Trade Parameters
(TrendSensor_Trading_Signal_Performance-For_Forex)
Trade Parameters
Initial Capital: $50,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 35
Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 1.00%
Position size limit: 7.00%
Portfolio Heat: 35.00%
Pyramid profits: Yes
Transaction cost (Trade Entry): $0.00
Transaction cost (Trade Exit): $0.00
Margin Requirement: 12.50%
Detailed Report
(TrendSensor_Trading_Signal_Performance-For_Forex)
Simulation Summary
Simulation Date: 22/03/2007
Simulation Time: 2:05:27 p.m.
Simulation Duration: 1.06 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 18-Aug-98
Latest Entry Date in the Trade Database: 01-Mar-07
Earliest Exit Date in the Trade Database: 01-Sep-98
Latest Exit Date in the Trade Database: 06-Mar-07
Start Trade Entry Date: 18-Oct-00
Stop Trade Entry Date: 01-Mar-07
First Entry Date: 18-Oct-00
Last Entry Date: 20-Feb-07
First Exit Date: 27-Nov-00
Last Exit Date: 06-Mar-07
Total Trading duration: 2330 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $294,290.07
Maximum Equity/(Date): $253,548.31 (06-Mar-07)
Minimum Equity/(Date): -$184.95 (27-Nov-00)
Gross Trade Profit: $470,177.84 (940.36%)
Gross Trade Loss: -$225,887.77 (-451.78%)
Total Net Profit: $244,290.07 (488.58%)
Average Profit per Trade: $727.05
Profit Factor: 2.0815
Profit Index: 51.96%
Total Transaction Cost: $0.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.0761%
Annualized Compound Interest Rate: 32.0055%
Trade Statistics
Trades Processed: 389
Trades Taken: 336
Partial Trades Taken: 0
Trades Rejected: 43
Winning Trades: 171 (50.89%)
Losing Trades: 165 (49.11%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 324 (96.43%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 12 (3.57%)
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): $13,707.55 (03-Jul-03)
Largest Losing Trade/(Date): -$4,929.53 (19-Apr-06)
Average Winning Trade: $2,749.58
Average Losing Trade: -$1,369.02
Average Win/Average Loss: 2.0084
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 55 (days)
(Winning Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 75 (days)
(Losing Trades)
Maximum Trade Duration: 182 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 34 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 15
Maximum consecutive losing trades: 19
Average consecutive winning trades: 3.35
Average consecutive losing trades: 3.17
Trade Expectation Statistics
Normalized Expectation per dollar risked: $0.4100
Maximum Reward/Risk ratio: 12.26
Minimum Reward/Risk ratio: -1.15
Average Positive Reward/Risk ratio: 1.36
Average Negative Reward/Risk ratio: -0.58
Relative Drawdown
Maximum Dollar Drawdown/(Date): $25,364.40 (20-Dec-02)
Maximum Percentage Drawdown/(Date): 23.5600% (20-Dec-02)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $34,644.42 (32.1800%)
Capital Peak/(Date): $107,670.13 (16-Aug-02)
Capital Valley/(Date): $73,025.72 (05-Jun-03)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 32.1800% ($34,644.42)
Capital Peak/(Date): $107,670.13 (16-Aug-02)
Capital Valley/(Date): $73,025.72 (05-Jun-03)
Performance Summary Report
(TrendSensor_Trading_Signal_Performance-For_Forex)
All Trades
Trades Taken: 336
Total Net Profit: $244,290.07
Average Trade Profit: $727.05
Maximum Trade Profit: $13,707.55
Minimum Trade Profit: -$4,929.53
Break Even Trades: 0
Winning Trades: 171
Losing Trades: 165
Percent Profitable: 50.89%
Average Winning Trade Profit: $2,749.58
Average Losing Trade Profit: -$1,369.02
Long Trades
Trades Taken: 152
Total Net Profit: $161,286.10
Average Trade Profit: $1,061.09
Maximum Trade Profit: $13,707.55
Minimum Trade Profit: -$4,929.53
Break Even Trades: 0
Winning Trades: 84
Losing Trades: 68
Percent Profitable: 55.26%
Average Winning Trade Profit: $3,417.80
Average Losing Trade Profit: -$1,850.14
Short Trades
Trades Taken: 184
Total Net Profit: $83,003.97
Average Trade Profit: $451.11
Maximum Trade Profit: $8,414.74
Minimum Trade Profit: -$3,538.31
Break Even Trades: 0
Winning Trades: 87
Losing Trades: 97
Percent Profitable: 47.28%
Average Winning Trade Profit: $2,104.40
Average Losing Trade Profit: -$1,031.74