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Hi List,
Sorry if this is a repeat - having trouble with attachment sizes.
I would like to get some expert eyes on the following report to get an
opinion if you think it is worth trading and understand the pros and cons of
it. I would send the full report, but can't attach it, if you are so
inclinded to review, I can send you a formatted version if you reply to my
email.
Thanks (emini s&p500, 1 contract, no comm, no slip)
I did'nt even attach the equity curve because of size worries
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TradeStation Strategy Performance Report: Summary @ES.D, 10 min, 2/12/2001
5:40:00 AM - 5/23/2003 12:10:00 PM
TradeStation Strategy Performance Summary
All Trades Long Trades Short Trades
Total Net Profit $26,212.50 $10,525.00 $15,687.50
Gross Profit $57,612.50 $20,737.50 $36,875.00
Gross Loss ($31,400.00) ($10,212.50) ($21,187.50)
Profit Factor 1.83 2.03 1.74
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $22,437.50 $8,900.00 $13,537.50
Select Gross Profit $49,887.50 $19,112.50 $30,775.00
Select Gross Loss ($27,450.00) ($10,212.50) ($17,237.50)
Select Profit Factor 1.82 1.87 1.79
Adjusted Total Net Profit $19,830.54 $7,403.24 $9,715.13
Adjusted Gross Profit $53,257.40 $18,631.93 $32,699.73
Adjusted Gross Loss ($33,426.86) ($11,228.68) ($22,984.60)
Adjusted Profit Factor 1.59 1.66 1.42
Total Number of Trades 442 217 225
Percent Profitable 39.59% 44.70% 34.67%
Winning Trades 175 97 78
Losing Trades 240 101 139
Even Trades 27 19 8
Avg. Trade Profit/Loss $59.30 $48.50 $69.72
Avg. Winning Trade $329.21 $213.79 $472.76
Avg. Losing Trade ($130.83) ($101.11) ($152.43)
Ratio Avg. Win/Avg. Loss 2.52 2.11 3.10
Largest Winning Trade $2,512.50 $1,625.00 $2,512.50
Largest Losing Trade ($1,287.50) ($412.50) ($1,287.50)
Largest Winner as % of Gross Profit 4.36% 7.84% 6.81%
Largest Loser as % of Gross Loss 4.10% 4.04% 6.08%
Max. Consecutive Winning Trades 8 5 5
Max. Consecutive Losing Trades 10 6 12
Avg. Bars in Winning Trades 21 11 34
Avg. Bars in Losing Trades 7 3 9
Max. Shares/Contracts Held 1 1 1
Total Slippage $0.00 $0.00 $0.00
Total Commission $0.00 $0.00 $0.00
Max. Trade Drawdown ($1,500.00) ($800.00) ($1,500.00)
Max. Equity Drawdown ($2,900.00) ($2,400.00) ($3,112.50)
Annual Rate of Return 10.25%
Return on Initial Capital 26.21%
Buy & Hold Return (21.62%)
Return on Max. Equity Drawdown 903.88%
Avg. Monthly Return $970.83
Std. Deviation of Monthly Return $1,399.44
Percent of Time in the Market 19.80%
RINA Index 662.85
Net Profit / Largest Loss 20.36
Net Profit / Max. Equity Drawdown 9.04
Select Net Profit / Largest Loss 17.43
Select Net Profit / Max. Equity Drawdown 7.74
Adjusted Net Profit / Largest Loss 15.40
Adjusted Net Profit / Max. Equity Drawdown 6.84
Amount Date % of Init. Capital
Max. Equity Run-up $28,712.50 3/12/2003 22.75%
Max. Equity Drawdown ($2,900.00) 5/7/2001 2.30%
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