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TC
NDR_SP500$VIX DSP8M-60 min 09/17/97 - 05/26/98
Performance Summary: All Trades
Total net profit $ 44125.00 Open position P/L $ 2725.00
Gross profit $ 46675.00 Gross loss $ -2550.00
Total # of trades 7 Percent profitable 71%
Number winning trades 5 Number losing trades 2
Largest winning trade $ 36500.00 Largest losing trade $ -2025.00
Average winning trade $ 9335.00 Average losing trade $ -1275.00
Ratio avg win/avg loss 7.32 Avg trade(win & loss) $ 6303.57
Max consec. winners 4 Max consec. losers 2
Avg # bars in winners 131 Avg # bars in losers 40
Max intraday drawdown $ -12750.00
Profit factor 18.30 Max # contracts held 1
Account size required $ 12750.00 Return on account 346%
Performance Summary: Long Trades
Total net profit $ 36650.00 Open position P/L $ 2725.00
Gross profit $ 38675.00 Gross loss $ -2025.00
Total # of trades 3 Percent profitable 67%
Number winning trades 2 Number losing trades 1
Largest winning trade $ 36500.00 Largest losing trade $ -2025.00
Average winning trade $ 19337.50 Average losing trade $ -2025.00
Ratio avg win/avg loss 9.55 Avg trade(win & loss) $ 12216.67
Max consec. winners 2 Max consec. losers 1
Avg # bars in winners 249 Avg # bars in losers 34
Max intraday drawdown $ -12750.00
Profit factor 19.10 Max # contracts held 1
Account size required $ 12750.00 Return on account 287%
Performance Summary: Short Trades
Total net profit $ 7475.00 Open position P/L $ 0.00
Gross profit $ 8000.00 Gross loss $ -525.00
Total # of trades 4 Percent profitable 75%
Number winning trades 3 Number losing trades 1
Largest winning trade $ 4500.00 Largest losing trade $ -525.00
Average winning trade $ 2666.67 Average losing trade $ -525.00
Ratio avg win/avg loss 5.08 Avg trade(win & loss) $ 1868.75
Max consec. winners 2 Max consec. losers 1
Avg # bars in winners 53 Avg # bars in losers 45
Max intraday drawdown $ -6600.00
Profit factor 15.24 Max # contracts held 1
Account size required $ 6600.00 Return on account 113%
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