DELL : FellowTraders MA System\Base MA System ver 2.0.55.efs

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	$5459	$1350	$4109
Gross Profit	$9870	$4090	$5780
Gross Loss	($4411)	($2740)	($1671)
Adjusted Net Profit	$1430.89	($1608.33)	$1318.17
Adjusted Gross Profit	$7020.78	$2045	$3736.46
Adjusted Gross Loss	($5589.89)	($3653.33)	($2418.29)
Select Net Profit	$1740	($1350)	$3090
Select Gross Profit	$4710	$430	$4280
Select Gross Loss	($2970)	($1780)	($1190)
Account Size Required	$1480	$1110	$481
Return on Account	368.85%	121.62%	854.26%
Avg Monthly Return	$121.31	$121.31	$121.31
Monthly Return StdDev	$545.26	$545.26	$545.26
Return on Initial Capital	54.59%	13.5%	41.09%
Max Strategy Drawdown	($2550)	($2090)	($1690)
Max Strategy Drawdown (%)	(19.2%)	(17.5%)	(13.76%)
Max Close To Close Drawdown	($1480)	($1110)	($481)
Max Close To Close Drawdown (%)	(11.62%)	(9.87%)	(4.81%)
Return on Max Str Drawdown	2.14	0.65	2.43
Profit Factor	2.24	1.49	3.46
Adjusted Profit Factor	1.26	(0.56)	1.55
Select Profit Factor	1.59	(0.24)	3.6
Max # Contracts Held	1000	1000	1000
Commission Paid	$0	$0	$0
OpenPosition P/L	$0	$0	$0
Annual Rate of Return	12.96%	3.44%	9.75%
Monthly Rate of Return	1.08%	0.29%	0.81%
Buy & Hold Return	($1120.19)	($2881.2)	($1769.74)

Performance Ratios

Upside Potential Ratio 65.46

Sharpe Ratio 0.23

Sortino Ratio 0.72

Fouse Ratio 0.01

Calmar Ratio 0

Sterling Ratio 0

Net Prft / Largest Loss (1134.93%)

Net Prft / Max Trade Drawdown (613.37%)

Net Prft / Max Strategy Drawdown (214.08%)

Select Net Prft / Largest Loss (361.75%)

Select Net Prft / Max Trade Drawdown (195.51%)

Select Net Prft / Max Strategy Drawdown (68.24%)

Adj Net Prft / Largest Loss (297.48%)

Adj Net Prft / Max Trade Drawdown (160.77%)

Adj Net Prft / Max Strategy Drawdown (56.11%)

Time Analysis

Trading Period 4 Yrs, 2 Mths, 22 Dys

Time in the Market 2 Mths, 24 Dys

Percent in the Market 5.46%

Longest flat period 6 Mths, 1 Dy

Max Run-up Date 09/11/2004

Max Drawdown Date 13/06/2003

Max Strategy Drawdown Date 04/06/2004

Max Close To Close Drawdown Date 30/07/2004

Total Trade Analysis

	All Trades	Long Trades	Short Trades
Total # of Trades	27	14	13
Total # of Open Trades	0	0	0
Number Winning Trades	12	4	8
Number Losing Trades	14	9	5
Percent Profitable	44.44%	28.57%	61.54%
Avg Trade (win & loss)	$202.19	$96.43	$316.08
Average Winning Trade	$822.5	$1022.5	$722.5
Average Losing Trade	($315.07)	($304.44)	($334.2)
Ratio Avg Win / Avg Loss	2.61	3.36	2.16
Largest Winning Trade	$1850	$1850	$1500
Largest Losing Trade	($481)	($480)	($481)
Avg # Bars in Trades	3.3	3.2	3.3
Avg # Bars in Winning Trades	4.6	5.5	4.1
Avg # Bars in Losing Trades	2.2	2.3	2
Avg # Bars Between Trades	37.6	75.6	81.6
Avg # Bars Between Winning Trades	87.4	270.5	133.9
Avg # Bars Between Losing Trades	76.6	120.3	218.8

Outliers

Total
Positive
Negative

1 Std. Deviation of Avg. Trade $686.82 $584.32 $129.58

Avg. Trade + 1 Std. Deviation $889 $1406.82 ($185.49)

Avg. Trade - 1 Std. Deviation ($484.63) $238.18 ($444.65)

Number of Outliers 6 3 3

Outlier Profit/Loss $3719 $5160 ($1441)

Run-up/Drawdown

Run-Up
Drawdown

Max Value $2550 ($890)

Max Value Date 09/11/2004 13/06/2003

Avg Value $795.59 ($528.52)

Max Value (%) 23.27% (9.35%)

Max Value (%) Date 06/02/2004 12/06/2003

1 Std. Deviation $694.53 $225.3

Avg + 1 Std. Deviation $1490.12 ($303.22)

Avg - 1 Std. Deviation $101.06 ($753.82)

Trade Series Analysis

Z-score 0.07

Confidence Limits n/a

Strategy ME $202.19

Max Consec. Winners 3

Max Consec. Losers 4

Largest Consec. Profit $3470

Largest Consec. Loss ($1480)

