| Portfolio Evaluator Report | |||||||||
| Portfolio Evaluator Report - usall_stocks_p1-port (10/11/2003-13/01/2006) | |||||||||
| System Analysis | |||||||||
| Net Profit | $1,055,265.05 | Open Position | $63,840.00 | ||||||
| Gross Profit | $1,415,130.07 | Interest Earned | $106.44 | ||||||
| Gross Loss | ($359,865.02) | Commission Paid | $0.00 | ||||||
| Percent profitable | 54.98% | Profit factor | 3.93 | ||||||
| Ratio avg. win/avg. loss | 3.22 | Adjusted profit factor | 3.41 | ||||||
| Annual Rate of Return | 994.86% | Sharpe Ratio/Semideviation | 4.94 | / | 5.81 | ||||
| Return on Initial Capital | 10552.65% | Return Retracement Ratio | 2503.82 | ||||||
| Return on Max. Drawdown | 1757.90% | K-Ratio | 12.17 | ||||||
| (Sharpe Ratio with fixed capital on monthly data) | |||||||||
| Buy/Hold return | N/A | RINA Index | 475.12 | ||||||
| Cumulative return | 10552.65% | Percent in the market | 90.70% | ||||||
| Adjusted Net Profit | $933,324.54 | Select Net Profit | $841,575.04 | ||||||
| Adjusted Gross Profit | $1,319,938.12 | Select Gross Profit | $1,201,440.06 | ||||||
| Adjusted Gross Loss | ($386,613.57) | Select Gross Loss | ($359,865.02) | ||||||
| Total Trade Analysis | |||||||||
| Number of total trades | 402 | Avg. trade (%) | 1.90% | ||||||
| Average trade | $2,625.04 | Avg. trade ± 1 STDEV | $9,415.89 | / | ($4,165.81) | ||||
| 1 Std. Deviation (STDEV) | $6,790.85 | Coefficient of variation | 258.70% | ||||||
| Run-up | |||||||||
| Maximum Run-up | $64,260.00 | Max. Run-up Date | 20/04/2005 | ||||||
| Average Run-up | $6,462.37 | Avg. trade ± 1 STDEV | $14,053.70 | / | $0.00 | ||||
| 1 Std. Deviation (STDEV) | $7,591.33 | Coefficient of variation | 117.47% | ||||||
| Drawdown | |||||||||
| Maximum Drawdown | ($16,560.00) | Max. Drawdown Date | 28/10/2005 | ||||||
| Average Drawdown | ($1,952.85) | Avg. trade ± 1 STDEV | ($162.39) | / | ($3,743.32) | ||||
| 1 Std. Deviation (STDEV) | $1,790.47 | Coefficient of variation | 91.68% | ||||||
| Reward/Risk Ratios | |||||||||
| Net Prft/Largest Loss | 142.41 | Net Prft/Max Drawdown | 63.72 | ||||||
| Adj Net Prft/Largest Loss | 125.95 | Adj Net Prft/Max Drawdown | 56.36 | ||||||
| Outlier Trades | Total Trades | Profit/Loss | |||||||
| Positive outliers | 6 | $213,690.01 | |||||||
| Negative outliers | 0 | $0.00 | |||||||
| Total outliers | 6 | $213,690.01 | |||||||
| Efficiency Analysis | |||||||||
| Total Efficiency | |||||||||
| Average Total Efficiency | 3.72% | Avg. trade ± 1 STDEV | 56.84% | / | -49.40% | ||||
| 1 Std. Deviation (STDEV) | 53.12% | Coefficient of variation | 1428.46% | ||||||
| Entry Efficiency | |||||||||
| Average Entry Efficiency | 63.05% | Avg. trade ± 1 STDEV | 95.58% | / | 30.52% | ||||
| 1 Std. Deviation (STDEV) | 32.53% | Coefficient of variation | 51.59% | ||||||
| Exit Efficiency | |||||||||
| Average Exit Efficiency | 40.66% | Avg. trade ± 1 STDEV | 67.58% | / | 13.75% | ||||
| 1 Std. Deviation (STDEV) | 26.91% | Coefficient of variation | 66.18% | ||||||