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