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Strategy Name dloomis project\fgallfalsedloomis.efs Symbol Name ES #F Initial Capital $100,000 Commission per Contract $0.00 Slippage $0.00 Interest Rate %5.00 Margin per Contract $0.00 Minimal Acceptable Rate of Return %0.00 Degree of Risk Aversion of the Investor    Aggressive Number of Standard Deviations 1

Attention! When presenting the results of this strategy commission and slippage were considered zero. Please note this is not realistic and in real life those values can bias the results noticeably. The proper values of commission and slippage may be selected in the Properties dialog box.
Strategy Performance Summary
All Trades Long Trades Short Trades Net Profit $8,462.50 $6,675.00 $1,787.50 Gross Profit $20,675.00 $12,337.50 $8,337.50 Gross Loss ($12,212.50) ($5,662.50) ($6,550.00) Adjusted Net Profit $3,648.43 $3,013.95 $1,647.45 Adjusted Gross Profit $18,090.62 $10,189.81 $9,834.95 Adjusted Gross Loss ($14,442.18) ($7,175.86) ($8,187.50) Select Net Profit $11,050.00 ($287.50) $2,200.00 Select Gross Profit $12,500.00 $6,737.50 $5,762.50 Select Gross Loss ($1,450.00) ($7,025.00) ($3,562.50) Max Strategy Drawdown ($2,475.00) ($2,050.00) ($1,825.00) Max Strategy Drawdown (%) (2.36%) (1.97%) (1.79%) Account Size Required $2,475.00 $2,050.00 $1,825.00 Return on Account 341.91% 325.60% 97.94% Return on Initial Capital 8.46% 6.67% 1.78% Return on Max Str Drawdown 341.91% 325.60% 97.94% Profit Factor 1.69 2.17 1.27 Adjusted Profit Factor 1.25 1.42 1.20 Max # Contracts Held 50 50 50 Commission Paid $0.00 $0.00 $0.00 OpenPosition P/L $0.00 $0.00 $0.00 Annual Rate of Return 108.46% N/A N/A Monthly Rate of Return (100.00%) N/A N/A Buy/Hold Return 10.07% N/A N/A

Performance Ratios
All Trades Long Trades Short Trades Upside Potential Ratio 10,132.11 N/A 549.85 Sharp Ratio (3.41) (7.50) (1,467.13) Sortino Ratio 11.56 N/A 1.09 Fouse Ratio 0.01 0.01 0.00 Net Prft / Largest Loss (6.97) (5.62) (1.47) Net Prft / Max Trade Drawdown 5.24 4.13 1.18 Net Prft / Max Strategy Drawdown 3.41 3.41 3.41 Adj Net Prft / Largest Loss (3.00) (2.53) (1.35) Adj Net Prft / Max Trade Drawdown 2.26 1.86 1.08 Adj Net Prft / Max Strategy Drawdown 1.47 1.47 0.90

Note i. To receive an advanced report use (advanced view) and (simple view) buttons. Statistics related to the advanced view are shown over a gray background.
Note ii. For a hint on special terms roll the mouse pointer over the word you'd like to know about and left-click once. If there is a hint provided for that term, a question mark will be displayed near the pointer. You can drag the hint pop-up over the screen - press and hold the mouse button within the hint field. To hide the hint, left-click the page outside the hint field.

Attention! When presenting the results of this strategy commission and slippage were considered zero. Please note this is not realistic and in real life those values can bias the results noticeably. The proper values of commission and slippage may be selected in the Properties dialog box.

