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									                                           Summary



              TradeStation Strategy Performance Report

TradeStation Strategy Performance Report - MB Gap DX#F.DE-Daily (27/02/1991-28/04/2010)


Performance Summary: All Trades
Total Net Profit         $130,910.00            Open position P/L                 $0.00
Gross Profit             $477,492.50            Gross Loss                ($346,582.50)

Total # of trades              1,012            Percent profitable             57.21%
Number winning trades            579            Number losing trades              433

Largest winning trade      $7,087.50            Largest losing trade        ($5,487.50)
Average winning trade        $824.68            Average losing trade          ($800.42)
Ratio avg win/avg loss          1.03            Avg trade (win & loss)          $129.36

Max consec. Winners              11             Max consec. losers                   6
Avg # bars in winners             0             Avg # bars in losers                 0

Max intraday drawdown    ($19,680.00)
Profit Factor                    1.38           Max # contracts held                1
Account size required      $19,680.00           Return on account             665.19%

Performance Summary: Long Trades
Total Net Profit          $77,917.50            Open position P/L                 $0.00
Gross Profit             $228,480.00            Gross Loss                ($150,562.50)

Total # of trades               410             Percent profitable             61.22%
Number winning trades           251             Number losing trades              159

Largest winning trade      $7,087.50            Largest losing trade        ($5,487.50)
Average winning trade        $910.28            Average losing trade          ($946.93)
Ratio avg win/avg loss           .96            Avg trade (win & loss)          $190.04

Max consec. Winners                8            Max consec. losers                   5
Avg # bars in winners              0            Avg # bars in losers                 0

Max intraday drawdown    ($19,992.50)
Profit Factor                    1.52           Max # contracts held                1
Account size required      $19,992.50           Return on account             389.73%

Performance Summary: Short Trades
Total Net Profit          $52,992.50            Open position P/L                 $0.00
Gross Profit             $249,012.50            Gross Loss                ($196,020.00)

Total # of trades               602             Percent profitable             54.49%



                                            Page 1
                                        Summary


Number winning trades           328        Number losing trades           274

Largest winning trade      $5,675.00       Largest losing trade     ($4,862.50)
Average winning trade        $759.18       Average losing trade       ($715.40)
Ratio avg win/avg loss          1.06       Avg trade (win & loss)        $88.03

Max consec. Winners                7       Max consec. losers                9
Avg # bars in winners              0       Avg # bars in losers              0

Max intraday drawdown    ($16,987.50)
Profit Factor                    1.27      Max # contracts held             1
Account size required      $16,987.50      Return on account          311.95%




                                        Page 2
                                               Analysis



               TradeStation Strategy Performance Report

TradeStation Strategy Performance Report - MB Gap DX#F.DE-Daily (27/02/1991-28/04/2010)


Strategy Analysis
Net Profit                    $130,910.00                Open Position                      $0.00
Gross Profit                  $477,492.50                Interest Earned              $187,560.61
Gross Loss                  ($346,582.50)                Commission Paid                    $0.00

Percent profitable               57.21%                  Profit factor                       1.38
Ratio avg. win/avg. loss           1.03                  Adjusted profit factor              1.26

Annual Rate of Return             4.52%                  Sharpe Ratio                        0.81
Return on Initial Capital       130.91%                  Return Retracement Ratio            2.10
Return on Max. Drawdown         676.36%                  K-Ratio                             5.56

Buy/Hold return                 257.52%                  RINA Index                      2449.92
Cumulative return               299.57%                  Percent in the market            14.48%

Adjusted Net Profit            $94,410.40                Select Net Profit             $121,522.50
Adjusted Gross Profit         $457,648.59                Select Gross Profit           $413,367.50
Adjusted Gross Loss         ($363,238.19)                Select Gross Loss           ($291,845.00)

Total Trade Analysis
Number of total trades            1,012
Average trade                    $129.36                 Avg. trade ± 1 STDEV           $1,418.73 /
1 Std. Deviation (STDEV)       $1,289.37                 Coefficient of variation         996.75%

