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Strategy Performance Summary
All Trades Long Trades
Net Profit 29800 16977.5
Gross Profit 49572.5 26127.5
Gross Loss -19772.5 -9150
Adjusted Net Profit 19189.30164 9361.096084Adjusted Gross Profit 42012.76462 20557.09828
Adjusted Gross Loss -22823.46299 -11196.0022
Select Net Profit 6292.5 5795
Select Gross Profit 17967.5 10325
Select Gross Loss -11675 -4530
Account Size Required 2030 1617.5
Return on Account 733.9901478 524.8068006
Return on Initial Capital 198.6666667 113.1833333
Max Strategy Drawdown -3055 -3097.5
Max Strategy Drawdown (%) -16.77251732 -14.69845722
Max Close To Close Drawdown -2030 -1617.5
Max Close To Close Drawdown (%) -13.05676154 -9.383611313
Return on Max Strategy Drawdown 9.754500818 5.481033091
Profit Factor 2.50714376 2.855464481
Adjusted Profit Factor 1.840770818 1.836110597
Select Profit Factor 1.538972163 2.279249448
Max # Contracts Held 1 1
Slippage Paid 4275 2125
Commission Paid 427.5 212.5
Open Position P/L -327.5 -327.5
Annual Rate of Return 429.3404006 252.3148579
Monthly Rate of Return 35.77836672 21.02623816
Buy & Hold Return -226.0111023 -310.4671792
Avg Monthly Return 4210.357143
Monthly Return StdDev 4105.464201
Performance Ratios
Upside Potential Ratio n/a
Sharpe Ratio 0.797599553
Sortino Ratio 198.8438696
Fouse Ratio 0.184849761Calmar Ratio 0.002109236
Sterling Ratio 0.001853538
Net Profit / Largest loss -2374.501992
Net Profit / Max Trade Drawdown -2427.698574
Net Profit / Max Strategy Drawdown -975.4500818
Select Net Profit / Largest loss -501.3944223
Select Net Profit / Max Trade Drawdown -512.6272912
Select Net Profit / Max Strategy Drawdown -205.9738134
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Adj Net Profit / Largest loss -1529.028019
Adj Net Profit / Max Trade Drawdown -1563.283229
Adj Net Profit / Max Strategy Drawdown -628.1277131
Time Analysis
Trading Period 5 Mths, 19 Dys, 15 Mins
Time in the Market 3 Mths, 29 Dys, 22 Hrs, 30 Mins
Percent in the Market 70.96456086
Longest flat period 2 Mths, 15 Dys, 17 Hrs
Max Run-up Date 7/1/2011
Max Drawdown Date 8/5/2011
Max Strategy Drawdown Date 8/8/2011 10:15
Max Close To Close Drawdown Date 6/28/2011 8:15
Equity Curve Detailed
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Equity Curve Detailed with DrawDown
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Equity Run-up & Drawdown
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Equity Run-up & Drawdown (%)
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Equity Curve Close To Close
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Equity Curve Close To Close With Drawdown
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Buy & Hold Return
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Value Added Monthly Index
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Short Trades
12822.5
23445
-10622.5
5441.656954
18328.88156
-12887.22461
497.5
7642.5
-7145
1535
417.6710098
85.48333333
-3055
-16.78571429
-1535
-9.75
4.197217676
2.207107555
1.422252046
1.069629111
1
2150
215
n/a
184.7388351
15.39490293
-226.0111023
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Total Trade Analysis
All Trades Long Trades
Total # of Trades 85 42
Total # of Open Trades 1 1
Number Winning Trades 43 22
Number Losing Trades42 20
% Profitable 50.58823529 52.38095238
Avg Trade (win & loss) 350.5882353 404.2261905