# Type Signal Date Time Price Contracts Profit Cum. Profit Run-up DrawDown Run-up (%) DrawDown (%) 1 Short Short 07/01/2003 13.35 $969.75 50 ($812.50) ($812.50) $62.50 ($1,225.00) 0.06% (1.22%) Cover Long 07/03/2003 12.35 $986.00 50 2 Buy Long 07/03/2003 12.35 $986.00 50 $750.00 ($62.50) $912.50 ($200.00) 0.91% (0.20%) Sell Short 07/07/2003 10.45 $1,001.00 50 3 Short Short 07/07/2003 10.45 $1,001.00 50 $100.00 $37.50 $187.50 ($200.00) 0.18% (0.20%) Cover Long 07/08/2003 10.05 $999.00 50 4 Buy Long 07/08/2003 10.05 $999.00 50 $375.00 $412.50 $475.00 ($87.50) 0.47% (0.08%) Sell Short 07/08/2003 15.55 $1,006.50 50 5 Short Short 07/08/2003 15.55 $1,006.50 50 $250.00 $662.50 $362.50 ($175.00) 0.36% (0.17%) Cover Long 07/09/2003 11.15 $1,001.50 50 6 Buy Long 07/09/2003 11.15 $1,001.50 50 $212.50 $875.00 $262.50 ($275.00) 0.26% (0.27%) Sell Short 07/09/2003 15.25 $1,005.75 50 7 Short Short 07/09/2003 15.25 $1,005.75 50 $612.50 $1,487.50 $750.00 ($37.50) 0.74% (0.03%) Cover Long 07/10/2003 10.20 $993.50 50 8 Buy Long 07/10/2003 10.20 $993.50 50 ($12.50) $1,475.00 $112.50 ($575.00) 0.11% (0.56%) Sell Short 07/11/2003 10.00 $993.25 50 9 Short Short 07/11/2003 10.00 $993.25 50 ($12.50) $1,462.50 $100.00 ($350.00) 0.09% (0.34%) Cover Long 07/11/2003 14.45 $993.50 50 10 Buy Long 07/11/2003 14.45 $993.50 50 $937.50 $2,400.00 $1,062.50 ($87.50) 1.04% (0.08%) Sell Short 07/14/2003 11.15 $1,012.25 50 11 Short Short 07/14/2003 11.15 $1,012.25 50 $287.50 $2,687.50 $812.50 ($75.00) 0.79% (0.07%) Cover Long 07/14/2003 15.10 $1,006.50 50 12 Buy Long 07/14/2003 15.10 $1,006.50 50 ($975.00) $1,712.50 $187.50 ($1,012.50) 0.18% (0.98%) Sell Short 07/17/2003 09.30 $987.00 50 13 Short Short 07/17/2003 09.30 $987.00 50 $312.50 $2,025.00 $375.00 ($212.50) 0.36% (0.20%) Cover Long 07/17/2003 12.45 $980.75 50 14 Buy Long 07/17/2003 12.45 $980.75 50 $175.00 $2,200.00 $350.00 ($200.00) 0.34% (0.19%) Sell Short 07/18/2003 09.50 $984.25 50 15 Short Short 07/18/2003 09.50 $984.25 50 $175.00 $2,375.00 $262.50 ($450.00) 0.25% (0.44%) Cover Long 07/21/2003 11.00 $980.75 50 16 Buy Long 07/21/2003 11.00 $980.75 50 ($75.00) $2,300.00 $112.50 ($362.50) 0.10% (0.35%) Sell Short 07/22/2003 09.40 $979.25 50 17 Short Short 07/22/2003 09.40 $979.25 50 ($75.00) $2,225.00 $250.00 ($512.50) 0.24% (0.50%) Cover Long 07/23/2003 10.20 $980.75 50 18 Buy Long 07/23/2003 10.20 $980.75 50 $300.00 $2,525.00 $400.00 ($150.00) 0.39% (0.14%) Sell Short 07/23/2003 14.35 $986.75 50 19 Short Short 07/23/2003 14.35 $986.75 50 $75.00 $2,600.00 $225.00 ($575.00) 0.21% (0.56%) Cover Long 07/24/2003 15.25 $985.25 50 20 Buy Long 07/24/2003 15.25 $985.25 50 $162.50 $2,762.50 $262.50 ($512.50) 0.25% (0.49%) Sell Short 07/25/2003 13.50 $988.50 50 21 Short Short 07/25/2003 13.50 $988.50 50 $175.00 $2,937.50 $350.00 ($562.50) 0.34% (0.54%) Cover Long 07/29/2003 10.45 $985.00 50 22 Buy Long 07/29/2003 10.45 $985.00 50 $237.50 $3,175.00 $625.00 ($75.00) 0.60% (0.07%) Sell Short 07/31/2003 09.50 $989.75 50 23 Short Short 07/31/2003 09.50 $989.75 50 ($362.50) $2,812.50 $175.00 ($712.50) 0.16% (0.69%) Cover Long 07/31/2003 15.05 $997.00 50 24 Buy Long 07/31/2003 15.05 $997.00 50 ($1,187.50) $1,625.00 $150.00 ($1,612.50) 0.14% (1.56%) Sell Short 08/04/2003 12.45 $973.25 50 25 Short Short 08/04/2003 12.45 $973.25 50 $225.00 $1,850.00 $312.50 ($587.50) 0.30% (0.57%) Cover Long 08/05/2003 15.25 $968.75 50 26 Buy Long 08/05/2003 15.25 $968.75 50 $112.50 $1,962.50 $175.00 ($525.00) 0.17% (0.51%) Sell Short 08/06/2003 13.30 $971.00 50 27 Short Short 08/06/2003 13.30 $971.00 50 $300.00 $2,262.50 $450.00 ($212.50) 0.44% (0.20%) Cover Long 08/07/2003 09.45 $965.00 50 28 Buy Long 08/07/2003 09.45 $965.00 50 $587.50 $2,850.00 $750.00 ($112.50) 0.73% (0.11%) Sell Short 08/08/2003 10.05 $976.75 50 29 Short Short 08/08/2003 10.05 $976.75 50 $100.00 $2,950.00 $225.00 ($400.00) 0.21% (0.38%) Cover Long 08/11/2003 12.00 $974.75 50 30 Buy Long 08/11/2003 12.00 $974.75 50 $487.50 $3,437.50 $625.00 ($37.50) 0.60% (0.03%) Sell Short 08/12/2003 15.05 $984.50 50 31 Short Short 08/12/2003 15.05 $984.50 50 $100.00 $3,537.50 $237.50 ($425.00) 0.22% (0.41%) Cover Long 08/13/2003 15.50 $982.50 50 32 Buy Long 08/13/2003 15.50 $982.50 50 $300.00 $3,837.50 $350.00 ($162.50) 0.33% (0.15%) Sell Short 08/14/2003 11.25 $988.50 50 33 Short Short 08/14/2003 11.25 $988.50 50 ($362.50) $3,475.00 $150.00 ($737.50) 0.14% (0.71%) Cover Long 08/19/2003 14.50 $995.75 50 34 Buy Long 08/19/2003 14.50 $995.75 50 $312.50 $3,787.50 $362.50 ($37.50) 0.35% (0.03%) Sell Short 08/19/2003 16.00 $1,002.00 50 35 Short Short 08/19/2003 16.00 $1,002.00 50 $362.50 $4,150.00 $462.50 ($512.50) 0.44% (0.49%) Cover Long 08/22/2003 14.30 $994.75 50 36 Buy Long 08/22/2003 14.30 $994.75 50 ($250.00) $3,900.00 $62.50 ($612.50) 0.06% (0.58%) Sell Short 08/26/2003 14.35 $989.75 50 37 Short Short 08/26/2003 14.35 $989.75 50 ($150.00) $3,750.00 $25.00 ($500.00) 0.02% (0.48%) Cover Long 08/28/2003 10.35 $992.75 50 38 Buy Long 08/28/2003 10.35 $992.75 50 $250.00 $4,000.00 $312.50 ($62.50) 0.30% (0.06%) Sell Short 08/28/2003 12.55 $997.75 50 39 Short Short 08/28/2003 12.55 $997.75 50 ($400.00) $3,600.00 $137.50 ($787.50) 0.13% (0.75%) Cover Long 09/02/2003 10.20 $1,005.75 50 40 Buy Long 09/02/2003 10.20 $1,005.75 50 $775.00 $4,375.00 $850.00 ($37.50) 0.82% (0.03%) Sell Short 09/02/2003 15.30 $1,021.25 50 41 Short Short 09/02/2003 15.30 $1,021.25 50 ($25.00) $4,350.00 $137.50 ($425.00) 0.13% (0.40%) Cover Long 09/05/2003 13.30 $1,021.75 50 42 Buy Long 09/05/2003 13.30 $1,021.75 50 $300.00 $4,650.00 $462.50 ($200.00) 0.44% (0.19%) Sell Short 09/08/2003 10.05 $1,027.75 50 43 Short Short 09/08/2003 10.05 $1,027.75 50 $37.50 $4,687.50 $112.50 ($250.00) 0.10% (0.23%) Cover Long 09/09/2003 10.00 $1,027.00 50 44 Buy Long 09/09/2003 10.00 $1,027.00 50 ($762.50) $3,925.00 $75.00 ($1,087.50) 0.07% (1.03%) Sell Short 09/12/2003 14.35 $1,011.75 50 45 Short Short 09/12/2003 14.35 $1,011.75 50 ($625.00) $3,300.00 $25.00 ($900.00) 0.02% (0.86%) Cover Long 09/17/2003 14.05 $1,024.25 50 46 Buy Long 09/17/2003 14.05 $1,024.25 50 $237.50 $3,537.50 $300.00 ($100.00) 0.29% (0.09%) Sell Short 09/18/2003 10.05 $1,029.00 50 47 Short Short 09/18/2003 10.05 $1,029.00 50 ($350.00) $3,187.50 $25.00 ($475.00) 0.02% (0.45%) Cover Long 09/19/2003 10.15 $1,036.00 50 48 Buy Long 09/19/2003 10.15 $1,036.00 50 ($600.00) $2,587.50 $62.50 ($1,012.50) 0.06% (0.98%) Sell Short 09/23/2003 09.55 $1,024.00 50 49 Short Short 09/23/2003 09.55 $1,024.00 50 $600.00 $3,187.50 $737.50 ($225.00) 0.71% (0.21%) Cover Long 09/24/2003 13.05 $1,012.00 50 50 Buy Long 09/24/2003 13.05 $1,012.00 50 ($475.00) $2,712.50 $125.00 ($937.50) 0.12% (0.90%) Sell Short 09/29/2003 12.35 $1,002.50 50 51 Short Short 09/29/2003 12.35 $1,002.50 50 $587.50 $3,300.00 $737.50 ($150.00) 0.71% (0.14%) Cover Long 09/30/2003 10.25 $990.75 50 52 Buy Long 09/30/2003 10.25 $990.75 50 $850.00 $4,150.00 $887.50 ($150.00) 0.85% (0.14%) Sell Short 10/01/2003 12.30 $1,007.75 50 53 Short Short 10/01/2003 12.30 $1,007.75 50 ($1,212.50) $2,937.50 $62.50 ($1,512.50) 0.06% (1.45%) Cover Long 10/03/2003 15.25 $1,032.00 50 54 Buy Long 10/03/2003 15.25 $1,032.00 50 $37.50 $2,975.00 $100.00 ($312.50) 0.09% (0.30%) Sell Short 10/06/2003 12.30 $1,032.75 50 55 Short Short 10/06/2003 12.30 $1,032.75 50 $237.50 $3,212.50 $350.00 ($112.50) 0.33% (0.10%) Cover Long 10/07/2003 09.55 $1,028.00 50 56 Buy Long 10/07/2003 09.55 $1,028.00 50 $287.50 $3,500.00 $350.00 ($187.50) 0.33% (0.18%) Sell Short 10/07/2003 15.00 $1,033.75 50 57 Short Short 10/07/2003 15.00 $1,033.75 50 $175.00 $3,675.00 $237.50 ($262.50) 0.22% (0.25%) Cover Long 10/08/2003 14.10 $1,030.25 50 58 Buy Long 10/08/2003 14.10 $1,030.25 50 $550.00 $4,225.00 $712.50 ($62.50) 0.68% (0.06%) Sell Short 10/09/2003 10.00 $1,041.25 50 59 Short Short 10/09/2003 10.00 $1,041.25 50 $25.00 $4,250.00 $87.50 ($300.00) 0.08% (0.28%) Cover Long 10/09/2003 14.20 $1,040.75 50 60 Buy Long 10/09/2003 14.20 $1,040.75 50 $275.00 $4,525.00 $362.50 ($375.00) 0.34% (0.35%) Sell Short 10/13/2003 11.00 $1,046.25 50 61 Short Short 10/13/2003 11.00 $1,046.25 50 $200.00 $4,725.00 $312.50 ($25.00) 0.29% (0.02%) Cover Long 10/13/2003 13.35 $1,042.25 50 62 Buy Long 10/13/2003 13.35 $1,042.25 50 $162.50 $4,887.50 $225.00 ($162.50) 0.21% (0.15%) Sell Short 10/14/2003 14.15 $1,045.50 50 63 Short Short 10/14/2003 14.15 $1,045.50 50 $112.50 $5,000.00 $200.00 ($412.50) 0.19% (0.39%) Cover Long 