Performance Summary


Results based on e-mini S&P 500. For SPY results see below.

Annual Returns
Net Profit
% Gain
# Trades
2011
$10,400
35%
11
2010
$16,925
56%
13
2009
$12,100
40%
17
2008
$10,500
35%
14
2007
$13,988
47%
12
2006
$13,213
44%
12
79


Equity Curve E-mini S&P

 

 

 

 

 

 

 

 



Monthly Profits E-mini S&P


Performance Summary E-mini S&P

Trading Period 1/1/2006 to 10/07/20011
 
All Trades
Long Trades
Short Trades
Total Net Profit $77,125 $45,363 $31,763
Gross Profit $84,350 $46,913 $37,438
Gross Loss ($7,225) ($1,550) ($5,675)
Profit Factor 12 30 7
       
Total Number of Trades 79 53 26
Percent Profitable 80% 98% 42%
Winning Trades 63 52 11
Losing Trades 16 1 15
Even Trades 0 0 0
       
Avg. Trade Net Profit $976 $856 $1,222
Avg. Winning Trade $1,339 $902 $3,403
Avg. Losing Trade ($452) ($1,550) ($378)
Ratio Avg. Win:Avg. Loss 3 1 9
Largest Winning Trade $5,413 $4,513 $5,413
Largest Losing Trade ($2,238) ($1,550) ($2,238)
Largest Winner as % of Gross Profit 6% 10% 14%
Largest Loser as % of Gross Loss 31% 100% 39%
       
Max. Consecutive Winning Trades 26 48 7
Max. Consecutive Losing Trades 3 1 6
Avg. Bars in Total Trades 10 10 9
Avg. Bars in Winning Trades 10 11 9
Avg. Bars in Losing Trades 9 5 9
Avg. Bars in Even Trades 0 0 0
Initial Capital per Contract $30,000
Return on Initial Capital 257%
Annual Rate of Return 43.6%
Buy & Hold Return -12%    
       
Trading Period
70 Months
Percent of Time in the Market
21%
Time in the Market
2 Yrs, 9 Mths, 14 Dys
Longest Flat Period
65 Dys
 
Max. Equity Run-up
$80,900
Date of Max. Equity Run-up
9/6/2011
Max. Drawdown (Trade Close to Trade Close)
Value
($2,250)
($1,550)
($3,713)
Date
5/4/2009
as % of Initial Capital
7.5%
5.2%
12.4%

_____________________________________________________________________________________


Results based on SPY

SPY trading is less efficient than e-mini trading because it is better to enter overnight if the market rallies or drops. If overnigh trading is available for stocks or SPY then the performance will be better.

Annual Returns
Net Profit
% Gain
# Trades
1/1/2011
$14,864
50%
17
1/1/2010
$10,962
37%
16
1/1/2009
$9,261
31%
16
1/1/2008
$8,865
30%
15
1/1/2007
$10,350
35%
14
1/1/2006
$5,715
19%
16
     
94


Equity Curve SPY


Monthly Profits SPY


Performance Summary SPY

Trading Period 1/1/2006 to 10/07/20011
 
All Trades
Long Trades
Short Trades
Total Net Profit $60,016 $30,465 $29,551
Gross Profit $72,428 $36,338 $36,090
Gross Loss ($12,411) ($5,873) ($6,539)
Profit Factor 6 6 6
       
Total Number of Trades 94 64 30
Percent Profitable 65% 75% 43%
Winning Trades 61 48 13
Losing Trades 33 16 17
Even Trades 0 0 0
       
Avg. Trade Net Profit $638 $476 $985
Avg. Winning Trade $1,187 $757 $2,776
Avg. Losing Trade ($376) ($367) ($385)
Ratio Avg. Win:Avg. Loss 3 2 7
Largest Winning Trade $5,468 $3,038 $5,468
Largest Losing Trade ($1,850) ($1,215) ($1,850)
Largest Winner as % of Gross Profit 8% 8% 15%
Largest Loser as % of Gross Loss 15% 21% 28%
       
Max. Consecutive Winning Trades 7 14 3
Max. Consecutive Losing Trades 5 3 5
Avg. Bars in Total Trades 7 6 8
Avg. Bars in Winning Trades 7 7 8
Avg. Bars in Losing Trades 6 4 8
Avg. Bars in Even Trades 0 0 0
Initial Capital per 450 Shares $30,000    
Return on Initial Capital 200%
Annual Rate of Return 34%
Buy & Hold Return -7%
       
Trading Period
70 Months
Percent of Time in the Market
12%
Time in the Market
2 Yrs, 2 Mths, 7 Dys
Longest Flat Period
76 Dys
 
Max. Equity Run-up
$60,016
Date of Max. Equity Run-up
10/4/2011
 
Max. Drawdown (Trade Close to Trade Close)
Value
($3,074)
($2,174)
($2,349)
Date
1/20/2010
as % of Initial Capital
10%
7%
8%