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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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$106,595.00
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$56,663.80
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$49,931.20
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Gross Profit
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$295,222.60
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$156,680.00
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$138,542.60
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Gross Loss
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($188,627.60)
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($100,016.20)
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($88,611.40)
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Profit Factor
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1.57
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1.57
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1.56
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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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$127,788.10
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$67,729.90
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$60,058.20
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Select Gross Profit
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$295,222.60
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$156,680.00
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$138,542.60
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Select Gross Loss
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($167,434.50)
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($88,950.10)
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($78,484.40)
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Select Profit Factor
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1.76
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1.76
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1.77
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Adjusted Total Net Profit
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$100,115.59
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$51,885.51
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$45,551.79
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Adjusted Gross Profit
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$291,741.43
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$154,112.85
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$136,189.68
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Adjusted Gross Loss
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($191,625.85)
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($102,227.35)
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($90,637.90)
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Adjusted Profit Factor
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1.52
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1.51
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1.5
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Total Number of Trades
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11150
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5771
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5379
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Percent Profitable
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64.50%
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64.55%
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64.45%
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Winning Trades
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7192
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3725
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3467
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Losing Trades
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3958
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2046
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1912
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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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$9.56
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$9.82
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$9.28
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Avg. Winning Trade
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$41.05
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$42.06
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$39.96
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Avg. Losing Trade
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($47.66)
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($48.88)
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($46.34)
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Ratio Avg. Win:Avg. Loss
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0.86
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0.86
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0.86
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Largest Winning Trade
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$57.80
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$57.80
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$57.80
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Largest Losing Trade
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($692.20)
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($617.20)
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($692.20)
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Largest Winner as % of Gross Profit
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0.02%
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0.04%
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0.04%
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Largest Loser as % of Gross Loss
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0.37%
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0.62%
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0.78%
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Net Profit as % of Largest Loss
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15399.45%
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9180.78%
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7213.41%
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Select Net Profit as % of Largest Loss
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18461.15%
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10973.74%
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8676.42%
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Adjusted Net Profit as % of Largest Loss
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14463.39%
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8406.60%
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6580.73%
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Max. Consecutive Winning Trades
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20
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30
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18
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Max. Consecutive Losing Trades
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9
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11
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10
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Avg. Bars in Total Trades
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1.82
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1.81
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1.84
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Avg. Bars in Winning Trades
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1.73
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1.7
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1.75
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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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11150
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5771
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5379
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Account Size Required
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$2,049.50
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$1,221.30
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$1,993.30
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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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$52,405.00
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$27,123.70
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$25,281.30
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Return on Initial Capital
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2131.90%
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Annual Rate of Return
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36.14%
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Buy & Hold Return
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-10.99%
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Return on Account
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5201.02%
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Avg. Monthly Return
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$1,015.53
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Std. Deviation of Monthly Return
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$772.15
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Return Retracement Ratio
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0.48
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RINA Index
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413662.82
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Sharpe Ratio
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0.73
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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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0.62%
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Time in the Market
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19 Dys, 10 Hrs, 54 Mins
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Longest Flat Period
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5 Dys, 1 Hr, 36 Mins
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Max. Equity Run-up
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$107,322.35
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Date of Max. Equity Run-up
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8/5/2010 6:39
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Max. Equity Run-up as % of Initial Capital
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2146.45%
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Max. Drawdown (Intra-day Peak to Valley)
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Value
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($2,181.55)
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($1,388.40)
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($2,075.05)
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Date
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11/18/2008 6:42
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as % of Initial Capital
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43.63%
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27.77%
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41.50%
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Net Profit as % of Drawdown
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4886.20%
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4081.23%
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2406.26%
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Select Net Profit as % of Drawdown
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5857.67%
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4878.27%
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2894.30%
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Adjusted Net Profit as % of Drawdown
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4589.20%
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3737.07%
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2195.21%
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Max. Drawdown (Trade Close to Trade Close)
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Value
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($2,049.50)
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($1,221.30)
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($1,993.30)
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Date
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11/17/2008 8:57
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as % of Initial Capital
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40.99%
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24.43%
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39.87%
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Net Profit as % of Drawdown
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5201.02%
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4639.63%
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2504.95%
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Select Net Profit as % of Drawdown
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6235.09%
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5545.72%
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3013.00%
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Adjusted Net Profit as % of Drawdown
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4884.88%
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4248.38%
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2285.24%
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Max. Trade Drawdown
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($1,612.50)
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($1,612.50)
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($725.00)
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