|
PureBytes Links
Trading Reference Links
|
Built this little system the other day and these are its results on WTI -
(the system uses no stops)
Being relatively unfamiliar with the Tradestation system report is there
anything obviously wrong with this system or does it look promising
(obviously with further refinement)
Mark
TradeStation Strategy Performance Report - MK Oscillator US@xxxxxxxxxx
(10/01/2000-11/12/2001)
Performance Summary: All Trades
Total Net Profit $128,810.00 Open position P/L
($29,370.00)
Gross Profit $144,450.00 Gross Loss ($15,640.00)
Total # of trades 88 Percent profitable 80.68%
Number winning trades 71 Number losing trades 17
Largest winning trade $5,180.00 Largest losing trade
($2,690.00)
Average winning trade $2,034.51 Average losing trade
($920.00)
Ratio avg win/avg loss 2.21 Avg trade (win & loss)
$1,463.75
Max consec. Winners 28 Max consec. losers 6
Avg # bars in winners 13 Avg # bars in losers 29
Max intraday drawdown ($41,780.00)
Profit Factor 9.24 Max # contracts held 13
Account size required $41,780.00 Return on account
308.31%
Strategy Analysis
Net Profit $128,810.00 Open Position
($30,470.00)
Gross Profit $144,450.00 Interest Earned
$4,753.46
Gross Loss ($15,640.00) Commission Paid
$0.00
Percent profitable 80.68% Profit factor 9.24
Ratio avg. win/avg. loss 2.21 Adjusted profit factor
6.55
Annual Rate of Return 73.90% Sharpe Ratio
N/A
Return on Initial Capital 128.81% Return Retracement
Ratio 5.83
Return on Max. Drawdown 274.88% K-Ratio N/A
Buy/Hold return -33.80% RINA Index
86.14
Cumulative return 466.70% Percent in the market
68.95%
Adjusted Net Profit $107,873.68 Select Net Profit
$128,810.00
Adjusted Gross Profit $127,306.94 Select Gross Profit
$144,450.00
Adjusted Gross Loss ($19,433.26) Select Gross Loss
($15,640.00)
---------------------------------------------------------------------------
This message (including any attachments) is confidential and may be
privileged. If you have received it by mistake please notify the sender by
return e-mail and delete this message from your system. Any unauthorised
use or dissemination of this message in whole or in part is strictly
prohibited. Please note that e-mails are susceptible to change. ABN AMRO
Bank N.V. (including its group companies) shall not be liable for the
improper or incomplete transmission of the information contained in this
communication nor for any delay in its receipt or damage to your system.
ABN AMRO Bank N.V. (or its group companies) does not guarantee that the
integrity of this communication has been maintained nor that this
communication is free of viruses, interceptions or interference.
---------------------------------------------------------------------------
|