Trade Parameters
(TrendSensor_Trading_Signal_Performance-For_Jumbo)
Trade Parameters
Initial Capital: $50,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 45
Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 2.00%
Position size limit: 2.50%
Portfolio Heat: 45.00%
Pyramid profits: Yes
Transaction cost (Trade Entry): $10.00
Transaction cost (Trade Exit): $10.00
Margin Requirement: 12.00%
Detailed Report
(TrendSensor_Trading_Signal_Performance-For_Jumbo)
Simulation Summary
Simulation Date: 29/03/2007
Simulation Time: 6:04:16 p.m.
Simulation Duration: 4.89 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 21-Jun-94
Latest Entry Date in the Trade Database: 14-Mar-07
Earliest Exit Date in the Trade Database: 17-Aug-94
Latest Exit Date in the Trade Database: 27-Mar-07
Start Trade Entry Date: 25-Apr-96
Stop Trade Entry Date: 14-Mar-07
First Entry Date: 25-Apr-96
Last Entry Date: 14-Mar-07
First Exit Date: 10-Jul-96
Last Exit Date: 27-Mar-07
Total Trading duration: 3988 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $706,347.49
Maximum Equity/(Date): $691,293.46 (07-Mar-07)
Minimum Equity/(Date): $209.33 (10-Jul-96)
Gross Trade Profit: $1,082,008.69 (2164.02%)
Gross Trade Loss: -$425,661.20 (-851.32%)
Total Net Profit: $656,347.49 (1312.69%)
Average Profit per Trade: $669.74
Profit Factor: 2.5419
Profit Index: 60.66%
Total Transaction Cost: $19,600.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.0664%
Annualized Compound Interest Rate: 27.4259%
Trade Statistics
Trades Processed: 981
Trades Taken: 980
Partial Trades Taken: 0
Trades Rejected: 0
Winning Trades: 498 (50.82%)
Losing Trades: 482 (49.18%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 976 (99.59%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 4 (0.41%)
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): $22,340.31 (26-Sep-05)
Largest Losing Trade/(Date): -$25,916.03 (09-Jun-05)
Average Winning Trade: $2,172.71
Average Losing Trade: -$883.11
Average Win/Average Loss: 2.4603
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 43 (days)
(Winning Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 65 (days)
(Losing Trades)
Maximum Trade Duration: 182 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 21 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 18
Maximum consecutive losing trades: 35
Average consecutive winning trades: 3.28
Average consecutive losing trades: 3.17
Trade Expectation Statistics
Normalized Expectation per dollar risked: $0.4300
Maximum Reward/Risk ratio: 15.73
Minimum Reward/Risk ratio: -5.99
Average Positive Reward/Risk ratio: 1.49
Average Negative Reward/Risk ratio: -0.67
Relative Drawdown
Maximum Dollar Drawdown/(Date): $33,077.68 (07-Nov-02)
Maximum Percentage Drawdown/(Date): 20.8700% (07-Nov-02)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $47,127.52 (29.7300%)
Capital Peak/(Date): $158,498.04 (23-Aug-02)
Capital Valley/(Date): $111,370.52 (05-Jun-03)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 29.7300% ($47,127.52)
Capital Peak/(Date): $158,498.04 (23-Aug-02)
Capital Valley/(Date): $111,370.52 (05-Jun-03)
Performance Summary Report
(TrendSensor_Trading_Signal_Performance-For_Jumbo)
All Trades
Trades Taken: 980
Total Net Profit: $656,347.49
Average Trade Profit: $669.74
Maximum Trade Profit: $22,340.31
Minimum Trade Profit: -$25,916.03
Break Even Trades: 0
Winning Trades: 498
Losing Trades: 482
Percent Profitable: 50.82%
Average Winning Trade Profit: $2,172.71
Average Losing Trade Profit: -$883.11
Long Trades
Trades Taken: 490
Total Net Profit: $562,628.95
Average Trade Profit: $1,148.22
Maximum Trade Profit: $22,340.31
Minimum Trade Profit: -$25,916.03
Break Even Trades: 0
Winning Trades: 263
Losing Trades: 227
Percent Profitable: 53.67%
Average Winning Trade Profit: $2,972.99
Average Losing Trade Profit: -$965.93
Short Trades
Trades Taken: 490
Total Net Profit: $93,718.54
Average Trade Profit: $191.26
Maximum Trade Profit: $13,827.69
Minimum Trade Profit: -$5,736.27
Break Even Trades: 0
Winning Trades: 235
Losing Trades: 255
Percent Profitable: 47.96%
Average Winning Trade Profit: $1,277.08
Average Losing Trade Profit: -$809.39