10/15/2003 15.15 $1,043.25 50 64 Buy Long 10/15/2003 15.15 $1,043.25 50 $337.50 $5,337.50 $450.00 ($62.50) 0.42% (0.05%) Sell Short 10/16/2003 13.10 $1,050.00 50 65 Short Short 10/16/2003 13.10 $1,050.00 50 $175.00 $5,512.50 $275.00 ($50.00) 0.26% (0.04%) Cover Long 10/16/2003 14.55 $1,046.50 50 66 Buy Long 10/16/2003 14.55 $1,046.50 50 ($350.00) $5,162.50 $275.00 ($587.50) 0.26% (0.55%) Sell Short 10/20/2003 10.05 $1,039.50 50 67 Short Short 10/20/2003 10.05 $1,039.50 50 $212.50 $5,375.00 $362.50 ($412.50) 0.34% (0.39%) Cover Long 10/22/2003 10.05 $1,035.25 50 68 Buy Long 10/22/2003 10.05 $1,035.25 50 ($125.00) $5,250.00 $75.00 ($587.50) 0.07% (0.55%) Sell Short 10/23/2003 14.20 $1,032.75 50 69 Short Short 10/23/2003 14.20 $1,032.75 50 $412.50 $5,662.50 $562.50 ($50.00) 0.53% (0.04%) Cover Long 10/24/2003 09.45 $1,024.50 50 70 Buy Long 10/24/2003 09.45 $1,024.50 50 $425.00 $6,087.50 $612.50 ($412.50) 0.57% (0.39%) Sell Short 10/27/2003 10.25 $1,033.00 50 71 Short Short 10/27/2003 10.25 $1,033.00 50 ($1,012.50) $5,075.00 $287.50 ($1,375.00) 0.27% (1.29%) Cover Long 11/04/2003 10.05 $1,053.25 50 72 Buy Long 11/04/2003 10.05 $1,053.25 50 ($125.00) $4,950.00 $187.50 ($500.00) 0.17% (0.47%) Sell Short 11/05/2003 15.55 $1,050.75 50 73 Short Short 11/05/2003 15.55 $1,050.75 50 ($75.00) $4,875.00 $275.00 ($537.50) 0.26% (0.51%) Cover Long 11/07/2003 15.45 $1,052.25 50 74 Buy Long 11/07/2003 15.45 $1,052.25 50 ($12.50) $4,862.50 $62.50 ($500.00) 0.05% (0.47%) Sell Short 11/12/2003 12.25 $1,052.00 50 75 Short Short 11/12/2003 12.25 $1,052.00 50 $112.50 $4,975.00 $250.00 ($612.50) 0.23% (0.58%) Cover Long 11/14/2003 15.25 $1,049.75 50 76 Buy Long 11/14/2003 15.25 $1,049.75 50 ($337.50) $4,637.50 $100.00 ($775.00) 0.09% (0.73%) Sell Short 11/17/2003 15.45 $1,043.00 50 77 Short Short 11/17/2003 15.45 $1,043.00 50 $237.50 $4,875.00 $325.00 ($275.00) 0.31% (0.26%) Cover Long 11/18/2003 14.25 $1,038.25 50 78 Buy Long 11/18/2003 14.25 $1,038.25 50 $187.50 $5,062.50 $275.00 ($362.50) 0.26% (0.34%) Sell Short 11/19/2003 14.40 $1,042.00 50 79 Short Short 11/19/2003 14.40 $1,042.00 50 $225.00 $5,287.50 $500.00 ($87.50) 0.47% (0.08%) Cover Long 11/20/2003 09.55 $1,037.50 50 80 Buy Long 11/20/2003 09.55 $1,037.50 50 $400.00 $5,687.50 $437.50 ($125.00) 0.41% (0.11%) Sell Short 11/20/2003 13.05 $1,045.50 50 81 Short Short 11/20/2003 13.05 $1,045.50 50 $475.00 $6,162.50 $637.50 ($25.00) 0.60% (0.02%) Cover Long 11/20/2003 15.40 $1,036.00 50 82 Buy Long 11/20/2003 15.40 $1,036.00 50 $575.00 $6,737.50 $662.50 ($287.50) 0.62% (0.27%) Sell Short 11/24/2003 11.20 $1,047.50 50 83 Short Short 11/24/2003 11.20 $1,047.50 50 ($175.00) $6,562.50 $62.50 ($525.00) 0.05% (0.49%) Cover Long 11/26/2003 11.15 $1,051.00 50 84 Buy Long 11/26/2003 11.15 $1,051.00 50 $275.00 $6,837.50 $312.50 ($187.50) 0.29% (0.17%) Sell Short 11/26/2003 14.10 $1,056.50 50 85 Short Short 11/26/2003 14.10 $1,056.50 50 ($450.00) $6,387.50 $62.50 ($612.50) 0.05% (0.57%) Cover Long 12/01/2003 14.30 $1,065.50 50 86 Buy Long 12/01/2003 14.30 $1,065.50 50 $375.00 $6,762.50 $425.00 ($62.50) 0.39% (0.05%) Sell Short 12/03/2003 12.05 $1,073.00 50 87 Short Short 12/03/2003 12.05 $1,073.00 50 $262.50 $7,025.00 $312.50 ($62.50) 0.29% (0.05%) Cover Long 12/03/2003 15.20 $1,067.75 50 88 Buy Long 12/03/2003 15.20 $1,067.75 50 $87.50 $7,112.50 $137.50 ($250.00) 0.12% (0.23%) Sell Short 12/04/2003 16.00 $1,069.50 50 89 Short Short 12/04/2003 16.00 $1,069.50 50 $400.00 $7,512.50 $450.00 ($50.00) 0.42% (0.04%) Cover Long 12/05/2003 13.40 $1,061.50 50 90 Buy Long 12/05/2003 13.40 $1,061.50 50 $425.00 $7,937.50 $550.00 ($100.00) 0.51% (0.09%) Sell Short 12/09/2003 09.45 $1,070.00 50 91 Short Short 12/09/2003 09.45 $1,070.00 50 $775.00 $8,712.50 $850.00 ($25.00) 0.78% (0.02%) Cover Long 12/10/2003 15.15 $1,054.50 50 92 Buy Long 12/10/2003 15.15 $1,054.50 50 $575.00 $9,287.50 $637.50 ($62.50) 0.58% (0.05%) Sell Short 12/11/2003 11.00 $1,066.00 50 93 Short Short 12/11/2003 11.00 $1,066.00 50 ($450.00) $8,837.50 $100.00 ($875.00) 0.09% (0.80%) Cover Long 12/15/2003 13.35 $1,075.00 50 94 Buy Long 12/15/2003 13.35 $1,075.00 50 ($375.00) $8,462.50 $75.00 ($437.50) 0.06% (0.40%) Sell Closeout Trade 12/15/2003 16.10 $1,067.50 50

