Trade Parameters
(TrendSensor_Trading_Signal_Performance-For_Index)
Trade Parameters
Initial Capital: $50,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 40
Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 2.00%
Position size limit: 4.00%
Portfolio Heat: 55.00%
Pyramid profits: Yes
Transaction cost (Trade Entry): $10.00
Transaction cost (Trade Exit): $10.00
Margin Requirement: 13.00%
Detailed Report
(TrendSensor_Trading_Signal_Performance-For_Index)
Simulation Summary
Simulation Date: 23/03/2007
Simulation Time: 4:36:58 p.m.
Simulation Duration: 3.13 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 19-Jun-98
Latest Entry Date in the Trade Database: 02-Mar-07
Earliest Exit Date in the Trade Database: 30-Jun-98
Latest Exit Date in the Trade Database: 06-Mar-07
Start Trade Entry Date: 29-Apr-99
Stop Trade Entry Date: 02-Mar-07
First Entry Date: 29-Apr-99
Last Entry Date: 02-Mar-07
First Exit Date: 07-Jun-99
Last Exit Date: 06-Mar-07
Total Trading duration: 2868 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $649,290.53
Maximum Equity/(Date): $599,290.53 (06-Mar-07)
Minimum Equity/(Date): -$1,624.09 (08-Jun-99)
Gross Trade Profit: $812,787.30 (1625.57%)
Gross Trade Loss: -$213,496.77 (-426.99%)
Total Net Profit: $599,290.53 (1198.58%)
Average Profit per Trade: $1,132.87
Profit Factor: 3.8070
Profit Index: 73.73%
Total Transaction Cost: $10,580.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.0894%
Annualized Compound Interest Rate: 38.5821%
Trade Statistics
Trades Processed: 529
Trades Taken: 529
Partial Trades Taken: 0
Trades Rejected: 0
Winning Trades: 272 (51.42%)
Losing Trades: 257 (48.58%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 529 (100.00%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 0 (0.00%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $23,665.66 (12-Dec-06)
Largest Losing Trade/(Date): -$5,864.03 (27-Dec-06)
Average Winning Trade: $2,988.19
Average Losing Trade: -$830.73
Average Win/Average Loss: 3.5971
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 39 (days)
(Winning Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 62 (days)
(Losing Trades)
Maximum Trade Duration: 105 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 14 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 17
Maximum consecutive losing trades: 26
Average consecutive winning trades: 3.13
Average consecutive losing trades: 2.95
Trade Expectation Statistics
Normalized Expectation per dollar risked: $0.4400
Maximum Reward/Risk ratio: 9.01
Minimum Reward/Risk ratio: -3.33
Average Positive Reward/Risk ratio: 1.49
Average Negative Reward/Risk ratio: -0.66
Relative Drawdown
Maximum Dollar Drawdown/(Date): $21,292.17 (07-Nov-02)
Maximum Percentage Drawdown/(Date): 23.0000% (07-Nov-02)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $23,715.06 (21.4500%)
Capital Peak/(Date): $110,585.15 (03-May-04)
Capital Valley/(Date): $86,870.09 (09-Aug-04)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 23.0000% ($21,292.17)
Capital Peak/(Date): $92,565.57 (23-Aug-02)
Capital Valley/(Date): $71,273.40 (07-Nov-02)
Performance Summary Report
(TrendSensor_Trading_Signal_Performance-For_Index)
All Trades
Trades Taken: 529
Total Net Profit: $599,290.53
Average Trade Profit: $1,132.87
Maximum Trade Profit: $23,665.66
Minimum Trade Profit: -$5,864.03
Break Even Trades: 0
Winning Trades: 272
Losing Trades: 257
Percent Profitable: 51.42%
Average Winning Trade Profit: $2,988.19
Average Losing Trade Profit: -$830.73
Long Trades
Trades Taken: 282
Total Net Profit: $519,947.82
Average Trade Profit: $1,843.79
Maximum Trade Profit: $23,665.66
Minimum Trade Profit: -$3,244.37
Break Even Trades: 0
Winning Trades: 153
Losing Trades: 129
Percent Profitable: 54.26%
Average Winning Trade Profit: $4,057.33
Average Losing Trade Profit: -$781.58
Short Trades
Trades Taken: 247
Total Net Profit: $79,342.72
Average Trade Profit: $321.23
Maximum Trade Profit: $16,563.23
Minimum Trade Profit: -$5,864.03
Break Even Trades: 0
Winning Trades: 119
Losing Trades: 128
Percent Profitable: 48.18%
Average Winning Trade Profit: $1,613.57
Average Losing Trade Profit: -$880.26