Average Winning Trade 1152.848837 1187.613636
Average Losing Trade -470.7738095 -457.5
Ratio Avg Win / Avg Loss 2.448838091 2.595876801
Largest Winning Trade 2257.5 2257.5
Largest Losing Trade -1255 -1255
Avg # Bars in Trades 83.6 114.3
Avg # Bars in Winning Trades 120.9 157.8
Avg # Bars in Losing Trades 45.3 66.5
Avg # Bars Between Trades n/a n/a
Avg # Bars Between Winning Trades 110.8 295.2
Avg # Bars Between Losing Trades 192 431.8
Outliers
Total Positive
1 Std. Deviation of Avg. Trade 1050.932313 858.106578
Avg. Trade +1 Std. Deviation 1401.520549 2010.955415
Avg. Trade - 1 Std. Deviation -700.3440781 294.7422592
Number of Outliers 21 14Outlier Profit/Loss 23507.5 31605
Run-up/Drawdown
Run-up Drawdown
Max Value 2285 -1227.5
Max Value Date 7/1/2011 8/5/2011
Avg Value 1051.627907 -432.877907
Max Value (%) 4.035320088 -2.247139588
Max Value (%) Date 8/23/2011 8/9/2011
Avg Value (%) 1.751496038 -0.719753883
1 Std. Deviation 798.3640228 335.8403677
Avg. Trade +1 Std. Deviation 1849.99193 -97.03753929
Avg. Trade - 1 Std. Deviation 253.2638842 -768.7182747
Trade Series Analysis
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Z-score 2.402187121
Confidence Limits 0.983702655
Strategy ME 350.5882353
Max Consec. Winners 6
Max Consec. Losers 6
Largest Consec. Profit 4782.5Largest Consec. Loss -2030
Largest Consec. Profit (%) 16.84793976
Largest Consec. Loss (%) -13.05676154
Trade Series Statistics
Consecutive Winners Number of Series Avg. Gain per Series
1 19 1359.473684
2 4 1166.875
3 2 1128.333333
4 1 713.75
6 1 797.0833333
Consecutive Losers Number of Series Avg. Loss per Series
1 18 -586.9444444
2 6 -398.75
3 2 -398.75
6 1 -338.3333333
Total Trades
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Winning Trades
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Losing Trades
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Drawdown
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Drawdown P/L
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Maximum Adverse Excursion
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Maximum Adverse Excursion (%)
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Run-up
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Run-up P/L
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Maximum Favorable Excursion
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Maximum Favorable Excursion (%)
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Short Trades
43
0
21
22
48.8372093
298.1976744
1116.428571
-482.8409091
2.312207914
2257.5
-1255
53.5
82.3
26
n/a
392.2
426.9
Negative
377.33076
-93.44304949
-848.1045696
7-8097.5
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Avg. Loss Next Trade
-554.7368421
-845.625
-142.5
-530
-742.5
Avg. Gain Next Trade
1445
1026.25
1363.75
2257.5
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Daily Period Analysis
Period Profit ($) Profit (%) Gross Profit
12/1/2011 -37.5 -0.08425073 0
11/30/2011 1967.5 4.624786978 2257.5
11/29/2011 -427.5 -0.994880149 0
11/28/2011757.5 1.794492153 757.5
11/27/2011 -2.5 -0.005922066 0
11/25/2011 -202.5 -0.477397301 0
11/24/2011 -180 -0.422560009 172.5
11/23/2011 262.5 0.620054329 262.5
11/22/2011 722.5 1.736257134 722.5
11/21/2011 472.5 1.148517258 472.5
11/20/2011 437.5 1.074872551 437.5
11/19/2011 0 0 0
11/18/2011 -342.5 -0.834449994 97.5
11/17/2011 1225 3.076343546 1225
11/16/2011 345 0.873970868 345