Note. For a hint on special terms roll the mouse pointer over the word you'd like to know about and left-click once. If there is a hint provided for that term, a question mark will be displayed near the pointer. You can drag the hint pop-up over the screen - press and hold the mouse button within the hint field. To hide the hint, left-click the page outside the hint field.

Attention! When presenting the results of this strategy commission and slippage were considered zero. Please note this is not realistic and in real life those values can bias the results noticeably. The proper values of commission and slippage may be selected in the Properties dialog box.
Total Trade Analysis
All Trades Long Trades Short Trades Total # of Trades 94 47 47 Total # of Outlier Trades 29 15 14 Total # of Open Trades 0 0 0 Number Winning Trades 64 33 31 Number Losing Trades 30 14 16 Max Trade Run-up $1,062.50 $1,062.50 $850.00 Max Trade Drawdown ($1,612.50) ($1,612.50) ($1,512.50) Max Trade Run-up (%) 1.04% 1.04% 0.79% Max Trade Drawdown (%) (1.56%) (1.56%) (1.45%) Avg Trade Run-up $336.03 $368.88 $303.19 Avg Trade Drawdown ($388.29) ($353.72) ($422.87) Percent Profitable 68.08% 70.21% 65.95% Avg Trade (win & loss) $90.02 $142.02 $38.03 Average Winning Trade $323.04 $373.86 $268.95 Average Losing Trade ($407.08) ($404.46) ($409.37) Ratio Avg Win / Avg Loss 0.79 0.92 0.65 Largest Winning Trade $937.50 $937.50 $775.00 Largest Losing Trade ($1,212.50) ($1,187.50) ($1,212.50) Max Consec. Winners 12 8 8 Max Consec. Losers 4 3 3 Largest Consec. Profit $2,900.00 $2,900.00 $1,550.00 Largest Consec. Loss ($1,550.00) ($1,187.50) ($1,212.50) Largest Consec. Profit (%) 2.66% 2.71% 1.54% Largest Consec. Loss (%) (1.52%) (1.17%) (1.21%)

