliers | 0 | $0,0000 | |||||||
| Total outliers | 1 | $379,0000 | |||||||
| Efficiency Analysis | |||||||||
| Total Efficiency | |||||||||
| Average Total Efficiency | 48,68% | Avg. trade ± 1 STDEV | 83,19% | / | 14,18% | ||||
| 1 Std. Deviation (STDEV) | 34,50% | Coefficient of variation | 70,87% | ||||||
| Entry Efficiency | |||||||||
| Average Entry Efficiency | 67,28% | Avg. trade ± 1 STDEV | 92,39% | / | 42,18% | ||||
| 1 Std. Deviation (STDEV) | 25,11% | Coefficient of variation | 37,31% | ||||||
| Exit Efficiency | |||||||||
| Average Exit Efficiency | 81,40% | Avg. trade ± 1 STDEV | 96,38% | / | 66,42% | ||||
| 1 Std. Deviation (STDEV) | 14,98% | Coefficient of variation | 18,40% | ||||||
| Open Position Analysis | |||||||||
| Open | Average | Percent | |||||||
| Position | Trade | of Average | |||||||
| Unrealized Profit/Loss | ($27,0000) | $60,3571 | -144,73% | ||||||
| Time in trade (Days) | 0,25 | 1,61 | 15,61% | ||||||