11/15/2011 -525 -1.3125 0
11/14/2011 -825 -2.020820576 0
11/13/2011 262.5 0.647149461 262.5
11/12/2011 0 0 0
11/11/2011 710 1.781569538 710
11/10/2011 -252.5 -0.629597307 0
11/9/2011 532.5 1.345631436 1310
11/8/2011 875 2.26112798 875
11/7/2011 150 0.389130294 150
11/6/2011 -137.5 -0.355434923 0
11/5/2011 0 0 0
11/4/2011 -137.5 -0.354176058 0
11/3/2011 1787.5 4.826515458 1787.5
11/2/2011 -952.5 -2.507403751 0
11/1/2011 1160 3.149820107 1160
10/31/2011 645 1.782629724 1097.5
10/30/2011 -537.5 -1.463779956 0
10/29/2011 0 0 0
10/28/2011 262.5 0.720016458 262.5
10/27/2011 1107.5 3.132956153 1107.5
10/26/2011 -60 -0.16944366 510
10/25/2011 -675 -1.870583345 010/24/2011 312.5 0.873576071 312.5
10/23/2011 150 0.421082181 150
10/22/2011 0 0 0
10/21/2011 1112.5 3.223703274 1112.5
10/20/2011 -65 -0.187997108 0
10/19/2011 -742.5 -2.102357188 0
10/18/2011 -102.5 -0.289384529 0
10/17/2011 -617.5 -1.713492889 472.5
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10/16/2011 350 0.980735552 350
10/15/2011 0 0 0
10/14/2011 1087.5 3.143063584 1087.5
10/13/2011 -90 -0.259440761 0
10/12/2011 760 2.239905688 760
10/11/2011 -277.5 -0.811225608 0
10/10/2011 1072.5 3.236758714 1072.510/9/2011 662.5 2.040187851 662.5
10/8/2011 0 0 0
10/7/2011 -112.5 -0.345250882 0
10/6/2011 832.5 2.6218408 832.5
10/5/2011 1100 3.588614306 1100
10/4/2011 -27.5 -0.089634941 0
10/3/2011 -652.5 -2.082502194 0
10/2/2011 175 0.561662521 175
10/1/2011 0 0 0
9/30/2011 622.5 2.038644179 622.5
9/29/2011 -17.5 -0.057278455 0
9/28/2011 -1255 -3.945610312 0
9/27/2011 1047.5 3.405396619 1047.5
9/26/2011 1500 5.126452495 1500
9/25/2011 -290 -0.981387479 0
9/23/2011 -667.5 -2.20898486 0
9/22/2011 685 2.319478541 685
9/21/2011 1572.5 5.624105866 1572.5
9/20/2011 -130 -0.462798149 0
9/19/2011 -630 -2.193593315 0
9/18/2011 -765 -2.594539596 09/17/2011 0 0 0
9/16/2011 300 1.027925304 300
9/15/2011 1375 4.944264653 1375
9/14/2011 1132.5 4.245150408 1385
9/13/2011 -1032.5 -3.726091664 0
9/12/2011 -302.5 -1.079875056 0
9/11/2011 562.5 2.049180328 562.5
9/10/2011 0 0 0
9/9/2011 95 0.347285688 772.5
9/8/2011 -680 -2.425539504 0
9/7/2011 1262.5 4.715659725 1262.59/6/2011 610 2.331581462 610
9/5/2011 1147.5 4.587247651 1147.5
9/4/2011 400 1.625025391 400
9/3/2011 0 0 0
9/2/2011 420 1.735895846 710
9/1/2011 -1225 -4.819040126 0
8/31/2011 260 1.033386328 260
8/30/2011 335 1.349446123 335
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8/29/2011 962.5 4.033525406 962.5
8/28/2011 550 2.35924933 550
8/27/2011 0 0 0
8/26/2011 -307.5 -1.301862828 410
8/25/2011 722.5 3.155366306 722.5
8/24/2011 787.5 3.561736771 787.5
8/23/2011 252.5 1.155209882 782.58/22/2011 305 1.415149055 305
8/19/2011 -2.5 -0.011598237 0
8/18/2011 2070 10.62355658 2070
8/17/2011 340 1.775920606 957.5
8/16/2011 -187.5 -0.969869391 0
8/15/2011 437.5 2.315427362 437.5
8/14/2011 387.5 2.093745779 387.5
8/13/2011 0 0 0
8/12/2011 1000 5.711837784 1000
8/11/2011 -167.5 -0.947666195 110
8/10/2011 -1055 -5.632674853 0
8/9/2011 -262.5 -1.382124523 992.5
8/8/2011 2257.5 13.48969226 2257.5
8/5/2011 -907.5 -5.143828822 347.5
8/4/2011 1910 12.14047354 1910
8/3/2011 -745 -4.521316947 222.5
8/2/2011 1312.5 8.65479723 1312.5
8/1/2011 -205 -1.333767079 722.5
7/31/2011 72.5 0.473933649 72.5
7/29/2011 -742.5 -4.629052369 0
7/28/2011 -302.5 -1.851001989 07/27/2011 772.5 4.961464355 772.5
7/26/2011 -307.5 -1.936702881 0
7/25/2011 -317.5 -1.96048163 22.5