Run-up
Maximum Run-up                 $7,087.50                 Max. Run-up Date              04/01/1999
Average Run-up                   $471.83                 Avg. trade ± 1 STDEV           $1,332.20 /
1 Std. Deviation (STDEV)         $860.37                 Coefficient of variation        182.35%

Drawdown
Maximum Drawdown              ($5,487.50)                Max. Drawdown Date            22/03/2001
Average Drawdown                ($342.47)                Avg. trade ± 1 STDEV               $0.00 /
1 Std. Deviation (STDEV)          $773.78                Coefficient of variation        225.94%

Reward/Risk Ratios
Net Prft/Largest Loss              23.86                 Net Prft/Max Drawdown              23.86
Adj Net Prft/Largest Loss          17.20                 Adj Net Prft/Max Drawdown          17.20

Outlier Trades              Total Trades   Profit/Loss
Positive outliers                13        $64,125.00
Negative outliers                12      ($54,737.50)
Total outliers                   25         $9,387.50




                                                Page 3
                                       Analysis




Efficiency Analysis
Total Efficiency
Average Total Efficiency   14.00%               Avg. trade ± 1 STDEV        113.07% /
1 Std. Deviation (STDEV)   99.06%               Coefficient of variation   707.50%

Entry Efficiency
Average Entry Efficiency   57.00%               Avg. trade ± 1 STDEV       106.53% /
1 Std. Deviation (STDEV)   49.53%               Coefficient of variation   86.90%

Exit Efficiency
Average Exit Efficiency    57.00%               Avg. trade ± 1 STDEV       106.53% /
1 Std. Deviation (STDEV)   49.53%               Coefficient of variation   86.90%

Open Position Analysis
                            Open      Average          Percent
                           Position     Trade       of Average
Unrealized Profit/Loss       $0.00    $129.36              N/A
Time in trade (Days)         0.00        0.00              N/A




                                       Page 4
                     Analysis



port




       ($1,160.01)




       $0.00




       ($1,116.25)




                     Page 5
          Analysis




-85.06%



7.47%



7.47%




          Page 6
                                                Annual



   TradeStation Strategy Performance Report
Annual Trading Summary
Annual Analysis (Mark-To-Market):
  Period      Net Profit  % Gain   Profit Factor     # Trades   % Profitable
   YTD         $1,275.00    0.56%          1.22            17      47.06%
 12 month    $14,400.00     6.65%          1.78            44      45.45%
    09       $12,737.50     5.87%          1.77            32      46.88%
    08       $18,612.50     9.39%          1.77            34      58.82%
    07       ($1,075.00)   (0.54%)         0.96            45      48.89%
    06         $5,425.00    2.80%          1.29            42      52.38%
    05         $2,737.50    1.43%          1.24            44      50.00%
    04       $10,450.00     5.78%          1.92            55      65.45%
    03       $17,200.00   10.52%           2.00            54      68.52%
    02       $14,085.00     9.42%          1.55            46      58.70%
    01       ($3,317.50)   (2.17%)         0.91            52      53.85%
    00         $3,737.50    2.51%          1.09            58      51.72%
    99         $2,517.50    1.72%          1.08            50      52.00%
    98       $10,575.00     7.78%          1.33            54      61.11%
    97       $14,437.50   11.88%           2.38            57      57.89%
    96         ($125.00)   (0.10%)         0.98            51      47.06%
    95         $5,387.50    4.63%          1.83            67      58.21%
    94         $3,012.50    2.66%          1.29            68      54.41%
    93         $6,025.00    5.62%          2.34            64      62.50%
    92         $3,700.00    3.57%          2.12            67      62.69%
    91         $3,512.50    3.51%          2.19            55      60.00%


