| Portfolio Evaluator Report | |||||||||
| Portfolio Evaluator Report - asx200sector_index_p1-port (11/10/2002-16/01/2006) | |||||||||
| Portfolio Overview | |||||||||
| # | Name | Market | Start Date |
End Date |
Initial Capital |
Weight | Net Profit |
Number of Trades |
|
| 1 | XDJ | XDJ | 11/10/2002 | 16/01/2006 | $10,000.00 | 1 | $25,656.04 | 77 | |
| 2 | XEJ | XEJ | 11/10/2002 | 16/01/2006 | $10,000.00 | 1 | $56,650.72 | 44 | |
| 3 | XFJ | XFJ | 11/10/2002 | 16/01/2006 | $10,000.00 | 1 | $36,072.96 | 66 | |
| 4 | XHJ | XHJ | 11/10/2002 | 16/01/2006 | $10,000.00 | 1 | $49,525.04 | 77 | |
| 5 | XJO | XJO | 11/10/2002 | 16/01/2006 | $10,000.00 | 1 | $39,680.04 | 75 | |
| 6 | XMJ | XMJ | 11/10/2002 | 16/01/2006 | $10,000.00 | 1 | $86,983.48 | 72 | |
| Performance Ratios | |||||||||
| # | Name | Market | RINA Index |
Sharpe Ratio |
Average Trade |
Avg Trade/ Margin |
Profit Factor |
Percent Profitable |
|
| 1 | XDJ | XDJ | 46.77 | 1.04 | $333.20 | 333.20 | 254.24% | 41.03% | |
| 2 | XEJ | XEJ | 17.60 | 1.46 | $1,287.52 | 1287.52 | 200.72% | 46.67% | |
| 3 | XFJ | XFJ | 41.60 | 1.33 | $546.56 | 546.56 | 226.04% | 40.30% | |
| 4 | XHJ | XHJ | 37.70 | 1.46 | $643.18 | 643.18 | 227.72% | 44.87% | |
| 5 | XJO | XJO | 84.47 | 1.93 | $529.07 | 529.07 | 298.63% | 44.74% | |
| 6 | XMJ | XMJ | 63.36 | 2.06 | $1,208.10 | 1208.10 | 246.57% | 50.68% | |
| Equity Curve Analysis | |||||||||
| # | Name | Market | Max. Equity Drawdown |
Max. Equity Drawdown(%) |
Max. Equity Run-up |
Max. Equity Run-up(%) |
Avg. Monthly Return |
Std. Dev. of Returns |
|
| 1 | XDJ | XDJ | (4660.64) | 22.54% | 29491.60 | 3.71 | 643.06 | 1654.93 | |
| 2 | XEJ | XEJ | (24462.04) | 56.97% | 92759.52 | 10.35 | 2287.20 | 5786.39 | |
| 3 | XFJ | XFJ | (7989.48) | 32.34% | 43266.24 | 5.81 | 999.80 | 2242.37 | |
| 4 | XHJ | XHJ | (11933.64) | 27.85% | 58777.76 | 5.91 | 1238.13 | 2966.84 | |
| 5 | XJO | XJO | (5122.68) | 16.29% | 40573.20 | 4.26 | 992.19 | 1286.29 | |
| 6 | XMJ | XMJ | (15918.88) | 32.15% | 102464.40 | 11.65 | 2484.92 | 3599.39 | |