7/24/2011 -655 -3.887240356 0
7/23/2011 0 0 0
7/22/2011 -237.5 -1.389904901 0
7/21/2011 1125 7.047768207 1125
7/20/2011 -510 -3.096069206 0
7/19/2011 772.5 4.920382166 772.5
7/18/2011 -130 -0.821225521 0
7/15/2011 -432.5 -2.659492698 07/14/2011 -360 -2.165739209 272.5
7/13/2011 217.5 1.3258153 460
7/12/2011 -240 -1.441874437 0
7/11/2011 1262.5 8.207378515 1262.5
7/10/2011 375 2.498750625 375
7/9/2011 0 0 0
7/8/2011 -1030 -6.422447389 0
7/7/2011 400 2.557953637 400
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7/6/2011 -142.5 -0.903041825 360
7/5/2011 -67.5 -0.42593469 160
7/4/2011 72.5 0.459587956 72.5
7/1/2011 760 5.061605062 760
6/30/2011 350 2.386634845 350
6/29/2011 712.5 5.106611718 712.5
6/28/2011 -125 -0.887941751 4356/27/2011 -677.5 -4.591663843 0
6/26/2011 175 1.200274348 175
6/25/2011 0 0 0
6/24/2011 -605 -3.984194929 185
6/23/2011 -145 -0.945857795 297.5
6/22/2011 -165 -1.064859632 0
6/21/2011 795 5.408163265 847.5
6/20/2011 -342.5 -2.276882167 0
6/19/2011 110 0.73664825 110
6/16/2011 -190 -1.256406018 0
6/15/2011 122.5 0.816666667 122.5
Daily Rolling Period Analysis
Period Profit ($) Profit (%) Gross Profit
Today - 12/1/2011 -37.5 -0.025514543 0
11/30/2011 - 12/1 1930 1.35476625 2257.5
11/29/2011 - 12/1 1502.5 1.054682016 2257.5
11/28/2011 - 12/1 2260 1.603462343 2730
11/27/2011 - 12/1 2257.5 1.601688602 2727.511/26/2011 - 12/1 2257.5 1.601688602 2727.5
11/25/2011 - 12/1 2055 1.458015538 2727.5
11/24/2011 - 12/1 1875 1.333570413 2727.5
11/23/2011 - 12/1 2137.5 1.525968231 2727.5
11/22/2011 - 12/1 2860 2.063045517 3360
11/21/2011 - 12/1 3332.5 2.420379853 3832.5
11/20/2011 - 12/1 3770 2.755646517 4270
11/19/2011 - 12/1 3770 2.755646517 4270
11/18/2011 - 12/1 3427.5 2.508875307 4367.5
11/17/2011 - 12/1 4652.5 3.467744941 5152.5
11/16/2011 - 12/1 4997.5 3.744146844 5497.5
11/15/2011 - 12/1 4472.5 3.350814759 5375
11/14/2011 - 12/1 3647.5 2.732721483 5375
11/13/2011 - 12/1 3910 2.940955246 5375
11/12/2011 - 12/1 3910 2.940955246 5375
11/11/2011 - 12/1 4620 3.512506652 5375
11/10/2011 - 12/1 4367.5 3.320535239 5375
11/9/2011 - 12/1/ 4900 3.801101544 6432.5
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11/8/2011 - 12/1/ 5775 4.541522491 6530
11/7/2011 - 12/1/ 5925 4.670502917 6680
11/6/2011 - 12/1/ 5787.5 4.562115718 6542.5
11/5/2011 - 12/1/ 5787.5 4.562115718 6542.5
11/4/2011 - 12/1/ 5650 4.45372852 6432.5
11/3/2011 - 12/1/ 7437.5 6.032769599 8192.5
11/2/2011 - 12/1/ 6485 5.260169526 724011/1/2011 - 12/1/ 7645 6.32000992 8400
10/31/2011 - 12/1 8290 6.979877073 9497.5
10/30/2011 - 12/1 7752.5 6.527321714 9497.5
10/29/2011 - 12/1 7752.5 6.527321714 9497.5
10/28/2011 - 12/1 8015 6.778299294 9497.5
10/27/2011 - 12/1 9122.5 7.862190813 10095
10/26/2011 - 12/1 9062.5 7.879749587 10605
10/25/2011 - 12/1 8387.5 7.292844101 10605
10/24/2011 - 12/1 8700 7.605892381 10605
10/23/2011 - 12/1 8850 7.757373888 10605
10/22/2011 - 12/1 8850 7.757373888 10605
10/21/2011 - 12/1 9962.5 8.906222063 11340
10/20/2011 - 12/1 9897.5 8.848113714 11275
10/19/2011 - 12/1 9155 8.184337565 11275
10/18/2011 - 12/1 9052.5 8.092705167 11275
10/17/2011 - 12/1 8435 7.604922689 11645
10/16/2011 - 12/1 8785 7.970784376 11645
10/15/2011 - 12/1 8785 7.970784376 11645
10/14/2011 - 12/1 9872.5 9.137819326 11992.5
10/13/2011 - 12/1 9782.5 9.054516846 11902.5
10/12/2011 - 12/1 10542.5 9.897202403 12662.510/11/2011 - 12/1 10265 9.636687946 12385
