Attention! When presenting the results of this strategy commission and slippage were considered zero. Please note this is not realistic and in real life those values can bias the results noticeably. The proper values of commission and slippage may be selected in the Properties dialog box.
Strategy Performance Summary
All Trades Long Trades Short Trades Net Profit $18841.4 $5113.4 $13728 Gross Profit $27651.6 $10574.4 $17077.2 Gross Loss ($8810.2) ($5461) ($3349.2) Adjusted Net Profit $10419.27 $57.83 $6537.79 Adjusted Gross Profit $21885.84 $7748.27 $11384.8 Adjusted Gross Loss ($11466.58) ($7690.44) ($4847.01) Select Net Profit $8798.6 $7769 $1029.6 Select Gross Profit $14953.2 $10574.4 $4378.8 Select Gross Loss ($6154.6) ($2805.4) ($3349.2) Account Size Required $3388.4 $3388.4 $2451.4 Return on Account 556.06% 150.91% 560.01% Avg Monthly Return $724.67 $724.67 $724.67 Monthly Return StdDev $1811.13 $1811.13 $1811.13 Return on Initial Capital 188.41% 51.13% 137.28% Max Strategy Drawdown ($6049.4) ($5924.2) ($4859.4) Max Strategy Drawdown (%) (33.86%) (51.06%) (28.64%) Max Close To Close Drawdown ($3388.4) ($3388.4) ($2451.4) Max Close To Close Drawdown (%) (19.89%) (31.25%) (9.36%) Return on Max Str Drawdown 3.11 0.86 2.83 Profit Factor 3.14 1.94 5.1 Adjusted Profit Factor 1.91 1.01 2.35 Select Profit Factor 2.43 3.77 1.31 Max # Contracts Held 20 20 20 Commission Paid $0 $0 $0 OpenPosition P/L $0 $0 $0 Annual Rate of Return 87.78% 24.29% 63.96% Monthly Rate of Return 7.31% 2.02% 5.33% Buy & Hold Return $1937.34 $2001.15 $1855.22

Performance Ratios
Upside Potential Ratio n/a Sharpe Ratio 0.43 Sortino Ratio 1.34 Fouse Ratio 0.04 Calmar Ratio 0 Sterling Ratio 0 Net Prft / Largest Loss (709.5%) Net Prft / Max Trade Drawdown (425.22%) Net Prft / Max Strategy Drawdown (311.46%) Select Net Prft / Largest Loss (331.32%) Select Net Prft / Max Trade Drawdown (198.57%) Select Net Prft / Max Strategy Drawdown (145.45%) Adj Net Prft / Largest Loss (392.35%) Adj Net Prft / Max Trade Drawdown (235.14%) Adj Net Prft / Max Strategy Drawdown (172.24%)

Time Analysis
Trading Period 2 Yrs, 1 Mth, 26 Dys Time in the Market 1 Mth, 29 Dys Percent in the Market 7.53% Longest flat period 2 Mths, 5 Dys Max Run-up Date 14/07/2006 Max Drawdown Date 21/10/2005 Max Strategy Drawdown Date 07/10/2005 Max Close To Close Drawdown Date 21/10/2005

Attention! When presenting the results of this strategy commission and slippage were considered zero. Please note this is not realistic and in real life those values can bias the results noticeably. The proper values of commission and slippage may be selected in the Properties dialog box.
Total Trade Analysis
All Trades Long Trades Short Trades Total # of Trades 34 20 14 Total # of Open Trades 0 0 0 Number Winning Trades 23 14 9 Number Losing Trades 11 6 5 Percent Profitable 67.65% 70% 64.29% Avg Trade (win & loss) $554.16 $255.67 $980.57 Average Winning Trade $1202.24 $755.31 $1897.47 Average Losing Trade ($800.93) ($910.17) ($669.84) Ratio Avg Win / Avg Loss 1.5 (0.83) 2.83 Largest Winning Trade $5473.2 $1693.4 $5473.2 Largest Losing Trade ($2655.6) ($2655.6) ($1499.2) Avg # Bars in Trades 2 2 2.1 Avg # Bars in Winning Trades 2 2 2.1 Avg # Bars in Losing Trades 2 2 2 Avg # Bars Between Trades 14.2 25.6 37.3 Avg # Bars Between Winning Trades 21.9 37.4 59.1 Avg # Bars Between Losing Trades 48.1 89.8 108.2

Outliers
Total Positive Negative 1 Std. Deviation of Avg. Trade $1496.86 $1330.9 $712.32 Avg. Trade + 1 Std. Deviation $2051.02 $2533.14 ($88.61) Avg. Trade - 1 Std. Deviation ($942.7) ($128.66) ($1513.25) Number of Outliers 4 3 1 Outlier Profit/Loss $10042.8 $12698.4 ($2655.6)

Run-up/Drawdown
Run-Up Drawdown Max Value $5873.2 ($4431) Max Value Date 14/07/2006 21/10/2005 Avg Value $1640.66 ($1347.11) Max Value (%) 45.52% (27.17%) Max Value (%) Date 15/04/2005 20/10/2005 1 Std. Deviation $1399.91 $1025.39 Avg + 1 Std. Deviation $3040.57 ($321.71) Avg - 1 Std. Deviation $240.75 ($2372.5)

Trade Series Analysis
Z-score (0.15) Confidence Limits 0.12 Strategy ME $554.16 Max Consec. Winners 10 Max Consec. Losers 3 Largest Consec. Profit $10951 Largest Consec. Loss ($3388.4) Largest Consec. Profit (%) 80.22% Largest Consec. Loss (%) (19.89%) # Winning Trade Series Losing Trade Series # of series Avg Win / Series Avg Loss Next Trade # of series Avg Loss / Series Avg Win Next Trade 1 4 $450.15 ($416.85) 4 ($655.15) $1566.05 2 1 $3095.7 ($901.4) 2 ($1130.1) $819.9 3 1 $1513.53 ($464) 1 ($556.4) $119.8 4 1 $1042 ($732.8) 10 1 $1095.1 ($953.2)