Trade Series Analysis

Z-score (0.56) Confidence Limits (0.42) Strategy ME 90.02 # Winning Trade Series Losing Trade Series # of series Avg Win / Series Avg Loss Next Trade # of series Avg Loss / Series Avg Win Next Trade 1 7 $351.78 ($394.64) 12 ($475.00) $1,257.29 2 5 $902.50 ($1,040.00) 7 ($755.35) $782.14 3 1 $662.50 ($150.00) 0 $0.00 $0.00 4 0 $0.00 $0.00 1 ($1,225.00) $112.50 5 1 $950.00 ($1,550.00) 0 $0.00 $0.00 6 2 $2,200.00 ($100.00) 0 $0.00 $0.00 7 1 $2,900.00 ($825.00) 0 $0.00 $0.00 8 1 $2,212.50 ($362.50) 0 $0.00 $0.00 12 1 $2,575.00 ($350.00) 0 $0.00 $0.00

Note i. To receive an advanced report use (advanced view) and (simple view) buttons. Statistics related to the advanced view are shown over a gray background.
Note ii. For a hint on special terms roll the mouse pointer over the word you'd like to know about and left-click once. If there is a hint provided for that term, a question mark will be displayed near the pointer. You can drag the hint pop-up over the screen - press and hold the mouse button within the hint field. To hide the hint, left-click the page outside the hint field.

