| TradeStation Strategy Performance Report | |||||||||
| TradeStation Strategy Performance Report - TSGO_TEST EURJPY A0-FX-60 min. (02.10.2003-21.11.2003) | |||||||||
| Strategy Analysis | |||||||||
| Net Profit | $1 322,0000 | Open Position | $30,0000 | ||||||
| Gross Profit | $1 555,0000 | Interest Earned | $5,3128 | ||||||
| Gross Loss | ($233,0000) | Commission Paid | $290,0000 | ||||||
| Percent profitable | 58,62% | Profit factor | 6,67 | ||||||
| Ratio avg. win/avg. loss | 4,71 | Adjusted profit factor | 3,92 | ||||||
| Annual Rate of Return | 180,10% | Sharpe Ratio | N/A | ||||||
| Return on Initial Capital | 13,22% | Return Retracement Ratio | N/A | ||||||
| Return on Max. Drawdown | 567,38% | K-Ratio | N/A | ||||||
| Buy/Hold return | 0,25% | RINA Index | 59,75 | ||||||
| Cumulative return | 10,23% | Percent in the market | 82,98% | ||||||
| Adjusted Net Profit | $877,5958 | Select Net Profit | $937,0000 | ||||||
| Adjusted Gross Profit | $1 177,8571 | Select Gross Profit | $1 170,0000 | ||||||
| Adjusted Gross Loss | ($300,2613) | Select Gross Loss | ($233,0000) | ||||||
| Total Trade Analysis | |||||||||
| Number of total trades | 29 | ||||||||
| Average trade | $45,5862 | Avg. trade ± 1 STDEV | $147,32 | / | ($56,1486) | ||||
| 1 Std. Deviation (STDEV) | $101,7348 | Coefficient of variation | 223,17% | ||||||
| Run-up | |||||||||
| Maximum Run-up | $395,0000 | Max. Run-up Date | 17.11.2003 5:01:00 | ||||||
| Average Run-up | $85,1667 | Avg. trade ± 1 STDEV | $193,1335 | / | $0,0000 | ||||
| 1 Std. Deviation (STDEV) | $107,9668 | Coefficient of variation | 126,77% | ||||||
| Drawdown | |||||||||
| Maximum Drawdown | ($76,0000) | Max. Drawdown Date | 04.11.2003 6:01:00 | ||||||
| Average Drawdown | ($18,9000) | Avg. trade ± 1 STDEV | $0,0000 | / | ($40,1641) | ||||
| 1 Std. Deviation (STDEV) | $21,2641 | Coefficient of variation | 112,51% | ||||||
| Reward/Risk Ratios | |||||||||
| Net Prft/Largest Loss | 15,37 | Net Prft/Max Drawdown | 17,39 | ||||||
| Adj Net Prft/Largest Loss | 10,20 | Adj Net Prft/Max Drawdown | 11,55 | ||||||
| Outlier Trades | Total Trades | Profit/Loss | |||||||
| Positive outliers | 1 | $385,0000 | |||||||
| Negative outliers | 0 | $0,0000 | |||||||
| Total outliers | 1 | $385,0000 | |||||||
| Efficiency Analysis | |||||||||
| Total Efficiency | |||||||||
| Average Total Efficiency | 29,36% | Avg. trade ± 1 STDEV | 76,33% | / | -17,61% | ||||
| 1 Std. Deviation (STDEV) | 46,97% | Coefficient of variation | 159,99% | ||||||
| Entry Efficiency | |||||||||
| Average Entry Efficiency | 68,31% | Avg. trade ± 1 STDEV | 99,87% | / | 36,76% | ||||
| 1 Std. Deviation (STDEV) | 31,55% | Coefficient of variation | 46,19% | ||||||
| Exit Efficiency | |||||||||
| Average Exit Efficiency | 61,05% | Avg. trade ± 1 STDEV | 88,37% | / | 33,72% | ||||
| 1 Std. Deviation (STDEV) | 27,33% | Coefficient of variation | 44,76% | ||||||
| Open Position Analysis | |||||||||
| Open | Average | Percent | |||||||
| Position | Trade | of Average | |||||||
| Unrealized Profit/Loss | $30,0000 | $45,5862 | -34,19% | ||||||
| Time in trade (Days) | 0,42 | 1,43 | 29,22% | ||||||