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 $1260 $980 $280 Gross Profit $1330 $1050 $280 Gross Loss ($70) ($70) $0 Adjusted Net Profit $422.12 $167.54 $0 Adjusted Gross Profit $562.12 $307.54 $0 Adjusted Gross Loss ($140) ($140) $0 Select Net Profit $660 $380 $280 Select Gross Profit $730 $450 $280 Select Gross Loss ($70) ($70) $0 Account Size Required $70 $70 $0 Return on Account 1800% 1400% n/a Avg Monthly Return $1280 $1280 $1280 Monthly Return StdDev $0 $0 $0 Return on Initial Capital 12.6% 9.8% 2.8% Max Strategy Drawdown ($930) ($770) ($430) Max Strategy Drawdown (%) (8.49%) (7.03%) (4.27%) Max Close To Close Drawdown ($70) ($70) $0 Max Close To Close Drawdown (%) (0.67%) (0.67%) 0% Return on Max Str Drawdown 1.35 1.27 0.65 Profit Factor 19 15 n/a Adjusted Profit Factor 4.02 2.2 n/a Select Profit Factor 10.43 6.43 n/a Max # Contracts Held 100000 100000 100000 Commission Paid $0 $0 $0 OpenPosition P/L $20 $0 $20 Annual Rate of Return 573.58% 446.11% 452.58% Monthly Rate of Return 47.8% 37.18% 37.71% Buy & Hold Return ($40.19) ($40.19) ($14.15)

Performance Ratios
Upside Potential Ratio n/a Sharpe Ratio n/a Sortino Ratio n/a Fouse Ratio 0.13 Calmar Ratio 0 Sterling Ratio 0 Net Prft / Largest Loss (1800%) Net Prft / Max Trade Drawdown (350%) Net Prft / Max Strategy Drawdown (135.48%) Select Net Prft / Largest Loss (942.86%) Select Net Prft / Max Trade Drawdown (183.33%) Select Net Prft / Max Strategy Drawdown (70.97%) Adj Net Prft / Largest Loss (603.03%) Adj Net Prft / Max Trade Drawdown (117.26%) Adj Net Prft / Max Strategy Drawdown (45.39%)

Time Analysis
Trading Period 8 Dys, 34 Mins Time in the Market 2 Dys, 9 Hrs, 55 Mins Percent in the Market 30.08% Longest flat period 8 Dys, 13 Hrs, 31 Mins Max Run-up Date 16/05/2007 Max Drawdown Date 15/05/2007 Max Strategy Drawdown Date 04/05/2007 22:06:00 Max Close To Close Drawdown Date 14/05/2007 13:02:00

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 4 3 1 Total # of Open Trades 1 0 1 Number Winning Trades 3 2 1 Number Losing Trades 1 1 0 Percent Profitable 75% 66.67% 100% Avg Trade (win & loss) $315 $326.67 $280 Average Winning Trade $443.33 $525 $280 Average Losing Trade ($70) ($70) n/a Ratio Avg Win / Avg Loss 6.33 7.5 n/a Largest Winning Trade $600 $600 $280 Largest Losing Trade ($70) ($70) n/a Avg # Bars in Trades 52 62 22 Avg # Bars in Winning Trades 47.3 60 22 Avg # Bars in Losing Trades 66 66 n/a Avg # Bars Between Trades 223 304.7 1078 Avg # Bars Between Winning Trades 319.3 490 1078 Avg # Bars Between Losing Trades 1034 1034 n/a

Outliers
Total Positive Negative 1 Std. Deviation of Avg. Trade $249.45 $130.72 $0 Avg. Trade + 1 Std. Deviation $564.45 $574.06 ($70) Avg. Trade - 1 Std. Deviation $65.55 $312.61 ($70) Number of Outliers 1 1 0 Outlier Profit/Loss $600 $600 $0

Run-up/Drawdown
Run-Up Drawdown Max Value $1100 ($360) Max Value Date 16/05/2007 15/05/2007 Avg Value $725 ($202.5) Max Value (%) 10.32% (3.47%) Max Value (%) Date 15/05/2007 15/05/2007 1 Std. Deviation $304.67 $96.01 Avg + 1 Std. Deviation $1029.67 ($106.49) Avg - 1 Std. Deviation $420.33 ($298.51)

Trade Series Analysis
Z-score 2 Confidence Limits n/a Strategy ME $315 Max Consec. Winners 2 Max Consec. Losers 1 Largest Consec. Profit $880 Largest Consec. Loss ($70) Largest Consec. Profit (%) 8.48% Largest Consec. Loss (%) (0.67%) # 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 1 $450 ($70) 1 ($70) $280 2 1 $440 $0

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.

Daily Trading Summary

Daily Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 17/05/2007 $20 0.18% $20 $0 1 100% 16/05/2007 ($300) (2.6%) $0 ($300) 1 0% 15/05/2007 $1180 11.37% $1180 $0 2 100% 14/05/2007 ($190) (1.8%) $0 ($190) 1 0% 13/05/2007 $120 1.15% $120 $0 1 100% 12/05/2007 $0 0% $0 $0 0 n/a 11/05/2007 $0 0% $0 $0 0 n/a 10/05/2007 $0 0% $0 $0 0 n/a 09/05/2007 $450 4.5% $450 $0 1 100%

Daily Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable Today - 17/05/2007 $20 0.18% $20 $0 1 100% 16/05/2007 - 17/05/2007 ($280) (2.42%) $20 ($300) 2 50% 15/05/2007 - 17/05/2007 $900 8.67% $900 $0 3 100% 14/05/2007 - 17/05/2007 $710 6.72% $900 ($190) 4 75% 13/05/2007 - 17/05/2007 $830 7.94% $900 ($70) 4 75% 12/05/2007 - 17/05/2007 $830 7.94% $900 ($70) 4 75% 11/05/2007 - 17/05/2007 $830 7.94% $900 ($70) 4 75% 10/05/2007 - 17/05/2007 $830 7.94% $900 ($70) 4 75% 09/05/2007 - 17/05/2007 $1280 12.8% $1350 ($70) 5 80%

Monthly Trading Summary

Monthly Analysis Period Average Profit Gross Profit Gross Loss Profit Factor Average # Trades % Profitable May $1280 $1280 $0 n/a 5 80%

Monthly Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 05/07 $1280 12.8% $1350 ($70) 5 80%

Monthly Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable Today - 05/07 $1280 12.8% $1350 ($70) 5 80%

Annual Trading Summary

Annual Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 2007 $1280 12.8% $1350 ($70) 5 80%

Annual Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable Today - 2007 $1280 12.8% $1350 ($70) 5 80%