2001
| Initial Balance | 100,000 | $ Won | 59,449 | |
| Net Win Loss | 21,496 | $ Lost | 42,629 | |
| Ending Equity | 121,496 | Incentive + Fees | 0 | |
| ROI | 21.50% | Other Credits | 4,676 | |
| Compound Annual ROI | 21.63% | Commission/slippage netted | 0 | |
| Max Drawdown % | 10.04% | Other Debits | 0 | |
| Max Drawdown % Date | 20011130 | |||
| Longest Drawdown in years | 23.00% | Long Wins | 27 | |
| Longest Drawdown Start Date | 20010622 | Long Losses | 37 | |
| Longest Drawdown End Date | 20,010,914 | Short Wins | 12 | |
| MAR Ratio | 2.16 | Short Losses | 19 | |
| Sharpe Ratio | 1.06 | Long $ Won | 38,337 | |
| Return Retracement Ratio | 6.40 | Long $ Lost | 26,940 | |
| Sterling Ratio | 0.54 | Short $ Won | 21,113 | |
| Std. Dev. Daily % Returns | 1.05% | Short $ Lost | 15,690 | |
| Value at Risk (99% confidence) | 2.14% | Largest Winning Trade | 5,963 | |
| Average Expectation Value | 15.76 | Largest Losing Trade | 2,650 | |
| Expectation | 23.26% | Transactions netted at open | 0 | |
| Kelly | 0.12 | Average Winning Trade | 1,524 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 761 | |
| Percent New Highs | 6.56% | Max Consecutive Wins | 6 | |
| Max Consecutive Losses | 8 | |||
| Trades | 95 | Days Winning | 138 | |
| Trades Rejected | 1,010 | Days Losing | 121 | |
| Wins | 39 | Average Days in Winning Trade | 30 | |
| Losses | 56 | Average Days in Losing Trade | 14 | |
| Percent Wins | 41.05% | |||
| Avg $Win to Avg $Loss | 2 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20010102 | |||
| End Date | 20011231 | Size Adjustments | 0 | |
| Max Items Held | 21 | Size Adjusted Items | 0 | |
| Total Items Traded | 136 | |||
| Total Slippage + Commission | 6,800 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 5.11 | |||
| 80% Held In T-Bills nets | 4.088 |