10/10/2011 - 12/1 11337.5 10.86227545 13457.5
10/9/2011 - 12/1/ 12000 11.64483261 14120
10/8/2011 - 12/1/ 12000 11.64483261 14120
10/7/2011 - 12/1/ 11887.5 11.5356623 14007.5
10/6/2011 - 12/1/ 12720 12.54623465 14840
10/5/2011 - 12/1/ 13820 13.9335585 15940
10/4/2011 - 12/1/ 13792.5 13.90583254 15912.5
10/3/2011 - 12/1/ 13140 13.24797096 15912.5
10/2/2011 - 12/1/ 13315 13.4719482 15912.5
10/1/2011 - 12/1/ 13315 13.4719482 15912.59/30/2011 - 12/1/ 13937.5 14.2816887 16057.5
9/29/2011 - 12/1/ 13920 14.26375653 16057.5
9/28/2011 - 12/1/ 12665 12.97776412 16057.5
9/27/2011 - 12/1/ 13712.5 14.35939054 17105
9/26/2011 - 12/1/ 15212.5 16.44683496 18605
9/25/2011 - 12/1/ 14922.5 16.1333045 18315
9/24/2011 - 12/1/ 14922.5 16.1333045 18315
9/23/2011 - 12/1/ 14255 15.41164387 18315
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9/22/2011 - 12/1/ 14940 16.39506173 19000
9/21/2011 - 12/1/ 16512.5 18.76847011 20572.5
9/20/2011 - 12/1/ 16382.5 18.62070925 20572.5
9/19/2011 - 12/1/ 15752.5 17.90463742 20572.5
9/18/2011 - 12/1/ 14987.5 17.03512162 20572.5
9/17/2011 - 12/1/ 14987.5 17.03512162 20572.5
9/16/2011 - 12/1/ 15287.5 17.49542229 20572.59/15/2011 - 12/1/ 16662.5 19.68864469 21482.5
9/14/2011 - 12/1/ 17795 21.73833374 22615
9/13/2011 - 12/1/ 16762.5 20.47703396 22337.5
9/12/2011 - 12/1/ 16460 20.10750061 22337.5
9/11/2011 - 12/1/ 17022.5 21.08441197 22597.5
9/10/2011 - 12/1/ 17022.5 21.08441197 22597.5
9/9/2011 - 12/1/2 17117.5 21.61573431 23370
9/8/2011 - 12/1/2 16437.5 20.75704003 23370
9/7/2011 - 12/1/2 17700 23.08745842 24530
9/6/2011 - 12/1/2 18310 24.26933528 25140
9/5/2011 - 12/1/2 19457.5 26.59945318 26287.5
9/4/2011 - 12/1/2 19857.5 27.44644091 26687.5
9/3/2011 - 12/1/2 19857.5 27.44644091 26687.5
9/2/2011 - 12/1/2 20277.5 28.58804455 27397.5
9/1/2011 - 12/1/2 19052.5 26.86098971 27397.5
8/31/2011 - 12/1/ 19312.5 27.4286323 27397.5
8/30/2011 - 12/1/ 19647.5 28.17249785 27732.5
8/29/2011 - 12/1/ 20610 30.3915063 28695
8/28/2011 - 12/1/ 21160 31.71700517 29245
8/27/2011 - 12/1/ 21160 31.71700517 29245
8/26/2011 - 12/1/ 20852.5 31.64504135 296558/25/2011 - 12/1/ 21575 33.47556245 30377.5
8/24/2011 - 12/1/ 22362.5 35.5666004 31165
8/23/2011 - 12/1/ 22615 36.88631545 31947.5
8/22/2011 - 12/1/ 22920 37.75947282 32252.5
8/21/2011 - 12/1/ 22920 37.75947282 32252.5
8/20/2011 - 12/1/ 22920 37.75947282 32252.5
8/19/2011 - 12/1/ 22917.5 37.7553542 32252.5
8/18/2011 - 12/1/ 24987.5 44.17874823 34320
8/17/2011 - 12/1/ 25327.5 46.34916278 35277.5
8/16/2011 - 12/1/ 25140 46.00603898 35090
8/15/2011 - 12/1/ 25577.5 47.56834666 35527.58/14/2011 - 12/1/ 25965 48.99518823 35915
8/13/2011 - 12/1/ 25965 48.99518823 35915
8/12/2011 - 12/1/ 26965 52.87773311 36915
8/11/2011 - 12/1/ 26797.5 52.77695716 37025
8/10/2011 - 12/1/ 25742.5 50.69916297 37025
8/9/2011 - 12/1/2 25480 52.22381636 37182.5
8/8/2011 - 12/1/2 27737.5 62.64822134 39440
8/7/2011 - 12/1/2 27737.5 62.64822134 39440
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8/6/2011 - 12/1/2 27737.5 62.64822134 39440
8/5/2011 - 12/1/2 26830 61.56493804 39787.5
8/4/2011 - 12/1/2 28740 72.28370221 41697.5
8/3/2011 - 12/1/2 27995 71.20691848 41920
8/2/2011 - 12/1/2 29307.5 79.87871355 43232.5
8/1/2011 - 12/1/2 29102.5 82.57199603 43955
7/31/2011 - 12/1/ 29175 83.11965812 439557/30/2011 - 12/1/ 29175 83.11965812 43955
7/29/2011 - 12/1/ 28432.5 81.0042735 43955
7/28/2011 - 12/1/ 28130 80.14245014 43955
