Strategy Performance Summary Expand
  All Trades
Long Trades
Short Trades
Net Profit ($3985) $457.5 ($4442.5)
Gross Profit $20845.5 $12374 $8471.5
Gross Loss ($24830.5) ($11916.5) ($12914)
Adjusted Net Profit ($9872.5479) ($3961.4132) ($8322.9522)
Adjusted Gross Profit $17589.9798 $9793.8426 $6474.7483
Adjusted Gross Loss ($27462.5277) ($13755.2559) ($14797.7005)
Select Net Profit ($6131) ($797.5) ($5333.5)
Select Gross Profit $11105.5 $6872.5 $4233
Select Gross Loss ($17236.5) ($7670) ($9566.5)
Account Size Required $11164.5 $5453.5 $6918
Return on Account (35.6935%) 8.3891% (64.2165%)
Avg Monthly Return ($797) ($797) ($797)
Monthly Return StdDev $3359.9677 $3359.9677 $3359.9677
Return on Initial Capital (3.985%) 0.4575% (4.4425%)
Max Strategy Drawdown ($12414) ($6640.5) ($7745)
Max Strategy Drawdown (%) (11.8833%) (6.4745%) (7.4985%)
Max Close To Close Drawdown ($11164.5) ($5453.5) ($6918)
Max Close To Close Drawdown (%) (10.8009%) (5.3748%) (6.7509%)
Return on Max Str Drawdown (0.321) 0.0689 (0.5736)
Profit Factor (0.8395) 1.0384 (0.656)
Adjusted Profit Factor (0.6405) (0.712) (0.4376)
Select Profit Factor (0.6443) (0.896) (0.4425)
Max # Contracts Held 125000 125000 125000
Commission Paid $1560 $780 $780
OpenPosition P/L $0 $0 $0
Annual Rate of Return (10.4792%) 1.2592% (11.6823%)
Monthly Rate of Return (0.8733%) 0.1049% (0.9735%)
Buy & Hold Return $3363.9144 $4486.3665 $721.3989


Performance Ratios Expand
Upside Potential Ratio n/a
Sharpe Ratio (0.2045)
Sortino Ratio (0.2869)
Fouse Ratio (0.0096)
Calmar Ratio 0
Sterling Ratio 0
Net Prft / Largest Loss 490.7635%
Net Prft / Max Trade Drawdown 388.7805%
Net Prft / Max Strategy Drawdown 32.1009%
Select Net Prft / Largest Loss 755.0493%
Select Net Prft / Max Trade Drawdown 598.1463%
Select Net Prft / Max Strategy Drawdown 49.3878%
Adj Net Prft / Largest Loss 1215.831%
Adj Net Prft / Max Trade Drawdown 963.1754%
Adj Net Prft / Max Strategy Drawdown 79.5275%


Time Analysis
Trading Period 4 Mths, 18 Dys, 21 Hrs, 30 Mins
Time in the Market 4 Mths, 18 Dys, 21 Hrs
Percent in the Market 99.985%
Longest flat period 10 Hrs
Max Run-up Date 24/11/2006
Max Drawdown Date 03/11/2006
Max Strategy Drawdown Date 21/11/2006 05:30:00
Max Close To Close Drawdown Date 21/11/2006 16:00:00

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