| Portfolio Evaluator Report | |||||||||
| Portfolio Evaluator Report - asx200sector_index_p1-port (11/10/2002-16/01/2006) | |||||||||
| System Analysis | |||||||||
| Net Profit | $294,568.30 | Open Position | $51,243.48 | ||||||
| Gross Profit | $514,165.60 | Interest Earned | $100.68 | ||||||
| Gross Loss | ($219,597.31) | Commission Paid | $0.00 | ||||||
| Percent profitable | 45.26% | Profit factor | 2.34 | ||||||
| Ratio avg. win/avg. loss | 2.83 | Adjusted profit factor | 2.03 | ||||||
| Annual Rate of Return | 203.55% | Sharpe Ratio/Semideviation | 3.14 | / | 3.28 | ||||
| Return on Initial Capital | 2945.68% | Return Retracement Ratio | 522.80 | ||||||
| Return on Max. Drawdown | 800.00% | K-Ratio | 7.44 | ||||||
| (Sharpe Ratio with fixed capital on monthly data) | |||||||||
| Buy/Hold return | N/A | RINA Index | 239.27 | ||||||
| Cumulative return | 2945.68% | Percent in the market | 94.14% | ||||||
| Adjusted Net Profit | $242,228.02 | Select Net Profit | $188,821.35 | ||||||
| Adjusted Gross Profit | $476,465.15 | Select Gross Profit | $408,418.66 | ||||||
| Adjusted Gross Loss | ($234,237.13) | Select Gross Loss | ($219,597.31) | ||||||
| Total Trade Analysis | |||||||||
| Number of total trades | 411 | Avg. trade (%) | 0.86% | ||||||
| Average trade | $716.71 | Avg. trade ± 1 STDEV | $3,672.15 | / | ($2,238.73) | ||||
| 1 Std. Deviation (STDEV) | $2,955.44 | Coefficient of variation | 412.36% | ||||||
| Run-up | |||||||||
| Maximum Run-up | $35,072.80 | Max. Run-up Date | 16/01/2006 | ||||||
| Average Run-up | $2,668.04 | Avg. trade ± 1 STDEV | $6,678.44 | / | $0.00 | ||||
| 1 Std. Deviation (STDEV) | $4,010.40 | Coefficient of variation | 150.31% | ||||||
| Drawdown | |||||||||
| Maximum Drawdown | ($7,607.28) | Max. Drawdown Date | 5/04/2005 | ||||||
| Average Drawdown | ($838.30) | Avg. trade ± 1 STDEV | $0.00 | / | ($1,873.38) | ||||
| 1 Std. Deviation (STDEV) | $1,035.09 | Coefficient of variation | 123.48% | ||||||
| Reward/Risk Ratios | |||||||||
| Net Prft/Largest Loss | 38.72 | Net Prft/Max Drawdown | 38.72 | ||||||
| Adj Net Prft/Largest Loss | 31.84 | Adj Net Prft/Max Drawdown | 31.84 | ||||||
| Outlier Trades | Total Trades | Profit/Loss | |||||||
| Positive outliers | 8 | $105,746.95 | |||||||
| Negative outliers | 0 | $0.00 | |||||||
| Total outliers | 8 | $105,746.95 | |||||||
| Efficiency Analysis | |||||||||
| Total Efficiency | |||||||||
| Average Total Efficiency | -7.18% | Avg. trade ± 1 STDEV | 49.47% | / | -63.83% | ||||
| 1 Std. Deviation (STDEV) | 56.65% | Coefficient of variation | 789.51% | ||||||
| Entry Efficiency | |||||||||
| Average Entry Efficiency | 59.60% | Avg. trade ± 1 STDEV | 95.08% | / | 24.12% | ||||
| 1 Std. Deviation (STDEV) | 35.48% | Coefficient of variation | 59.53% | ||||||
| Exit Efficiency | |||||||||
| Average Exit Efficiency | 33.23% | Avg. trade ± 1 STDEV | 61.14% | / | 5.31% | ||||
| 1 Std. Deviation (STDEV) | 27.92% | Coefficient of variation | 84.02% | ||||||