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TradeStation TradeManager Performance Report RussellElite2, @ER2.D, 5 min, 2/4/2002 8:35:00 AM - 3/30/2007 3:15:00 PM
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TradeStation Performance Summary Collapse
 
  All Trades
Long Trades
Short Trades
Total Net Profit $44,960.00 $19,020.00 $25,940.00
Gross Profit $101,300.00 $46,840.00 $54,460.00
Gross Loss ($56,340.00) ($27,820.00) ($28,520.00)
Profit Factor 1.80 1.68 1.91
       
Open Position P/L $0.00 $0.00 $0.00
       
Select Total Net Profit $44,960.00 $19,020.00 $25,940.00
Select Gross Profit $101,300.00 $46,840.00 $54,460.00
Select Gross Loss ($56,340.00) ($27,820.00) ($28,520.00)
Select Profit Factor 1.80 1.68 1.91
       
Adjusted Total Net Profit $34,784.07 $12,162.44 $18,411.20
Adjusted Gross Profit $95,169.05 $42,778.46 $49,857.29
Adjusted Gross Loss ($60,384.98) ($30,616.02) ($31,446.09)
Adjusted Profit Factor 1.58 1.40 1.59
       
Total Number of Trades 515 253 262
Percent Profitable 53.01% 52.57% 53.44%
Winning Trades 273 133 140
Losing Trades 194 99 95
Even Trades 48 21 27
       
Avg. Trade Net Profit $87.30 $75.18 $99.01
Avg. Winning Trade $371.06 $352.18 $389.00
Avg. Losing Trade ($290.41) ($281.01) ($300.21)
Ratio Avg. Win:Avg. Loss 1.28 1.25 1.30
Largest Winning Trade $670.00 $650.00 $670.00
Largest Losing Trade ($450.00) ($400.00) ($450.00)
Largest Winner as % of Gross Profit 0.66% 1.39% 1.23%
Largest Loser as % of Gross Loss 0.80% 1.44% 1.58%
       
Net Profit as % of Largest Loss 9991.11% 4755.00% 5764.44%
Select Net Profit as % of Largest Loss 9991.11% 4755.00% 5764.44%
Adjusted Net Profit as % of Largest Loss 7729.79% 3040.61% 4091.38%
       
Max. Consecutive Winning Trades 13 9 6
Max. Consecutive Losing Trades 5 5 6
Avg. Bars in Total Trades 36.11 37.40 34.87
Avg. Bars in Winning Trades 43.03 45.60 40.58
Avg. Bars in Losing Trades 27.45 26.77 28.16
Avg. Bars in Even Trades 31.81 35.57 28.89
Max. Shares/Contracts Held 1 1 1
Total Shares/Contracts Held 515 253 262
Account Size Required $2,500.00 $2,810.00 $1,960.00
Total Slippage $0.00 $0.00 $0.00
Total Commission $10,300.00 $5,060.00 $5,240.00
       
Return on Initial Capital 449.60%
Annual Rate of Return 33.12%
Buy & Hold Return 58.72%
Return on Account 1798.40%    
Avg. Monthly Return $556.75    
Std. Deviation of Monthly Return $1,012.48    
       
Return Retracement Ratio 0.52    
RINA Index 6890.65    
Sharpe Ratio 0.41    
K-Ratio n/a    
       
Trading Period 5 Yrs, 1 Mth, 21 Dys, 6 Hrs, 35 Mins    
Percent of Time in the Market 3.48%
Time in the Market 2 Mths, 4 Dys, 9 Hrs, 35 Mins    
Longest Flat Period 33 Dys, 5 Mins    
       
Max. Equity Run-up
$48,280.00    
Date of Max. Equity Run-up 11/07/06 09:25    
Max. Equity Run-up as % of Initial Capital 482.80%    
 
Max. Drawdown (Intra-day Peak to Valley)
Value ($3,090.00) ($3,050.00) ($2,470.00)
Date 01/25/07 10:10    
as % of Initial Capital 30.90% 30.50% 24.70%
Net Profit as % of Drawdown 1455.02% 623.61% 1050.20%
Select Net Profit as % of Drawdown 1455.02% 623.61% 1050.20%
Adjusted Net Profit as % of Drawdown 1125.70% 398.77% 745.39%
       
Max. Drawdown (Trade Close to Trade Close)
Value ($2,500.00) ($2,810.00) ($1,960.00)
Date 12/07/06 11:20    
as % of Initial Capital 25.00% 28.10% 19.60%
Net Profit as % of Drawdown 1798.40% 676.87% 1323.47%
Select Net Profit as % of Drawdown 1798.40% 676.87% 1323.47%
Adjusted Net Profit as % of Drawdown 1391.36% 432.83% 939.35%
       
Max. Trade Drawdown ($1,260.00) ($380.00) ($1,260.00)
     
     
     
Created by TradeStation: 4/1/2007 10:41:47 PM, Copyright (c) 1991-2004 TradeStation Technologies, Inc.
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TradeStation TradeManager Performance Report RussellElite2, @ER2.D, 5 min, 2/4/2002 8:35:00 AM - 3/30/2007 3:15:00 PM
 TradeStation Trade Analysis Collapse
  All Trades
Winners
Losers
Total Number of Trades 515 273 194
Avg. Trade Net Profit $87.30 $371.06 ($290.41)
1 Std. Deviation of Avg. Trade $365.44 $234.53 $137.66
Avg. Trade + 1 Std. Deviation $452.75 $605.60 ($152.75)
Avg. Trade - 1 Std. Deviation ($278.14) $136.53 ($428.08)
Coefficient of Variation 418.60% 63.21% 47.40%
Time Averages
Avg. Time in Trades 3 Hrs, 2 Mins 3 Hrs, 40 Mins 2 Hrs, 17 Mins
Avg. Time Between Trades 3 Dys, 12 Hrs, 32 Mins 6 Dys, 16 Hrs, 11 Mins 9 Dys, 14 Hrs, 52 Mins
Avg. Time Between Trade Profit Peaks 34 Dys, 23 Hrs, 55 Mins
Outliers Total Positive Negative
Number of Outliers 0 0 0
Outlier Profit/Loss $0.00 $0.00 $0.00
 
Run-Up/Drawdown   Run-Up Drawdown
Max. Value $990.00 ($1,260.00)
Max. Value Date 5/17/2004 6/14/2002
Avg. Value $320.33 ($187.59)
1 Std. Deviation $224.73 $143.06
Avg. + 1 Std. Deviation $545.06 ($44.53)
Avg. - 1 Std. Deviation $95.60 ($330.65)
Coefficient of Variation 70.16% 76.26%
 
Efficiency Analysis Total
Entry
Exit
Avg. Efficiency 10.85% 59.08% 51.77%
1 Std. Deviation 65.58% 32.20% 41.55%
Avg. + 1 Std. Deviation 76.42% 91.27% 93.32%
Avg. - 1 Std. Deviation (54.73%) 26.88% 10.22%
Coefficient of Variation 604.50% 54.50% 80.25%
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 TradeStation Trade Series Analysis Collapse