Simulated Trading Magic Performance
(from: March 1, 2001 thru present)
Net Performance after slippage and commission
(Slippage: $30 per contract per side; commission: $12.50 per contract per side)
Display:
 
TradeStation Strategy Performance Summary Collapse
 
  All Trades
 Long Trades
 Short Trades
Total Net Profit $530,795.00 $263,390.00 $267,405.00
Gross Profit $1,095,645.00 $544,525.00 $551,120.00
Gross Loss ($564,850.00) ($281,135.00) ($283,715.00)
Profit Factor 1.94 1.94 1.94
       
Open Position P/L $0.00 $0.00 $0.00
       
Select Total Net Profit $445,965.00 $221,585.00 $224,380.00
Select Gross Profit $993,925.00 $495,150.00 $498,775.00
Select Gross Loss ($547,960.00) ($273,565.00) ($274,395.00)
Select Profit Factor 1.81 1.81 1.82
       
Adjusted Total Net Profit $440,734.75 $198,720.12 $204,622.87
Adjusted Gross Profit $1,045,426.19 $508,851.98 $515,765.64
Adjusted Gross Loss ($604,691.45) ($310,131.86) ($311,142.76)
Adjusted Profit Factor 1.73 1.64 1.66
       
Total Number of Trades 677 327 350
Percent Profitable 70.31% 71.25% 69.43%
Winning Trades 476 233 243
Losing Trades 201 94 107
Even Trades 0 0 0
       
Avg. Trade Net Profit $784.04 $805.47 $764.01
Avg. Winning Trade $2,301.78 $2,337.02 $2,267.98
Avg. Losing Trade ($2,810.20) ($2,990.80) ($2,651.54)
Ratio Avg. Winning:Avg. Losing 0.82 0.78 0.86
Largest Winning Trade $16,915.00 $16,915.00 $12,480.00
Largest Losing Trade ($9,320.00) ($7,570.00) ($9,320.00)
Largest Winner as % of Gross Profit 1.54% 3.11% 2.26%
Largest Loser as % of Gross Loss 1.65% 2.69% 3.28%
       
Net Profit as % of Largest Loss 5695.23% 3479.39% 2869.15%
Select Net Profit as % of Largest Loss 4785.03% 2927.15% 2407.51%
Adjusted Net Profit as % of Largest Loss 4728.91% 2625.10% 2195.52%
       
Max. Consecutive Winning Trades 21 28 12
Max. Consecutive Losing Trades 7 8 6
Avg. Bars in Total Trades 8.34 10.19 6.61
Avg. Bars in Winning Trades 9.46 11.80 7.22
Avg. Bars in Losing Trades 5.69 6.21 5.22
Avg. Bars in Even Trades 0.00 0.00 0.00
Max. Shares/Contracts Held 2 2 2
Account Size Required $17,200.00 $22,765.00 $17,175.00
Total Slippage $59,880.00 $27,960.00 $31,920.00
Total Commission $24,950.00 $11,650.00 $13,300.00
       
Return on Initial Capital 1061.59%
Annual Rate of Return 82.54%
Buy & Hold Return (5.47%)
Return on Account 3086.02%    
Avg. Monthly Return $14,744.31    
Std. Deviation of Monthly Return $14,915.34    
       
Return Retracement Ratio 1.42    
RINA Index 838.67    
Sharpe Ratio 0.67    
K-Ratio n/a    
       
Trading Period 2 Yrs, 11 Mths, 19 Dys, 4 Hrs    
Percent of Time in the Market 38.64%
Time in the Market 419 Dys, 8 Hrs, 30 Mins    
Longest Flat Period 20 Dys    
       
Max. Equity Run-up $541,215.00    
Date of Max. Equity Run-up 02/13/04 10:30    
Max. Equity Run-up as % of Initial Capital 1082.43%    
 
Max. Drawdown (Intra-day Peak to Valley) 
Value ($28,105.00) ($28,717.50) ($28,105.00)
Date 07/31/02 16:15    
as % of Initial Capital 56.21% 56.21% 57.44%
Net Profit as % of Drawdown 1888.61% 917.18% 951.45%
Select Net Profit as % of Drawdown 1586.78% 771.60% 798.36%
Adjusted Net Profit as % of Drawdown 1568.17% 691.98% 728.07%
       
Max. Drawdown (Trade Close to Trade Close)
Value ($17,200.00) ($22,765.00) ($17,175.00)
Date 06/12/02 12:00    
as % of Initial Capital 34.40% 45.53% 34.35%
Net Profit as % of Drawdown 3086.02% 1157.00% 1556.94%
Select Net Profit as % of Drawdown 2592.82% 973.36% 1306.43%
Adjusted Net Profit as % of Drawdown 2562.41% 872.92% 1191.40%
       
Max. Trade Drawdown ($9,150.00) ($7,400.00) ($9,150.00)