| Trading Performance |
 |
| RAR % | 3.64% |
| R-Cubed | + ∞ |
| Average Max Drawdown % | 0.00% |
| Average Max Drawdown Length | 0.00 |
| Robust Sharpe Ratio | 6.67 |
|
| CAGR % | 3.95% |
| Maximum Total Equity Drawdown % | 0.00% |
| MAR Ratio | + ∞ |
|
| Margin to Equity Ratio | 0.05% |
| Daily Return % | 0.0148% |
| Daily Geometric Return % | 0.0148% |
| Daily Standard Deviation % | 0.01% |
| Daily Downside Deviation % | 0.00% |
| Daily Sharpe % | 0.56 |
| Daily Sortino % | + ∞ |
|
| Modified Sharpe Ratio | 7.06 |
| Annual Sharpe Ratio | 0.51 |
| Annual Sortino Ratio | + ∞ |
| Monthly Sharpe Ratio | 0.47 |
| Monthly Sortino Ratio | + ∞ |
| Calmar Ratio | + ∞ |
| R-Squared | 0.942 |
|
| Longest Total Equity Drawdown (months) | 0.00 |
| Maximum Monthly Total Equity Drawdown % | 0.00% |
| Maximum Monthly Closed Equity Drawdown % | 0.00% |
| Maximum Closed Equity Drawdown % | 0.00% |
| Average Closed Equity Drawdown % | 0.00% |
|
| Round Turns Per Million | 28 |
| Round Turns | 83 |
| Total Trades | 83 |
|
| Start Account Balance | 250,000.00 |
| Total Win Dollars | 229.11 |
| Total Loss Dollars | 156.33 |
| Total Profit | 72.78 |
| Earned Interest | 137,679.60 |
| Margin Interest | 0.00 |
| End Account Balance | 387,752.38 |
| End Open Equity | 0.00 |
| End Total Equity | 387,752.38 |
|
| Highest Total Equity | 387,701.24 |
| Highest Closed Equity | 387,752.40 |
|
| Total Commissions | 0.83 |
| Commission per Round Turn | 0.01 |
| Total Slippage | 5.51 |
| Slippage per Round Turn | 0.07 |
| Total Forex Carry | 0.00 |
| Total Dividends | 18.63 |
| Total Other Expenses | 0.00 |
| |
| Monte Carlo Confidence Level Statistics |
|
| 90% Return | 3.45% |
| 90% Sharpe | -1.65 |
| 90% MAR | 0.00 |
| 90% R Squared | 0.989 |
| 90% Maximum Drawdown | 0.00% |
| 90% Second Largest Drawdown | 0.00% |
| 90% Third Largest Drawdown | 0.00% |
| 90% Longest Drawdown | 0.0 |
| 90% Second Longest Drawdown | 0.0 |
| 90% Third Longest Drawdown | 0.0 |
| |
| Test Period |
|
| First Test Date | 1996-01-01 |
| Last Test Date | 2007-05-18 |
| |
| |
| Win/Loss Statistics |
|
| Wins | 12 | 14.5% |
| Losses | 71 | 85.5% |
 |
| Total | 83 | 100.0% |
|
| Winning Months | 137 | 100.0% |
| Losing Months | 0 | 0.0% |
|
| Total | 137 | 100.0% |
|
| Average Risk Percent | 0.00% |
| Average Win Percent | 0.01% |
| Average Loss Percent | 0.00% |
| Average Win Dollars | 19.09 |
| Average Loss Dollars | 2.20 |
| Average Trade Percent | 0.00% |
| Average Trade Dollars | 0.88 |
|
| Profit Factor | 1.47 |
| Percent Profit Factor | 1.55 |
| Expectation | 0.46 |
| | |
| Equity Management |
|
|
| Test Starting Equity | 250,000.00 |
| Leverage (fraction) | 1.00 |
| Trading Equity Base | Total Equity |
| Drawdown Reduction Threshold (%) | 100.00% |
| Drawdown Reduction Amount (%) | 0.00% |
| |
| Global Simulation Parameters |
|
| Earn Interest | TRUE |
| Pay Margin on Stocks | TRUE |
| Risk Free Rate | 3.00% |
| Commission per Trade | 0.00 |
| Commission per Share | 0.01 |
| Commission per Contract | 12.50 |
| Slippage Percent | 5.00% |
| Minimum Slippage | 0.00 |
|
| Account for Contract Rolls | FALSE |
|
| Minimum Stock Volume | 10,000 |
| Minimum Futures Volume | 1,000 |
| Max Percent Market Per Trade | 25.00% |
| Entry Day Retracement | 0.00% |
| Max Margin Equity | 100.00% |
| Trade on Lock Days | FALSE |
| Convert Profit by Stock Split | TRUE |
| Trade Always on Tick | TRUE |
| Shift Test Start | 0 |
| Shift Test Duration | 0 |
| |
| |
