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Performance Summary for E-mini S&P 500 Futures @ES
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All Trades
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Long Trades
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Short Trades
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Total Net Profit
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$28,128.50
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$11,507.70
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$16,620.80
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Gross Profit
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$65,199.90
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$32,995.10
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$32,204.80
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Gross Loss
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($37,071.40)
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($21,487.40)
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($15,584.00)
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Profit Factor
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1.76
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1.54
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2.07
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Roll Over Credit
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$0.00
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$0.00
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$0.00
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Open Position P/L
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$0.00
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$0.00
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$0.00
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Select Total Net Profit
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$31,053.60
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$13,723.40
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$17,330.20
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Select Gross Profit
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$65,199.90
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$32,995.10
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$32,204.80
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Select Gross Loss
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($34,146.30)
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($19,271.70)
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($14,874.60)
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Select Profit Factor
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1.91
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1.71
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2.17
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Adjusted Total Net Profit
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$24,724.80
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$8,935.05
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$14,387.05
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Adjusted Gross Profit
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$63,520.92
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$31,803.72
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$31,021.73
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Adjusted Gross Loss
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($38,796.12)
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($22,868.66)
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($16,634.67)
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Adjusted Profit Factor
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1.64
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1.39
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1.86
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Total Number of Trades
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1970
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1009
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961
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Percent Profitable
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76.55%
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76.02%
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77.11%
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Winning Trades
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1508
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767
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741
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Losing Trades
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462
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242
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220
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Even Trades
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0
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0
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0
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Avg. Trade Net Profit
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$14.28
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$11.41
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$17.30
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Avg. Winning Trade
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$43.24
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$43.02
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$43.46
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Avg. Losing Trade
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($80.24)
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($88.79)
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($70.84)
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Ratio Avg. Win:Avg. Loss
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0.54
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0.48
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0.61
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Largest Winning Trade
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$57.80
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$45.30
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$57.80
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Largest Losing Trade
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($467.20)
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($467.20)
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($379.70)
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Largest Winner as % of Gross Profit
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0.09%
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0.14%
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0.18%
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Largest Loser as % of Gross Loss
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1.26%
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2.17%
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2.44%
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Net Profit as % of Largest Loss
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6020.65%
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2463.12%
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4377.35%
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Select Net Profit as % of Largest Loss
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6646.75%
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2937.37%
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4564.18%
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Adjusted Net Profit as % of Largest Loss
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5292.12%
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1912.47%
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3789.06%
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Max. Consecutive Winning Trades
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54
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24
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61
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Max. Consecutive Losing Trades
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5
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6
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4
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Avg. Bars in Total Trades
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1.72
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1.72
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1.72
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Avg. Bars in Winning Trades
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1.63
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1.63
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1.63
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Avg. Bars in Losing Trades
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2
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2
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2
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Avg. Bars in Even Trades
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0
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0
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0
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Max. Shares/Contracts Held
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1
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1
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1
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Total Shares/Contracts Held
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1970
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1009
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961
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Account Size Required
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$934.70
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$898.60
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$545.40
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Total Slippage
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$0.00
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$0.00
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$0.00
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Total Commission
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$9,259.00
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$4,742.30
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$4,516.70
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Return on Initial Capital
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562.57%
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Annual Rate of Return
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22.01%
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Buy & Hold Return
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-11.01%
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Return on Account
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3009.36%
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Avg. Monthly Return
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$520.21
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Std. Deviation of Monthly Return
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$944.92
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Return Retracement Ratio
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0.33
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RINA Index
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428368.09
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Sharpe Ratio
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0.52
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K-Ratio
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n/a
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Trading Period
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8 Yrs, 7 Mths, 2 Dys, 7 Hrs, 12 Mins
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Percent of Time in the Market
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0.09%
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Time in the Market
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2 Dys, 22 Hrs, 39 Mins
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Longest Flat Period
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40 Dys, 20 Hrs, 45 Mins
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Max. Equity Run-up
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$28,838.90
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Date of Max. Equity Run-up
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8/6/2010 7:45
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Max. Equity Run-up as % of Initial Capital
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576.78%
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Max. Drawdown (Intra-day Peak to Valley)
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Value
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($1,076.90)
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($1,014.85)
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($867.20)
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Date
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7/15/2002 12:33
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as % of Initial Capital
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21.54%
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20.30%
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17.34%
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Net Profit as % of Drawdown
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2611.99%
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1133.93%
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1916.61%
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Select Net Profit as % of Drawdown
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2883.61%
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1352.26%
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1998.41%
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Adjusted Net Profit as % of Drawdown
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2295.92%
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880.43%
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1659.02%
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Max. Drawdown (Trade Close to Trade Close)
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Value
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($934.70)
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($898.60)
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($545.40)
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Date
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7/15/2002 12:33
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as % of Initial Capital
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18.69%
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17.97%
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10.91%
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Net Profit as % of Drawdown
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3009.36%
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1280.63%
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3047.45%
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Select Net Profit as % of Drawdown
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3322.31%
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1527.20%
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3177.52%
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Adjusted Net Profit as % of Drawdown
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2645.21%
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994.33%
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2637.89%
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Max. Trade Drawdown
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($1,387.50)
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($1,387.50)
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($1,050.00)
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