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 $2760 $1110 $1650 Gross Profit $4020 $1730 $2290 Gross Loss ($1260) ($620) ($640) Adjusted Net Profit $1305.71 $178.85 $523.18 Adjusted Gross Profit $2945.61 $1076.12 $1424.46 Adjusted Gross Loss ($1639.9) ($897.27) ($901.28) Select Net Profit $2210 $1400 $810 Select Gross Profit $2940 $1730 $1210 Select Gross Loss ($730) ($330) ($400) Account Size Required $390 $480 $240 Return on Account 707.69% 231.25% 687.5% Avg Monthly Return $1380 $1380 $1380 Monthly Return StdDev $560 $560 $560 Return on Initial Capital 27.6% 11.1% 16.5% Max Strategy Drawdown ($1340) ($690) ($1200) Max Strategy Drawdown (%) (10.63%) (5.93%) (10.79%) Max Close To Close Drawdown ($390) ($480) ($240) Max Close To Close Drawdown (%) (3.29%) (4.18%) (2.29%) Return on Max Str Drawdown 2.06 1.61 1.38 Profit Factor 3.19 2.79 3.58 Adjusted Profit Factor 1.8 1.2 1.58 Select Profit Factor 4.03 5.24 3.03 Max # Contracts Held 1000 1000 1000 Commission Paid $0 $0 $0 OpenPosition P/L $0 $0 $0 Annual Rate of Return 465.32% 194.09% 278.18% Monthly Rate of Return 38.78% 16.17% 23.18% Buy & Hold Return ($100.97) $331.05 ($100.97)

Performance Ratios
Upside Potential Ratio n/a Sharpe Ratio 1.9 Sortino Ratio n/a Fouse Ratio 0.13 Calmar Ratio 0 Sterling Ratio 0 Net Prft / Largest Loss (951.72%) Net Prft / Max Trade Drawdown (836.36%) Net Prft / Max Strategy Drawdown (205.97%) Select Net Prft / Largest Loss (762.07%) Select Net Prft / Max Trade Drawdown (669.7%) Select Net Prft / Max Strategy Drawdown (164.93%) Adj Net Prft / Largest Loss (450.24%) Adj Net Prft / Max Trade Drawdown (395.67%) Adj Net Prft / Max Strategy Drawdown (97.44%)

Time Analysis
Trading Period 21 Dys, 15 Hrs, 57 Mins Time in the Market 21 Dys, 11 Hrs, 24 Mins Percent in the Market 99.12% Longest flat period 4 Hrs, 54 Mins Max Run-up Date 16/05/2007 Max Drawdown Date 08/05/2007 Max Strategy Drawdown Date 09/05/2007 15:24:00 Max Close To Close Drawdown Date 08/05/2007 23:41:00

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 25 12 13 Total # of Open Trades 0 0 0 Number Winning Trades 14 7 7 Number Losing Trades 11 5 6 Percent Profitable 56% 58.33% 53.85% Avg Trade (win & loss) $110.4 $92.5 $126.92 Average Winning Trade $287.14 $247.14 $327.14 Average Losing Trade ($114.55) ($124) ($106.67) Ratio Avg Win / Avg Loss 2.51 1.99 3.07 Largest Winning Trade $1080 $510 $1080 Largest Losing Trade ($290) ($290) ($240) Avg # Bars in Trades 41.6 34.3 48.4 Avg # Bars in Winning Trades 54.2 43.9 64.6 Avg # Bars in Losing Trades 25.5 20.8 29.5 Avg # Bars Between Trades 2.4 57.4 36.2 Avg # Bars Between Winning Trades 24.4 113.3 92.6 Avg # Bars Between Losing Trades 74.5 199.2 153.8

Outliers
Total Positive Negative 1 Std. Deviation of Avg. Trade $291.66 $273.9 $86.59 Avg. Trade + 1 Std. Deviation $402.06 $561.04 ($27.96) Avg. Trade - 1 Std. Deviation ($181.26) $13.24 ($201.13) Number of Outliers 3 1 2 Outlier Profit/Loss $550 $1080 ($530)

Run-up/Drawdown
Run-Up Drawdown Max Value $1580 ($330) Max Value Date 16/05/2007 08/05/2007 Avg Value $367.2 ($132.21) Max Value (%) 13.53% (2.78%) Max Value (%) Date 14/05/2007 08/05/2007 1 Std. Deviation $340.37 $88.13 Avg + 1 Std. Deviation $707.57 ($44.08) Avg - 1 Std. Deviation $26.83 ($220.35)

