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 $19756.88 $8100 $11656.88 Gross Profit $30534.38 $13346.25 $17188.12 Gross Loss ($10777.5) ($5246.25) ($5531.25) Adjusted Net Profit $16245.58 $5779.9 $9019.38 Adjusted Gross Profit $27971.99 $11703.44 $15216.51 Adjusted Gross Loss ($11726.41) ($5923.54) ($6197.13) Select Net Profit $11840.63 $4608.75 $7231.87 Select Gross Profit $18759.38 $8070 $10689.37 Select Gross Loss ($6918.75) ($3461.25) ($3457.5) Account Size Required $714.37 $705 $615 Return on Account 2765.62% 1148.94% 1895.43% Avg Monthly Return $533.97 $533.97 $533.97 Monthly Return StdDev $486.18 $486.18 $486.18 Return on Initial Capital 49.39% 20.25% 29.14% Max Strategy Drawdown ($2103.75) ($1657.5) ($1755) Max Strategy Drawdown (%) (4.66%) (3.83%) (3.96%) Max Close To Close Drawdown ($714.37) ($705) ($615) Max Close To Close Drawdown (%) (1.24%) (1.65%) (1.23%) Return on Max Str Drawdown 9.39 4.89 6.64 Profit Factor 2.83 2.54 3.11 Adjusted Profit Factor 2.39 1.98 2.46 Select Profit Factor 2.71 2.33 3.09 Max # Contracts Held 37500 37500 37500 Commission Paid $0 $0 $0 OpenPosition P/L $0 $0 $0 Annual Rate of Return 16.46% 6.75% 9.73% Monthly Rate of Return 1.37% 0.56% 0.81% Buy & Hold Return $1787.47 $2337.96 $2559.23

Performance Ratios
Upside Potential Ratio 4143.41 Sharpe Ratio 1.01 Sortino Ratio 6.94 Fouse Ratio 0.01 Calmar Ratio 0 Sterling Ratio 0 Net Prft / Largest Loss (12850%) Net Prft / Max Trade Drawdown (1496.73%) Net Prft / Max Strategy Drawdown (939.13%) Select Net Prft / Largest Loss (7701.22%) Select Net Prft / Max Trade Drawdown (897.02%) Select Net Prft / Max Strategy Drawdown (562.83%) Adj Net Prft / Largest Loss (10566.23%) Adj Net Prft / Max Trade Drawdown (1230.73%) Adj Net Prft / Max Strategy Drawdown (772.22%)

Time Analysis
Trading Period 3 Yrs, 4 Dys Time in the Market 10 Mths, 7 Dys Percent in the Market 28.01% Longest flat period 24 Dys Max Run-up Date 05/03/2007 Max Drawdown Date 09/03/2004 Max Strategy Drawdown Date 12/08/2004 Max Close To Close Drawdown Date 09/11/2006

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 271 126 145 Total # of Open Trades 0 0 0 Number Winning Trades 142 66 76 Number Losing Trades 129 60 69 Percent Profitable 52.4% 52.38% 52.41% Avg Trade (win & loss) $72.9 $64.29 $80.39 Average Winning Trade $215.03 $202.22 $226.16 Average Losing Trade ($83.55) ($87.44) ($80.16) Ratio Avg Win / Avg Loss 2.57 2.31 2.82 Largest Winning Trade $783.75 $562.5 $783.75 Largest Losing Trade ($153.75) ($150) ($153.75) Avg # Bars in Trades 1.4 1.4 1.4 Avg # Bars in Winning Trades 1.5 1.6 1.5 Avg # Bars in Losing Trades 1.3 1.3 1.4 Avg # Bars Between Trades 1.5 4.8 4 Avg # Bars Between Winning Trades 4 10.3 8.9 Avg # Bars Between Losing Trades 4.8 11.8 10

Outliers
Total Positive Negative 1 Std. Deviation of Avg. Trade $198.38 $176.1 $42.72 Avg. Trade + 1 Std. Deviation $271.28 $391.13 ($40.83) Avg. Trade - 1 Std. Deviation ($125.47) $38.93 ($126.27) Number of Outliers 49 21 28 Outlier Profit/Loss $7916.25 $11775 ($3858.75)

Run-up/Drawdown
Run-Up Drawdown Max Value $1211.25 ($1320) Max Value Date 05/03/2007 09/03/2004 Avg Value $281.45 ($438.08) Max Value (%) 2.42% (3.31%) Max Value (%) Date 20/07/2004 09/03/2004 1 Std. Deviation $239.14 $143.01 Avg + 1 Std. Deviation $520.59 ($295.06) Avg - 1 Std. Deviation $42.31 ($581.09)

Trade Series Analysis
Z-score 1.5 Confidence Limits 0.87 Strategy ME $72.9 Max Consec. Winners 6 Max Consec. Losers 6 Largest Consec. Profit $1338.75 Largest Consec. Loss ($686.25) Largest Consec. Profit (%) 2.88% Largest Consec. Loss (%) (1.16%) # 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 38 $187.94 ($70.07) 41 ($75.37) $210.05 2 19 $273.75 ($62.57) 20 ($88.22) $210.75 3 7 $183.04 ($104.46) 8 ($76.56) $186.56 4 6 $210 ($83.75) 2 ($111.09) $157.5 5 3 $184.5 ($111.25) 2 ($74.63) $339.37 6 1 $223.13 ($105) 1 ($114.37) $157.5