7/27/2011 - 12/1/ 28902.5 86.13470422 44425
7/26/2011 - 12/1/ 28595 85.21829832 44425
7/25/2011 - 12/1/ 28277.5 84.38525813 44425
7/24/2011 - 12/1/ 27622.5 82.43061773 44425
7/23/2011 - 12/1/ 27622.5 82.43061773 44425
7/22/2011 - 12/1/ 27385 81.72187407 44425
7/21/2011 - 12/1/ 28510 91.2028151 44672.5
7/20/2011 - 12/1/ 28000 89.57133717 44570
7/19/2011 - 12/1/ 28772.5 96.82820125 45265
7/18/2011 - 12/1/ 28642.5 96.39071176 45265
7/17/2011 - 12/1/ 28642.5 96.39071176 45265
7/16/2011 - 12/1/ 28642.5 96.39071176 45265
7/15/2011 - 12/1/ 28210 94.9352179 45265
7/14/2011 - 12/1/ 27850 95.47480288 45410
7/13/2011 - 12/1/ 28067.5 99.3539823 45417.5
7/12/2011 - 12/1/ 27827.5 98.50442478 45417.5
7/11/2011 - 12/1/ 29090 113.0806608 46440
7/10/2011 - 12/1/ 29465 117.977978 468157/9/2011 - 12/1/2 29465 117.977978 46815
7/8/2011 - 12/1/2 28435 113.8538539 46512.5
7/7/2011 - 12/1/2 28835 119.2761117 46512.5
7/6/2011 - 12/1/2 28692.5 122.3299936 46545
7/5/2011 - 12/1/2 28625 123.7302788 46545
7/4/2011 - 12/1/2 28697.5 124.8260113 46545
7/3/2011 - 12/1/2 28697.5 124.8260113 46545
7/2/2011 - 12/1/2 28697.5 124.8260113 46545
7/1/2011 - 12/1/2 29457.5 137.2030741 47305
6/30/2011 - 12/1/ 29807.5 143.5122773 47655
6/29/2011 - 12/1/ 30520 157.7668648 48367.56/28/2011 - 12/1/ 30395 164.5196211 48802.5
6/27/2011 - 12/1/ 29717.5 160.8525034 48802.5
6/26/2011 - 12/1/ 29892.5 164.9241379 48802.5
6/25/2011 - 12/1/ 29892.5 164.9241379 48802.5
6/24/2011 - 12/1/ 29287.5 164.9535342 48802.5
6/23/2011 - 12/1/ 29142.5 169.8280886 48802.5
6/22/2011 - 12/1/ 28977.5 168.8665501 48802.5
6/21/2011 - 12/1/ 29772.5 192.5153573 49650
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6/20/2011 - 12/1/ 29430 190.300679 49572.5
6/19/2011 - 12/1/ 29540 193.7684487 49572.5
6/18/2011 - 12/1/ 29540 193.7684487 49572.5
6/17/2011 - 12/1/ 29540 193.7684487 49572.5
6/16/2011 - 12/1/ 29350 192.5221384 49572.5
6/15/2011 - 12/1/ 29472.5 196.4833333 49572.5
Monthly Analysis
Period Average Profit Gross Profit
June 15 15 0
July 355 355 0
August 10050 10050 0
September 5737.5 5737.5 0
October 5670 5670 0
November 7682.5 7682.5 0
December -37.5 0 -37.5
Monthly Period Analysis
Period Profit ($) Profit (%) Gross Profit
11-Dec -37.5 -0.08425073 0
11-Nov 7682.5 20.86076981 8400
11-Oct 5670 18.19786568 7512.5
11-Sep 5737.5 22.57081039 11962.5
11-Aug 10050 65.38711776 16817.511-Jul 355 2.364302364 3422.5
11-Jun 15 0.1 2267.5
Monthly Rolling Period Analysis
Period Profit ($) Profit (%) Gross Profit
Today - 12/11 -37.5 -0.08425073 0
11/11 - 12/11 7645 20.75894372 8400
10/11 - 12/11 13315 42.7344941 15912.509/11 - 12/11 19052.5 74.95082612 27397.5
08/11 - 12/11 29102.5 189.3461288 43955
07/11 - 12/11 29457.5 196.1871462 47305
06/11 - 12/11 29472.5 196.4833333 49572.5
Annual Period Analysis
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Period Profit ($) Profit (%) Gross Profit
2011 29472.5 196.4833333 49572.5
Annual Rolling Period Analysis
Period Profit ($) Profit (%) Gross ProfitToday - 2011 29472.5 196.4833333 49572.5
Monthly Returns & Drawdowns
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Monthly Returns & Drawdowns (%)
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Monthly Accumulative Net Profit
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Average Profit By Month
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Annual Returns & Drawdowns