Largest Consec. Profit (%) 30.82%

Largest Consec. Loss (%) (11.62%)

# 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 3 $646.67 ($323.33) 4 ($362.5) $940

2 3 $743.33 ($230) 1 ($335.5) $470

3 1 $1156.67 $0

4 2 ($286.25) $1120

Trade #	Order #	Type	Signal	Date	Time	Price	Contracts	Profit Profit (%)	Cum. Profit Cum. Profit (%)	Run-up Run-up (%)	Drawdown Drawdown (%)
1	1	EntryShort	ShortTrigger	26/02/2003	00:00	25.71	1000	($481) (4.81%)	($481) (4.81%)	$19 0.19%	($840) (8.4%)
1	2	ExitShort	StoppedOut	27/02/2003	00:00	26.19	1000	($481) (4.81%)	($481) (4.81%)	$19 0.19%	($840) (8.4%)
2	3	EntryLong	BuyTrigger	12/06/2003	00:00	32.07	1000	($190) (2%)	($671) (6.71%)	$330 3.47%	($890) (9.35%)
2	4	ExitLong	StoppedOut	13/06/2003	00:00	31.88	1000	($190) (2%)	($671) (6.71%)	$330 3.47%	($890) (9.35%)
3	5	EntryShort	ShortTrigger	20/06/2003	00:00	32.12	1000	$470 5.04%	($201) (2.01%)	$970 10.4%	($480) (5.15%)
3	6	ExitShort	StoppedOut	24/06/2003	00:00	31.65	1000	$470 5.04%	($201) (2.01%)	$970 10.4%	($480) (5.15%)
4	7	EntryLong	BuyTrigger	11/08/2003	00:00	31.47	1000	($370) (3.78%)	($571) (5.71%)	$372 3.8%	($660) (6.74%)
4	8	ExitLong	StoppedOut	12/08/2003	00:00	31.1	1000	($370) (3.78%)	($571) (5.71%)	$372 3.8%	($660) (6.74%)
5	9	EntryShort	ShortTrigger	08/09/2003	00:00	34.01	1000	$730 7.74%	$159 1.59%	$1240 13.15%	($300) (3.18%)
5	10	ExitShort	StoppedOut	11/09/2003	00:00	33.28	1000	$730 7.74%	$159 1.59%	$1240 13.15%	($300) (3.18%)
6	11	EntryShort	ShortTrigger	13/01/2004	00:00	35.3	1000	($230) (2.26%)	($71) (0.71%)	$270 2.66%	($850) (8.37%)
6	12	ExitShort	StoppedOut	14/01/2004	00:00	35.53	1000	($230) (2.26%)	($71) (0.71%)	$270 2.66%	($850) (8.37%)
7	13	EntryLong	BuyTrigger	06/02/2004	00:00	32.78	1000	$1810 18.23%	$1739 17.39%	$2310 23.27%	($690) (6.95%)
7	14	ExitLong	StoppedOut	17/02/2004	00:00	34.59	1000	$1810 18.23%	$1739 17.39%	$2310 23.27%	($690) (6.95%)
8	15	EntryShort	ShortTrigger	05/03/2004	00:00	32.68	1000	$1000 8.52%	$2739 27.39%	$1540 13.12%	($340) (2.9%)
8	16	ExitShort	StoppedOut	09/03/2004	00:00	31.68	1000	$1000 8.52%	$2739 27.39%	$1540 13.12%	($340) (2.9%)
9	17	EntryLong	BuyTrigger	15/03/2004	00:00	33.21	1000	($210) (1.65%)	$2529 25.29%	$290 2.28%	($440) (3.45%)
9	18	ExitLong	StoppedOut	16/03/2004	00:00	33	1000	($210) (1.65%)	$2529 25.29%	$290 2.28%	($440) (3.45%)
10	19	EntryLong	BuyTrigger	24/05/2004	00:00	34.77	1000	($420) (3.35%)	$2109 21.09%	$730 5.83%	($500) (3.99%)
10	20	ExitLong	StoppedOut	25/05/2004	00:00	34.35	1000	($420) (3.35%)	$2109 21.09%	$730 5.83%	($500) (3.99%)
11	21	EntryShort	ShortTrigger	12/07/2004	00:00	35.19	1000	($370) (3.06%)	$1739 17.39%	$790 6.52%	($460) (3.8%)
11	22	ExitShort	StoppedOut	13/07/2004	00:00	35.56	1000	($370) (3.06%)	$1739 17.39%	$790 6.52%	($460) (3.8%)
12	23	EntryLong	BuyTrigger	29/07/2004	00:00	35.77	1000	($480) (4.09%)	$1259 12.59%	$30 0.26%	($580) (4.94%)
12	24	ExitLong	StoppedOut	30/07/2004	00:00	35.29	1000	($480) (4.09%)	$1259 12.59%	$30 0.26%	($580) (4.94%)
13	25	EntryShort	ShortTrigger	05/08/2004	00:00	34.97	1000	$1500 13.32%	$2759 27.59%	$2260 20.07%	($530) (4.71%)