Annual Rolling Period Analysis (Mark-To-Market):
  Period      Net Profit   % Gain    Profit Factor   # Trades   % Profitable
    10         $1,275.00    0.56%            1.22          17      47.06%
  09-10       $14,012.50    6.46%            1.63          49      46.94%
  08-10       $32,625.00   16.45%            1.70          83      51.81%
  07-10       $31,550.00   15.83%            1.41         128      50.78%
  06-10       $36,975.00   19.07%            1.39         170      51.18%
  05-10       $39,712.50   20.77%            1.38         214      50.93%
  04-10       $50,162.50   27.75%            1.43         269      53.90%
  03-10       $67,362.50   41.19%            1.50         323      56.35%
  02-10       $81,447.50   54.49%            1.51         369      56.64%
  01-10       $78,130.00   51.14%            1.40         421      56.29%
  00-10       $81,867.50   54.93%            1.34         479      55.74%
  99-10       $84,385.00   57.59%            1.31         529      55.39%
  98-10       $94,960.00   69.85%            1.31         583      55.92%
  97-10      $109,397.50   90.03%            1.35         640      56.09%
  96-10      $109,272.50   89.83%            1.34         691      55.43%
  95-10      $114,660.00   98.63%            1.35         758      55.67%
  94-10      $117,672.50 103.92%             1.35         826      55.57%
  93-10      $123,697.50 115.38%             1.36         890      56.07%
  92-10      $127,397.50 123.07%             1.37         957      56.53%
  91-10      $130,910.00 130.91%             1.38        1012      56.72%



                                                Page 7
                                              Monthly



    TradeStation Strategy Performance Report
Monthly Trading Summary
Monthly Average Analysis (Mark-To-Market):
Period        Net Profit    % Gain Profit Factor    # Trades % Profitable
January       $3,546.88     1.72%          4.06          4.00   75.00%
February        $171.88     0.09%          1.15          1.75   42.86%
March       ($2,015.63)    (0.98%)         0.22          3.75   26.67%
April         ($140.63)    (0.06%)         0.94          3.25   38.46%
May           $2,579.17     1.23%          5.15          3.00   66.67%
June          $1,383.33     0.65%          1.99          2.00   66.67%
July          ($375.00)    (0.25%)         0.86          2.67   37.50%
August        ($458.33)    (0.18%)         0.86          4.33   46.15%
September     $1,770.83     0.80%          2.52          3.67   45.45%
October         $391.67     0.17%          1.12          3.67   45.45%
November      $1,962.50     1.07%          1.74          3.00   66.67%
December        $996.88     0.45%          2.50          2.75   63.64%

Monthly Period Analysis (Mark-To-Market):
  Period       Net Profit    % Gain Profit Factor   # Trades % Profitable
   4/10        ($325.00)    (0.14%)         0.79           5    40.00%
   3/10      ($1,550.00)    (0.67%)         0.40           5    40.00%
   2/10        ($150.00)    (0.06%)         0.88           2    50.00%
   1/10        $3,300.00     1.44%          8.33           5    60.00%
  12/09        $1,475.00     0.65%          2.71           5    60.00%
  11/09          $900.00     0.40%          2.29           3    66.67%
  10/09           $25.00     0.01%          1.01           3    33.33%
   9/09        $4,525.00     2.03%          5.70           4    50.00%
   8/09      ($1,775.00)    (0.79%)         0.00           3      0.00%
   7/09        $2,025.00     0.91%          1.93           4    25.00%
   6/09          $300.00     0.14%          1.11           2    50.00%
   5/09        $5,650.00     2.61%          4.80           3    66.67%
   4/09        ($612.50)    (0.28%)         0.80           2    50.00%
   3/09            $0.00     0.00%           N/A           0         N/A
   2/09        ($825.00)    (0.38%)         0.00           1      0.00%
   1/09        $1,050.00     0.48%           N/A           2   100.00%
  12/08        $2,887.50     1.35%           N/A           2   100.00%
  11/08      ($3,237.50)    (1.49%)         0.39           2    50.00%
  10/08        $1,750.00     0.81%          1.27           6    50.00%
   9/08          $875.00     0.41%          1.51           4    50.00%
   8/08        ($725.00)    (0.34%)         0.00           1      0.00%
   7/08        $1,112.50     0.52%          1.87           2    50.00%
   6/08        $4,050.00     1.93%           N/A           2   100.00%
   5/08          $212.50     0.10%           N/A           1   100.00%
   4/08          $637.50     0.30%          1.18           3    33.33%
   3/08        ($575.00)    (0.27%)         0.60           3    33.33%
   2/08        $3,025.00     1.46%          3.28           3    66.67%
   1/08        $8,600.00     4.34%          4.82           5    80.00%
  12/07        ($825.00)    (0.41%)         0.54           3    33.33%
  11/07        $8,225.00     4.31%          5.25           4    75.00%