Time Analysis

Compression 5 minutes Start Date Tue Jul 01 13:35:00 2003 End Date Mon Dec 15 16:10:00 2003 Trading Period 240,635.01 minutes Time in the Market 240,635.01 minutes Percent in the Market 100.00% Longest flat period 0.00 minutes Avg Time in Trades 2,559.93 minutes Avg Time in Winning Trades 1,817.01 minutes Avg Time in Losing Trades 4,144.83 minutes Avg # Bars in Trades 101.02 Avg # Bars in Winning Trades 72.73 Avg # Bars in Losing Trades 161.36 Avg Time Between Trades 0.00 minutes Avg Time Between Winning Trades    1,831.18 minutes Avg Time Between Losing Trades 4,006.71 minutes Max Run-up Date Mon Jul 14 11:00:00 2003 Max DrawDown Date Mon Aug 04 10:30:00 2003

Note. For a hint on special terms roll the mouse pointer over the word you'd like to know about and left-click once. If there is a hint provided for that term, a question mark will be displayed near the pointer. You can drag the hint pop-up over the screen - press and hold the mouse button within the hint field. To hide the hint, left-click the page outside the hint field.

Attention! When presenting the results of this strategy commission and slippage were considered zero. Please note this is not realistic and in real life those values can bias the results noticeably. The proper values of commission and slippage may be selected in the Properties dialog box.
Daily Trading Summary

Daily Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 11/18/03 $200.00 0.19% $400.00 ($200.00) 2 50.00% 11/19/03 $787.50 0.75% $787.50 $0.00 2 100.00% 11/20/03 $725.00 0.68% $900.00 ($175.00) 4 75.00% 11/21/03 $200.00 0.18% $200.00 $0.00 1 100.00% 11/24/03 $175.00 0.16% $350.00 ($175.00) 2 50.00% 11/25/03 ($312.50) (0.29%) $0.00 ($312.50) 1 0.00% 11/26/03 $625.00 0.58% $625.00 $0.00 3 100.00% 11/27/03 ($37.50) (0.03%) $0.00 ($37.50) 1 0.00% 11/28/03 ($275.00) (0.25%) $0.00 ($275.00) 1 0.00% 12/01/03 ($75.00) (0.07%) $100.00 ($175.00) 2 50.00% 12/02/03 $100.00 0.09% $100.00 $0.00 1 100.00% 12/03/03 $325.00 0.30% $437.50 ($112.50) 3 66.66% 12/04/03 $450.00 0.42% $450.00 $0.00 2 100.00% 12/05/03 $112.50 0.10% $150.00 ($37.50) 2 50.00% 12/08/03 $562.50 0.52% $562.50 $0.00 1 100.00% 12/09/03 $375.00 0.34% $475.00 ($100.00) 2 50.00% 12/10/03 $512.50 0.47% $512.50 $0.00 2 100.00% 12/11/03 $87.50 0.08% $362.50 ($275.00) 2 50.00% 12/12/03 ($600.00) (0.55%) $0.00 ($600.00) 1 0.00% 12/15/03 $50.00 0.04% $425.00 ($375.00) 2 50.00%

