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 |
| |
| |