2002
| Initial Balance | 100,000 | $ Won | 72,916 | |
| Net Win Loss | 34,856 | $ Lost | 40,114 | |
| Ending Equity | 134,856 | Incentive + Fees | 0 | |
| ROI | 34.86% | Other Credits | 2,054 | |
| Compound Annual ROI | 35.08% | Commission/slippage netted | 0 | |
| Max Drawdown % | 13.42% | Other Debits | 0 | |
| Max Drawdown % Date | 20020318 | |||
| Longest Drawdown in years | 39.00% | Long Wins | 42 | |
| Longest Drawdown Start Date | 20020108 | Long Losses | 44 | |
| Longest Drawdown End Date | 20,020,530 | Short Wins | 6 | |
| MAR Ratio | 2.61 | Short Losses | 15 | |
| Sharpe Ratio | 1.86 | Long $ Won | 46,552 | |
| Return Retracement Ratio | 15.89 | Long $ Lost | 25,966 | |
| Sterling Ratio | 0.8 | Short $ Won | 26,364 | |
| Std. Dev. Daily % Returns | 1.13% | Short $ Lost | 14,148 | |
| Value at Risk (99% confidence) | 2.88% | Largest Winning Trade | 10,341 | |
| Average Expectation Value | 28.34 | Largest Losing Trade | 1,805 | |
| Expectation | 45.09% | Transactions netted at open | 0 | |
| Kelly | 0.2 | Average Winning Trade | 1,519 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 680 | |
| Percent New Highs | 11.58% | Max Consecutive Wins | 11 | |
| Max Consecutive Losses | 8 | |||
| Trades | 107 | Days Winning | 141 | |
| Trades Rejected | 1,206 | Days Losing | 118 | |
| Wins | 48 | Average Days in Winning Trade | 29 | |
| Losses | 59 | Average Days in Losing Trade | 15 | |
| Percent Wins | 44.86% | |||
| Avg $Win to Avg $Loss | 2.23 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20020102 | |||
| End Date | 20021231 | Size Adjustments | 0 | |
| Max Items Held | 22 | Size Adjusted Items | 0 | |
| Total Items Traded | 152 | |||
| Total Slippage + Commission | 7,600 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 2.28 | |||
| 80% Held In T-Bills nets | 1.824 |