Daily Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 07/01/03 - 11/18/03 $4,675.00 4.67% $15,637.50 ($10,962.50) 78 65.38% 07/01/03 - 11/19/03 $5,462.50 5.46% $16,225.00 ($10,762.50) 79 67.08% 07/01/03 - 11/20/03 $6,187.50 6.18% $16,950.00 ($10,762.50) 82 68.29% 07/01/03 - 11/21/03 $6,387.50 6.38% $17,150.00 ($10,762.50) 82 68.29% 07/01/03 - 11/24/03 $6,562.50 6.56% $17,500.00 ($10,937.50) 83 67.46% 07/01/03 - 11/25/03 $6,250.00 6.25% $17,500.00 ($11,250.00) 83 67.46% 07/01/03 - 11/26/03 $6,875.00 6.87% $17,812.50 ($10,937.50) 85 68.23% 07/01/03 - 11/27/03 $6,837.50 6.83% $17,775.00 ($10,937.50) 85 67.05% 07/01/03 - 11/28/03 $6,562.50 6.56% $17,775.00 ($11,212.50) 85 67.05% 07/01/03 - 12/01/03 $6,487.50 6.48% $17,875.00 ($11,387.50) 86 67.44% 07/01/03 - 12/02/03 $6,587.50 6.58% $17,975.00 ($11,387.50) 86 67.44% 07/01/03 - 12/03/03 $6,912.50 6.91% $18,412.50 ($11,500.00) 88 67.04% 07/01/03 - 12/04/03 $7,362.50 7.36% $18,750.00 ($11,387.50) 89 68.53% 07/01/03 - 12/05/03 $7,475.00 7.47% $18,900.00 ($11,425.00) 90 67.77% 07/01/03 - 12/08/03 $8,037.50 8.03% $19,425.00 ($11,387.50) 90 68.88% 07/01/03 - 12/09/03 $8,412.50 8.41% $19,800.00 ($11,387.50) 91 69.23% 07/01/03 - 12/10/03 $8,925.00 8.92% $20,312.50 ($11,387.50) 92 69.56% 07/01/03 - 12/11/03 $9,012.50 9.01% $20,675.00 ($11,662.50) 93 68.81% 07/01/03 - 12/12/03 $8,412.50 8.41% $20,675.00 ($12,262.50) 93 68.81% 07/01/03 - 12/15/03 $8,462.50 8.46% $20,675.00 ($12,212.50) 94 68.08%

Monthly Trading Summary

Monthly Average Analysis Period Profit Profit (%) Profit Factor # Trades % Profitable January $0.00 0.00% 0.00% 0 0.00% February $0.00 0.00% 0.00% 0 0.00% March $0.00 0.00% 0.00% 0 0.00% April $0.00 0.00% 0.00% 0 0.00% May $0.00 0.00% 0.00% 0 0.00% June $0.00 0.00% 0.00% 0 0.00% July $2,300.00 2.24% 181.05% 24 66.66% August $1,087.50 1.05% 153.04% 16 68.75% September $237.50 0.22% 108.37% 14 57.14% October $1,525.00 1.45% 158.09% 20 80.00% Novemeber $1,412.50 1.32% 231.39% 15 53.33% December $1,900.00 1.75% 290.00% 10 70.00%

Monthly Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 07/03 $2,300.00 2.24% $5,137.50 ($2,837.50) 24 66.66% 08/03 $1,087.50 1.05% $3,137.50 ($2,050.00) 16 68.75% 09/03 $237.50 0.22% $3,075.00 ($2,837.50) 14 57.14% 10/03 $1,525.00 1.45% $4,150.00 ($2,625.00) 20 80.00% 11/03 $1,412.50 1.32% $2,487.50 ($1,075.00) 15 53.33% 12/03 $1,900.00 1.75% $2,900.00 ($1,000.00) 10 70.00%

Monthly Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 07/03 - 07/03 $2,300.00 2.30% $5,137.50 ($2,837.50) 24 66.66% 07/03 - 08/03 $3,387.50 3.38% $8,275.00 ($4,887.50) 39 69.23% 07/03 - 09/03 $3,625.00 3.62% $11,137.50 ($7,512.50) 52 65.38% 07/03 - 10/03 $5,150.00 5.15% $15,287.50 ($10,137.50) 71 69.01% 07/03 - 11/03 $6,562.50 6.56% $17,775.00 ($11,212.50) 85 67.05% 07/03 - 12/03 $8,462.50 8.46% $20,675.00 ($12,212.50) 94 68.08%

Annual Trading Summary

Annual Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 2003 $8,462.50 7.80% $20,675.00 ($12,212.50) 94 68.08%

Annual Rolling Period Analysis Period Profit Profit (%) Gross Profit Gross Loss # Trades % Profitable 2003 - 2003 $8,462.50 7.80% $20,675.00 ($12,212.50) 94 68.08%

Note i. To receive an advanced report use (advanced view) and (simple view) buttons. Statistics related to the advanced view are shown over a gray background.
Note ii. For a hint on special terms roll the mouse pointer over the word you'd like to know about and left-click once. If there is a hint provided for that term, a question mark will be displayed near the pointer. You can drag the hint pop-up over the screen - press and hold the mouse button within the hint field. To hide the hint, left-click the page outside the hint field.