Technical Analysis, Trading Ideas — iBankCoin » Blog Archive

Strategy Results for the Week

by Woodshedder on June 29th, 2008 at 12:29 pm

It was another difficult period to be buying strength, yet the strategy turned out another profitable week. It did register the first loss since May 19th, yet it was very small. I was uncomfortable being long, and therefore took half positions. I also closed out the trades early due to going out of town, and my overwhelming sense that the markets were going to tank. Obviously it turned out to be the right move to make. Had I not closed the trades out early, they would have stopped out for losses.

It is easy to see from charts that mean-reversion strategies will get killed during a significant market move one direction or the other. I am well aware of that reality and am glad that I used my override to ensure I did not stay long into a free fall.

TradeStation Performance Summary

	All Trades	Long Trades	Short Trades
Total Net Profit	$87.99	$87.99	$0.00
Gross Profit	$155.39	$155.39	$0.00
Gross Loss	($67.40)	($67.40)	$0.00
Profit Factor	2.31	2.31	n/a


Open Position P/L	$0.00	$0.00	$0.00






Adjusted Total Net Profit	($69.55)	($69.55)	$0.00
Adjusted Gross Profit	$45.51	$45.51	$0.00
Adjusted Gross Loss	($115.06)	($115.06)	$0.00
Adjusted Profit Factor	0.40	0.40	n/a

Total Number of Trades	4	4	0
Percent Profitable	50.00%	50.00%	0.00%
Winning Trades	2	2	0
Losing Trades	2	2	0
Even Trades	0	0	0

Avg. Trade Net Profit	$22.00	$22.00	$0.00
Avg. Winning Trade	$77.70	$77.70	$0.00
Avg. Losing Trade	($33.70)	($33.70)	$0.00
Ratio Avg. Win:Avg. Loss	2.31	2.31	n/a
Largest Winning Trade	$140.00	$140.00	$0.00
Largest Losing Trade	($51.18)	($51.18)	$0.00
Largest Winner as % of Gross Profit	90.10%	90.10%	n/a
Largest Loser as % of Gross Loss	75.93%	75.93%	n/a

Net Profit as % of Largest Loss	171.92%	171.92%	n/a
Select Net Profit as % of Largest Loss	171.92%	171.92%	n/a
Adjusted Net Profit as % of Largest Loss	(135.89%)	(135.89%)	n/a

Max. Consecutive Winning Trades	2	2	0
Max. Consecutive Losing Trades	2	2	0
Avg. Bars in Total Trades	3.25	3.25	0.00
Avg. Bars in Winning Trades	3.00	3.00	0.00
Avg. Bars in Losing Trades	3.50	3.50	0.00
Avg. Bars in Even Trades	0.00	0.00	0.00

Max. Shares/Contracts Held	n/a	n/a	n/a
Total Shares/Contracts Held	179	179	0
Account Size Required	n/a	n/a	n/a
Total Slippage	$0.00	$0.00	$0.00
Total Commission	$7.00	$7.00	$0.00

Return on Initial Capital	0.18%
Annual Rate of Return	12.53%
Buy & Hold Return	0.34%
Return on Account	n/a
Avg. Monthly Return	$87.99
Std. Deviation of Monthly Return	n/a

Return Retracement Ratio	n/a
RINA Index	n/a
Sharpe Ratio	n/a
K-Ratio	n/a

Trading Period	5 Dys, 2 Hrs, 59 Mins
Percent of Time in the Market	98.58%
Time in the Market	5 Dys, 1 Hr, 14 Mins
Longest Flat Period	n/a

Max. Equity Run-up(Daily)	$208.44
Date of Max. Equity Run-up	06/25/08 16:15
Max. Equity Run-up as % of Initial Capital	0.42%

Max. Drawdown(Daily)
Value	($120.45)	($120.45)	$0.00
Date	06/24/08 16:15
as % of Initial Capital	0.24%	0.24%	0.00%
Net Profit as % of Drawdown	73.05%	73.05%	n/a
Select Net Profit as % of Drawdown	73.05%	73.05%	n/a
Adjusted Net Profit as % of Drawdown	(57.74%)	(57.74%)	n/a

Max. Drawdown(Trade Close)
Value	($67.40)	($67.40)	$0.00
Date	06/25/08 14:29
as % of Initial Capital	0.13%	0.13%	0.00%
Net Profit as % of Drawdown	130.55%	130.55%	n/a
Select Net Profit as % of Drawdown	130.55%	130.55%	n/a
Adjusted Net Profit as % of Drawdown	(103.18%)	(103.18%)	n/a

Max. Trade Drawdown	($120.52)	($120.52)	$0.00

This entry was posted on Sunday, June 29th, 2008 at 12:29 pm and is filed under Strategy Trading Results. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.