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Annual Returns & Drawdowns (%)
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65/83
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Annual Accumulative Net Profit
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Gross Loss # Trades % Profitable
-37.5 1 0
-290 2 50
-427.5 1 0
0 2 100
-2.5 1 0
-202.5 1 0
-352.5 2 50
0 1 100
0 1 100
0 1 100
0 1 100
0 1 0
-440 2 50
0 1 100
0 2 100
-525 1 0
-825 1 0
0 1 100
0 1 0
0 1 100
-252.5 1 0
-777.5 2 50
0 1 100
0 1 100
-137.5 1 0
0 1 0
-137.5 1 0
0 1 100
-952.5 1 0
0 1 100
-452.5 2 50
-537.5 1 0
0 1 0
0 1 100
0 2 100
-570 3 33.33333333
-675 1 00 1 100
0 1 100
0 1 0
0 1 100
-65 1 0
-742.5 1 0
-102.5 1 0
-1090 2 50
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0 1 100
0 1 0
0 1 100
-90 1 0
0 1 100
-277.5 1 0
0 1 1000 1 100
0 1 0
-112.5 1 0
0 2 100
0 1 100
-27.5 1 0
-652.5 1 0
0 1 100
0 1 0
0 1 100
-17.5 1 0
-1255 1 0
0 1 100
0 1 100
-290 1 0
-667.5 1 0
0 1 100
0 1 100
-130 1 0
-630 1 0
-765 1 00 1 0
0 1 100
0 1 100
-252.5 2 50
-1032.5 2 0
-302.5 1 0
0 1 100
0 1 0
-677.5 2 50
-680 2 0
0 1 1000 1 100
0 1 100
0 1 100
0 1 0
-290 2 50
-1225 1 0
0 1 100
0 1 100
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0 1 100
0 1 100
0 1 0
-717.5 2 50
0 1 100
0 1 100
-530 3 66.666666670 2 100
-2.5 1 0
0 2 100
-617.5 3 66.66666667
-187.5 1 0
0 1 100
0 1 100
0 1 0
0 1 100
-277.5 2 50
-1055 2 0
-1255 3 66.66666667
0 1 100
-1255 2 50
0 1 100
-967.5 2 50
0 1 100
-927.5 2 50
0 1 100
-742.5 1 0
-302.5 1 00 1 100
-307.5 2 0
-340 2 50
-655 2 0
0 1 0
-237.5 1 0
0 1 100
-510 3 0
0 1 100
-130 1 0
-432.5 2 0-632.5 3 33.33333333
-242.5 2 50
-240 1 0
0 1 100
0 1 100
0 1 0
-1030 2 0
0 1 100
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-502.5 2 50
-227.5 2 50
0 1 100
0 1 100
0 1 100
0 1 100
-560 3 33.33333333-677.5 1 0
0 1 100
0 1 0
-790 2 50
-442.5 2 50
-165 1 0
-52.5 2 50
-342.5 2 0
0 1 100
-190 1 0
0 1 100
Gross Loss # Trades % Profitable
-37.5 1 0
-327.5 2 50
-755 3 33.33333333
-470 4 50
-470 4 50-470 4 50
-672.5 5 40
-852.5 6 33.33333333
-590 6 33.33333333
-500 6 50
-500 7 57.14285714
-500 7 57.14285714
-500 7 57.14285714
-940 8 50
-500 8 62.5
-500 9 66.66666667
-902.5 9 55.55555556
-1727.5 9 55.55555556
-1465 9 55.55555556
-1465 9 55.55555556
-755 9 55.55555556
-1007.5 10 50
-1532.5 11 54.54545455
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-755 11 63.63636364
-755 11 63.63636364
-755 11 63.63636364
-755 11 63.63636364
-782.5 11 54.54545455
-755 11 63.63636364
-755 11 63.63636364-755 12 66.66666667
-1207.5 13 61.53846154
-1745 13 61.53846154
-1745 13 61.53846154
-1482.5 13 61.53846154
-972.5 14 64.28571429
-1542.5 16 56.25
-2217.5 16 56.25
-1905 16 56.25
-1755 16 56.25
-1755 16 56.25
-1377.5 16 62.5
-1377.5 16 62.5
-2120 17 58.82352941
-2222.5 18 55.55555556
-3210 19 57.89473684
-2860 19 57.89473684
-2860 19 57.89473684
-2120 19 63.15789474
-2120 19 63.15789474
-2120 20 65-2120 20 65
-2120 21 66.66666667
-2120 21 66.66666667
-2120 21 66.66666667
-2120 21 66.66666667
-2120 22 68.18181818
-2120 22 68.18181818
-2120 22 68.18181818
-2772.5 23 65.2173913
-2597.5 23 65.2173913
-2597.5 23 65.2173913-2120 23 69.56521739
-2137.5 24 66.66666667
-3392.5 25 64
-3392.5 26 65.38461538
-3392.5 26 65.38461538
-3392.5 26 65.38461538
-3392.5 26 65.38461538
-4060 27 62.96296296
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-4060 28 64.28571429