Trade Series Analysis
Z-score 1.32 Confidence Limits n/a Strategy ME $110.4 Max Consec. Winners 4 Max Consec. Losers 3 Largest Consec. Profit $1250 Largest Consec. Loss ($380) Largest Consec. Profit (%) 11.77% Largest Consec. Loss (%) (3.2%) # 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 $415 ($75) 6 ($90) $400 2 3 $185 ($143.33) 1 ($170) $170 3 1 ($126.67) $350 4 1 $312.5 ($240)

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 16/05/2007 $100 0.8% $100 $0 1 100% 15/05/2007 $660 5.56% $660 $0 1 100% 14/05/2007 $100 0.85% $320 ($220) 2 50% 13/05/2007 $0 0% $0 $0 1 0% 12/05/2007 $0 0% $0 $0 1 0% 11/05/2007 $310 2.71% $410 ($100) 4 75% 10/05/2007 $220 1.96% $460 ($240) 3 33.33% 09/05/2007 ($110) (0.97%) $0 ($110) 1 0% 08/05/2007 ($320) (2.74%) $60 ($380) 5 20% 07/05/2007 ($70) (0.6%) $170 ($240) 3 66.67% 06/05/2007 $0 0% $0 $0 1 0% 05/05/2007 $0 0% $0 $0 1 0% 04/05/2007 $20 0.17% $20 $0 1 100% 03/05/2007 $430 3.81% $480 ($50) 3 33.33% 02/05/2007 $10 0.09% $40 ($30) 2 50% 01/05/2007 $590 5.52% $590 $0 2 100% 30/04/2007 $640 6.37% $720 ($80) 4 75% 29/04/2007 $0 0% $0 $0 1 0% 28/04/2007 $0 0% $0 $0 1 0% 27/04/2007 $40 0.4% $260 ($220) 5 40%

Daily Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable Today - 16/05/2007 $100 0.8% $100 $0 1 100% 15/05/2007 - 16/05/2007 $760 6.41% $760 $0 1 100% 14/05/2007 - 16/05/2007 $860 7.31% $1080 ($220) 2 50% 13/05/2007 - 16/05/2007 $860 7.31% $1080 ($220) 2 50% 12/05/2007 - 16/05/2007 $860 7.31% $1080 ($220) 2 50% 11/05/2007 - 16/05/2007 $1170 10.22% $1330 ($160) 5 60% 10/05/2007 - 16/05/2007 $1390 12.38% $1790 ($400) 7 57.14% 09/05/2007 - 16/05/2007 $1280 11.29% $1680 ($400) 7 57.14% 08/05/2007 - 16/05/2007 $960 8.23% $1740 ($780) 11 45.45% 07/05/2007 - 16/05/2007 $890 7.59% $1910 ($1020) 13 46.15% 06/05/2007 - 16/05/2007 $890 7.59% $1910 ($1020) 13 46.15% 05/05/2007 - 16/05/2007 $890 7.59% $1910 ($1020) 13 46.15% 04/05/2007 - 16/05/2007 $910 7.77% $1910 ($1000) 13 46.15% 03/05/2007 - 16/05/2007 $1340 11.88% $2390 ($1050) 15 46.67% 02/05/2007 - 16/05/2007 $1350 11.98% $2400 ($1050) 16 50% 01/05/2007 - 16/05/2007 $1940 18.16% $2960 ($1020) 17 58.82% 30/04/2007 - 16/05/2007 $2580 25.7% $3680 ($1100) 20 60% 29/04/2007 - 16/05/2007 $2580 25.7% $3680 ($1100) 20 60% 28/04/2007 - 16/05/2007 $2580 25.7% $3680 ($1100) 20 60% 27/04/2007 - 16/05/2007 $2620 26.2% $3940 ($1320) 24 54.17%

Monthly Trading Summary

Monthly Analysis Period Average Profit Gross Profit Gross Loss Profit Factor Average # Trades % Profitable April $820 $820 $0 n/a 9 55.56% May $1940 $1940 $0 n/a 17 58.82%

Monthly Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 05/07 $1940 17.93% $2960 ($1020) 17 58.82% 04/07 $820 8.2% $1060 ($240) 9 55.56%

Monthly Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable Today - 05/07 $1940 17.93% $2960 ($1020) 17 58.82% 04/07 - 05/07 $2760 27.6% $4020 ($1260) 25 56%

Annual Trading Summary

Annual Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 2007 $2760 27.6% $4020 ($1260) 25 56%

Annual Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable Today - 2007 $2760 27.6% $4020 ($1260) 25 56%