                                              Page 8
                                             Monthly


   10/07       ($600.00)    (0.31%)        0.45            2     50.00%
    9/07        ($87.50)    (0.05%)        0.89            3     33.33%
    8/07       $1,125.00     0.59%         1.16            9     66.67%
    7/07     ($4,262.50)    (2.19%)        0.12            2     50.00%
    6/07       ($200.00)    (0.10%)        0.86            2     50.00%
    5/07       $1,875.00     0.97%         6.00            5     60.00%
    4/07       ($262.50)    (0.14%)        0.60            3     33.33%
    3/07     ($5,937.50)    (2.98%)        0.06            7     14.29%
    2/07     ($1,362.50)    (0.68%)        0.00            1      0.00%
    1/07       $1,237.50     0.62%         1.64            4     75.00%
   12/06         $450.00     0.23%          N/A            1    100.00%


Monthly Rolling Period Analysis (Mark-To-Market):
   Period      Net Profit    % Gain Profit Factor   # Trades % Profitable
    4/10       ($325.00)    (0.14%)         0.79           5    40.00%
 3/10-4/10 ($1,875.00)      (0.81%)         0.55          10    40.00%
 2/10-4/10 ($2,025.00)      (0.87%)         0.62          12    41.67%
 1/10-4/10    $1,275.00      0.56%          1.22          17    47.06%
 12/09-4/10   $2,750.00      1.21%          1.41          22    50.00%
 11/09-4/10   $3,650.00      1.61%          1.49          25    52.00%
 10/09-4/10   $3,675.00      1.62%          1.40          28    50.00%
 9/09-4/10    $8,200.00      3.68%          1.80          32    50.00%
 8/09-4/10    $6,425.00      2.86%          1.53          35    45.71%
 7/09-4/10    $8,450.00      3.80%          1.60          39    43.59%
 6/09-4/10    $8,750.00      3.94%          1.52          41    43.90%
 5/09-4/10   $14,400.00      6.65%          1.78          44    45.45%
 4/09-4/10   $13,787.50      6.35%          1.64          46    45.65%
 3/09-4/10   $13,787.50      6.35%          1.64          46    45.65%
 2/09-4/10   $12,962.50      5.95%          1.58          47    44.68%
 1/09-4/10   $14,012.50      6.46%          1.63          49    46.94%
 12/08-4/10 $16,900.00       7.90%          1.76          51    49.02%
 11/08-4/10 $13,662.50       6.29%          1.50          53    49.06%
 10/08-4/10 $15,412.50       7.15%          1.45          59    49.15%
 9/08-4/10   $16,287.50      7.59%          1.46          63    49.21%
 8/08-4/10   $15,562.50      7.23%          1.43          64    48.44%
 7/08-4/10   $16,675.00      7.78%          1.44          66    48.48%
 6/08-4/10   $20,725.00      9.86%          1.55          68    50.00%
 5/08-4/10   $20,937.50      9.97%          1.55          69    50.72%
 4/08-4/10   $21,575.00     10.31%          1.52          72    50.00%
 3/08-4/10   $21,000.00     10.00%          1.49          75    49.33%
 2/08-4/10   $24,025.00     11.61%          1.55          78    50.00%
 1/08-4/10   $32,625.00     16.45%          1.70          83    51.81%
 12/07-4/10 $31,800.00      15.97%          1.66          86    51.16%
 11/07-4/10 $40,025.00      20.97%          1.80          90    52.22%
 10/07-4/10 $39,425.00      20.59%          1.77          92    52.17%
 9/07-4/10   $39,337.50     20.53%          1.76          95    51.58%
 8/07-4/10   $40,462.50     21.25%          1.68         104    52.88%
 7/07-4/10   $36,200.00     18.59%          1.57         106    52.83%
 6/07-4/10   $36,000.00     18.47%          1.55         108    52.78%
 5/07-4/10   $37,875.00     19.62%          1.58         113    53.10%
 4/07-4/10   $37,612.50     19.46%          1.57         116    52.59%


