1987
| Initial Balance | 100,000 | $ Won | 83,372 | |
| Net Win Loss | 51,908 | $ Lost | 37,395 | |
| Ending Equity | 151,908 | Incentive + Fees | 0 | |
| ROI | 51.91% | Other Credits | 5,932 | |
| Compound Annual ROI | 52.26% | Commission/slippage netted | 0 | |
| Max Drawdown % | 7.07% | Other Debits | 0 | |
| Max Drawdown % Date | 19870727 | |||
| Longest Drawdown in years | 31.00% | Long Wins | 28 | |
| Longest Drawdown Start Date | 19870519 | Long Losses | 27 | |
| Longest Drawdown End Date | 19870908 | Short Wins | 12 | |
| MAR Ratio | 7.39 | Short Losses | 17 | |
| Sharpe Ratio | 2.84 | Long $ Won | 68,889 | |
| Return Retracement Ratio | 104.52 | Long $ Lost | 22,674 | |
| Sterling Ratio | 1.4 | Short $ Won | 14,483 | |
| Std. Dev. Daily % Returns | 1.06% | Short $ Lost | 14,721 | |
| Value at Risk (99% confidence) | 2.60% | Largest Winning Trade | 12,100 | |
| Average Expectation Value | 37.21 | Largest Losing Trade | 2,186 | |
| Expectation | 64.40% | Transactions netted at open | 0 | |
| Kelly | 0.26 | Average Winning Trade | 2,084 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 850 | |
| Percent New Highs | 18.29% | Max Consecutive Wins | 8 | |
| Max Consecutive Losses | 10 | |||
| Trades | 84 | Days Winning | 141 | |
| Trades Rejected | 816 | Days Losing | 116 | |
| Wins | 40 | Average Days in Winning Trade | 28 | |
| Losses | 44 | Average Days in Losing Trade | 15 | |
| Percent Wins | 47.62% | |||
| Avg $Win to Avg $Loss | 2.45 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 19870102 | |||
| End Date | 19871231 | Size Adjustments | 0 | |
| Max Items Held | 19 | Size Adjusted Items | 0 | |
| Total Items Traded | 112 | |||
| Total Slippage + Commission | 5,600 | Process time (H:M:S) | 0:00:17 | |
| 3 Month T-Bill Rate | 5.82 | |||
| 80% Held In T-Bills nets | 4.656 |