13	26	ExitShort	StoppedOut	12/08/2004	00:00	33.47	1000	$1500 13.32%	$2759 27.59%	$2260 20.07%	($530) (4.71%)
14	27	EntryShort	ShortTrigger	20/10/2004	00:00	35.67	1000	$120 0.94%	$2879 28.79%	$710 5.56%	($90) (0.71%)
14	28	ExitShort	StoppedOut	22/10/2004	00:00	35.55	1000	$120 0.94%	$2879 28.79%	$710 5.56%	($90) (0.71%)
15	29	EntryLong	BuyTrigger	01/11/2004	00:00	35.25	1000	$1850 14.36%	$4729 47.29%	$2550 19.8%	($430) (3.34%)
15	30	ExitLong	StoppedOut	10/11/2004	00:00	37.1	1000	$1850 14.36%	$4729 47.29%	$2550 19.8%	($430) (3.34%)
16	31	EntryLong	BuyTrigger	10/01/2005	00:00	40.66	1000	$0 0%	$4729 47.29%	$540 3.67%	($650) (4.41%)
16	32	ExitLong	StoppedOut	11/01/2005	00:00	40.66	1000	$0 0%	$4729 47.29%	$540 3.67%	($650) (4.41%)
17	33	EntryShort	ShortTrigger	08/02/2005	00:00	41.19	1000	($220) (1.49%)	$4509 45.09%	$310 2.1%	($640) (4.35%)
17	34	ExitShort	StoppedOut	09/02/2005	00:00	41.41	1000	($220) (1.49%)	$4509 45.09%	$310 2.1%	($640) (4.35%)
18	35	EntryLong	BuyTrigger	02/03/2005	00:00	40.54	1000	($310) (2.14%)	$4199 41.99%	$210 1.45%	($590) (4.07%)
18	36	ExitLong	StoppedOut	03/03/2005	00:00	40.23	1000	($310) (2.14%)	$4199 41.99%	$210 1.45%	($590) (4.07%)
19	37	EntryLong	BuyTrigger	28/06/2005	00:00	39.69	1000	($260) (1.83%)	$3939 39.39%	$290 2.04%	($630) (4.44%)
19	38	ExitLong	StoppedOut	30/06/2005	00:00	39.43	1000	($260) (1.83%)	$3939 39.39%	$290 2.04%	($630) (4.44%)
20	39	EntryLong	BuyTrigger	16/08/2005	00:00	36.65	1000	($20) (0.14%)	$3919 39.19%	$480 3.44%	($290) (2.08%)
20	40	ExitLong	StoppedOut	19/08/2005	00:00	36.63	1000	($20) (0.14%)	$3919 39.19%	$480 3.44%	($290) (2.08%)
21	41	EntryShort	ShortTrigger	21/02/2006	00:00	30.12	1000	$740 5.32%	$4659 46.59%	$1240 8.91%	($110) (0.79%)
21	42	ExitShort	StoppedOut	27/02/2006	00:00	29.38	1000	$740 5.32%	$4659 46.59%	$1240 8.91%	($110) (0.79%)
22	43	EntryShort	ShortTrigger	28/03/2006	00:00	29.78	1000	($370) (2.52%)	$4289 42.89%	$130 0.89%	($820) (5.59%)
22	44	ExitShort	StoppedOut	29/03/2006	00:00	30.15	1000	($370) (2.52%)	$4289 42.89%	$130 0.89%	($820) (5.59%)
23	45	EntryShort	ShortTrigger	14/06/2006	00:00	24.83	1000	$800 5.6%	$5089 50.89%	$1300 9.1%	($500) (3.5%)
23	46	ExitShort	StoppedOut	21/06/2006	00:00	24.03	1000	$800 5.6%	$5089 50.89%	$1300 9.1%	($500) (3.5%)
24	47	EntryLong	BuyTrigger	29/06/2006	00:00	23.99	1000	$360 2.39%	$5449 54.49%	$860 5.7%	($70) (0.46%)
24	48	ExitLong	StoppedOut	03/07/2006	00:00	24.35	1000	$360 2.39%	$5449 54.49%	$860 5.7%	($70) (0.46%)
25	49	EntryLong	BuyTrigger	05/09/2006	00:00	22.86	1000	($480) (3.11%)	$4969 49.69%	$20 0.13%	($810) (5.24%)
25	50	ExitLong	StoppedOut	06/09/2006	00:00	22.38	1000	($480) (3.11%)	$4969 49.69%	$20 0.13%	($810) (5.24%)
26	51	EntryShort	ShortTrigger	08/09/2006	00:00	21.58	1000	$420 2.81%	$5389 53.89%	$1060 7.08%	($400) (2.67%)
26	52	ExitShort	StoppedOut	12/09/2006	00:00	21.16	1000	$420 2.81%	$5389 53.89%	$1060 7.08%	($400) (2.67%)
27	53	EntryLong	BuyTrigger	28/09/2006	00:00	22.76	1000	$70 0.45%	$5459 54.59%	$630 4.09%	($680) (4.42%)
27	54	ExitLong	StoppedOut	03/10/2006	00:00	22.83	1000	$70 0.45%	$5459 54.59%	$630 4.09%	($680) (4.42%)