                                              Page 9
                                     Monthly


3/07-4/10    $31,675.00   15.90%   1.44        123   50.41%
2/07-4/10    $30,312.50   15.11%   1.41        124   50.00%
1/07-4/10    $31,550.00   15.83%   1.41        128   50.78%
12/06-4/10   $32,000.00   16.09%   1.42        129   51.16%




                                    Page 10
                                            Win | Loss



             TradeStation Strategy Performance Report
Winning Trade Analysis
Number of winning trades          579
Avg. winning trade            $824.68                 Avg. win ± 1 STDEV           $1,826.32 / ($176.95)
1 Std. Deviation (STDEV)    $1,001.64                 Coefficient of variation      121.46%

Largest profit              $7,087.50                 Largest consec. profit      $15,575.00
 % of Net Profit               5.41%                   % of Net Profit               11.90%

Consecutive Winning Series Data
 Consec.      # of        Average     Average Loss
 Winners     Series     Gain/Series    Next Trade
    1         116            $863.97      ($857.00)
    2          59          $1,597.03      ($729.09)
    3          35          $2,294.93      ($561.43)
    4          23          $3,725.54      ($998.70)
    5          13          $4,599.04      ($974.04)
    6           7          $5,603.57      ($773.21)
    7           1          $4,662.50      ($925.00)
    8           1          $8,287.50      ($462.50)
    9           0               $0.00         $0.00
   10           1          $2,100.00       ($37.50)
   11           1          $2,975.00      ($137.50)

Losing Trade Analysis
Number of losing trades           433
Avg. losing trade           ($800.42)                 Avg. loss ± 1 STDEV            $216.34 / ($1,817.18)
1 Std. Deviation (STDEV)    $1,016.76                 Coefficient of variation      127.03%

Largest loss               ($5,487.50)                Largest consec. loss       ($15,125.00)
 % of Net Profit                4.19%                  % of Net Profit                11.55%

Consecutive Losing Series Data
 Consec.      # of         Average    Average Gain
  Losers     Series     Loss/Series    Next Trade
    1         149           ($785.54)      $875.34
    2          67         ($1,528.17)      $844.40
    3          25         ($2,747.50)      $612.30
    4           7         ($3,057.14)      $700.00
    5           7         ($3,007.14)      $975.00
    6           2         ($8,006.25)       $62.50




                                             Page 11
                                                 Time



                 TradeStation Strategy Performance Report
Time Analysis (Days)
Trading period
   Years                                      18.95
   Months                                    227.34
   Weeks                                     985.15
   Days                                    6,915.00

Time in the market                               0
Percent in the market                       14.48%
Longest flat period                          56.00

Avg. time in trades                           0.00
Avg. time between trades                      5.84

Avg. time in winning trades                   0.00
Avg. time between winning trades             10.94

Avg. time in losing trades                    0.00
Avg. time between losing trades              14.99

Equity Curve Analysis
Avg. time between peaks (days)               61.60

Maximum Equity Run-up (daily)           $134,485.00   2/3/2010 135.14%
Maximum Equity Drawdown (daily)         ($19,355.00) 7/10/2002 11.96%

Average Monthly Return
Standard Deviation of Monthly Returns




                                               Page 12
        Time



port




       Page 13
                                                Settings



          TradeStation Strategy Performance Report
Settings
Initial Capital                   $100,000.00
Commission                              $0.00
Slippage                                $0.00
Interest Rate                   5.00%
Version Type                    End-of-Day
Version Number                  2000,00
Symbol                          DX#F.DE
Description                     Dax Future
Compression                     Daily
Start Date                      27/02/1991
End Date                        28/04/2010
Display Periods                 40
Number of Standard Deviations   1



Strategy Inputs




                                                Page 14

								
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