I had received a PM requesting that I post the year to date performance of the system. A 32% return, not too shabby, but it is a bull market, so that is expected.
Long + Short
Starting Capital $1,000,000.00
Ending Capital $1,325,568.01
Net Profit $325,568.01
Net Profit % 32.56%
Annualized Gain % 46.17%
Exposure 37.16%
Number of Trades 710
Avg Profit/Loss $458.55
Avg Profit/Loss % 0.82%
Avg Bars Held 2.02
Winning Trades 548
Winning % 77.18%
Gross Profit $716,747.23
Avg Profit $1,307.93
Avg Profit % 2.36%
Avg Bars Held 1.49
Max Consecutive 31
Losing Trades 162
Losing % 22.82%
Gross Loss ($389,802.51)
Avg Loss ($2,406.19)
Avg Loss % -4.39%
Avg Bars Held 3.8
Max Consecutive 6
Max Drawdown ($114,567.63)
Max Drawdown % -10.35%
Max Drawdown Date 3/2/2009
Wealth-Lab Score 111.39
Profit Factor 1.84
Recovery Factor 2.84
Payoff Ratio 0.54
Sharpe Ratio 2.21
Ulcer Index 2.03
Wealth-Lab Error Term 1.18
Wealth-Lab Reward Ratio 39.07
Luck Coefficient 4.21
Pessimistic Rate of Return 1.61
Equity Drop Ratio 0
Long + Short
Starting Capital $1,000,000.00
Ending Capital $1,325,568.01
Net Profit $325,568.01
Net Profit % 32.56%
Annualized Gain % 46.17%
Exposure 37.16%
Number of Trades 710
Avg Profit/Loss $458.55
Avg Profit/Loss % 0.82%
Avg Bars Held 2.02
Winning Trades 548
Winning % 77.18%
Gross Profit $716,747.23
Avg Profit $1,307.93
Avg Profit % 2.36%
Avg Bars Held 1.49
Max Consecutive 31
Losing Trades 162
Losing % 22.82%
Gross Loss ($389,802.51)
Avg Loss ($2,406.19)
Avg Loss % -4.39%
Avg Bars Held 3.8
Max Consecutive 6
Max Drawdown ($114,567.63)
Max Drawdown % -10.35%
Max Drawdown Date 3/2/2009
Wealth-Lab Score 111.39
Profit Factor 1.84
Recovery Factor 2.84
Payoff Ratio 0.54
Sharpe Ratio 2.21
Ulcer Index 2.03
Wealth-Lab Error Term 1.18
Wealth-Lab Reward Ratio 39.07
Luck Coefficient 4.21
Pessimistic Rate of Return 1.61
Equity Drop Ratio 0