-4060 28 64.28571429
-4190 29 62.06896552
-4820 30 60
-5585 31 58.06451613
-5585 31 58.06451613
-5285 31 58.06451613-4820 31 61.29032258
-4820 32 62.5
-5575 33 60.60606061
-5877.5 34 58.82352941
-5575 34 61.76470588
-5575 34 61.76470588
-6252.5 35 60
-6932.5 36 58.33333333
-6830 36 61.11111111
-6830 36 61.11111111
-6830 37 62.16216216
-6830 37 62.16216216
-6830 37 62.16216216
-7120 38 60.52631579
-8345 38 60.52631579
-8085 38 60.52631579
-8085 39 61.53846154
-8085 39 61.53846154
-8085 39 61.53846154
-8085 39 61.53846154
-8802.5 40 60-8802.5 41 60.97560976
-8802.5 41 60.97560976
-9332.5 43 60.46511628
-9332.5 44 61.36363636
-9332.5 44 61.36363636
-9332.5 44 61.36363636
-9335 45 60
-9332.5 46 63.04347826
-9950 48 62.5
-9950 48 62.5
-9950 48 62.5-9950 48 62.5
-9950 48 62.5
-9950 48 62.5
-10227.5 49 61.2244898
-11282.5 50 60
-11702.5 52 59.61538462
-11702.5 53 60.37735849
-11702.5 53 60.37735849
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-11702.5 53 60.37735849
-12957.5 55 60
-12957.5 55 60
-13925 57 59.64912281
-13925 57 59.64912281
-14852.5 58 58.62068966
-14780 58 58.62068966-14780 58 58.62068966
-15522.5 59 57.62711864
-15825 60 56.66666667
-15522.5 60 58.33333333
-15830 62 56.4516129
-16147.5 63 55.55555556
-16802.5 64 54.6875
-16802.5 64 54.6875
-17040 64 54.6875
-16162.5 64 56.25
-16570 66 54.54545455
-16492.5 66 56.06060606
-16622.5 67 55.2238806
-16622.5 67 55.2238806
-16622.5 67 55.2238806
-17055 69 53.62318841
-17560 71 53.52112676
-17350 72 54.16666667
-17590 73 53.42465753
-17350 73 54.79452055
-17350 73 54.79452055-17350 73 54.79452055
-18077.5 74 54.05405405
-17677.5 74 54.05405405
-17852.5 75 54.66666667
-17920 76 53.94736842
-17847.5 76 53.94736842
-17847.5 76 53.94736842
-17847.5 76 53.94736842
-17847.5 77 54.54545455
-17847.5 77 54.54545455
-17847.5 77 54.54545455-18407.5 79 53.16455696
-19085 80 52.5
-18910 80 52.5
-18910 80 52.5
-19515 81 51.85185185
-19660 82 51.2195122
-19825 83 50.60240964
-19877.5 84 51.19047619
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-20142.5 85 50.58823529
-20032.5 85 50.58823529
-20032.5 85 50.58823529
-20032.5 85 50.58823529
-20222.5 86 50
-20100 86 50
Profit Factor Average # Trades % Profitable
0 10 20
0 20 45
0 21 57.14285714
0 16 50
0 12 66.66666667
0 12 66.66666667
0 1 0
Gross Loss # Trades % Profitable
-37.5 1 0
-717.5 12 66.66666667
-1842.5 12 66.66666667
-6225 16 50
-6767.5 21 57.14285714-3067.5 20 45
-2252.5 10 20
Gross Loss # Trades % Profitable
-37.5 1 0
-755 12 66.66666667
-2597.5 23 65.2173913-8345 38 60.52631579
-14852.5 58 58.62068966
-17847.5 77 54.54545455
-20100 86 50
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Gross Loss # Trades % Profitable
-20100 86 50
Gross Loss # Trades % Profitable-20100 86 50
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Settings
Strategy Name MPbased; Profit Target; Stop Loss
Strategy Inputs (3,14,1,40,1,36,58,20,4,5); (false,2250); (false,1250)
Symbol Name ESZ1
Initial Capital 15000
Commission2.5
Backtesting Assumptions Fill Limit price or better. (Classic mode)
Slippage 25
Interest Rate 2
Margin per Contract 0
Minimal Acceptable Rate of Return 2
Degree of Risk Aversion of the Investor Conservative
Number of Standard Deviations 1
Compression 15 Minutes
Bar Magnifier Disabled.
Point Value $50
Start Date 6/15/2011 11:00
End Date 12/1/2011 11:15
Back-Testing Mode Classic
Ask Data Series ESZ1
Bid Data Series ESZ1