Trade Parameters
(TrendSensor_Trading_Signal_Performance-For_Premium)
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: 2.00%
Position size limit: 3.50%
Portfolio Heat: 45.00%
Pyramid profits: Yes
Transaction cost (Trade Entry): $10.00
Transaction cost (Trade Exit): $10.00
Margin Requirement: 12.50%
Detailed Report
(TrendSensor_Trading_Signal_Performance-For_Premium)
Simulation Summary
Simulation Date: 28/03/2007
Simulation Time: 9:13:39 p.m.
Simulation Duration: 1.84 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 23-Jun-98
Latest Entry Date in the Trade Database: 02-Mar-07
Earliest Exit Date in the Trade Database: 02-Jul-98
Latest Exit Date in the Trade Database: 05-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: 08-Jun-99
Last Exit Date: 05-Mar-07
Total Trading duration: 2867 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $556,692.01
Maximum Equity/(Date): $518,241.61 (05-Mar-07)
Minimum Equity/(Date): -$537.45 (08-Jun-99)
Gross Trade Profit: $693,344.19 (1386.69%)
Gross Trade Loss: -$186,652.19 (-373.30%)
Total Net Profit: $506,692.01 (1013.38%)
Average Profit per Trade: $980.06
Profit Factor: 3.7146
Profit Index: 73.08%
Total Transaction Cost: $10,340.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.0841%
Annualized Compound Interest Rate: 35.9093%
Trade Statistics
Trades Processed: 518
Trades Taken: 517
Partial Trades Taken: 0
Trades Rejected: 0
Winning Trades: 290 (56.09%)
Losing Trades: 227 (43.91%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 496 (95.94%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 21 (4.06%)
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): $26,067.02 (26-Sep-05)
Largest Losing Trade/(Date): -$5,075.32 (04-Aug-06)
Average Winning Trade: $2,390.84
Average Losing Trade: -$822.26
Average Win/Average Loss: 2.9077
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 46 (days)
(Winning Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 65 (days)
(Losing Trades)
Maximum Trade Duration: 162 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 22 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 16
Maximum consecutive losing trades: 18
Average consecutive winning trades: 3.37
Average consecutive losing trades: 2.61
Trade Expectation Statistics
Normalized Expectation per dollar risked: $0.5500
Maximum Reward/Risk ratio: 11.84
Minimum Reward/Risk ratio: -3.33
Average Positive Reward/Risk ratio: 1.47
Average Negative Reward/Risk ratio: -0.63
Relative Drawdown
Maximum Dollar Drawdown/(Date): $11,949.86 (07-Nov-02)
Maximum Percentage Drawdown/(Date): 12.9700% (07-Nov-02)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $19,390.59 (21.0500%)
Capital Peak/(Date): $92,126.36 (09-Aug-02)
Capital Valley/(Date): $72,735.78 (13-Nov-02)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 21.0500% ($19,390.59)
Capital Peak/(Date): $92,126.36 (09-Aug-02)
Capital Valley/(Date): $72,735.78 (13-Nov-02)
Performance Summary Report
(TrendSensor_Trading_Signal_Performance-For_Premium)
All Trades
Trades Taken: 517
Total Net Profit: $506,692.01
Average Trade Profit: $980.06
Maximum Trade Profit: $26,067.02
Minimum Trade Profit: -$5,075.32
Break Even Trades: 0
Winning Trades: 290
Losing Trades: 227
Percent Profitable: 56.09%
Average Winning Trade Profit: $2,390.84
Average Losing Trade Profit: -$822.26
Long Trades
Trades Taken: 239
Total Net Profit: $409,206.53
Average Trade Profit: $1,712.16
Maximum Trade Profit: $26,067.02
Minimum Trade Profit: -$3,282.66
Break Even Trades: 0
Winning Trades: 139
Losing Trades: 100
Percent Profitable: 58.16%
Average Winning Trade Profit: $3,502.41
Average Losing Trade Profit: -$776.28
Short Trades
Trades Taken: 278
Total Net Profit: $97,485.48
Average Trade Profit: $350.67
Maximum Trade Profit: $6,397.71
Minimum Trade Profit: -$5,075.32
Break Even Trades: 0
Winning Trades: 151
Losing Trades: 127
Percent Profitable: 54.32%
Average Winning Trade Profit: $1,367.61
Average Losing Trade Profit: -$858.46