2006
| Initial Balance | 100,000 | $ Won | 61,766 | |
| Net Win Loss | 17,230 | $ Lost | 48,658 | |
| Ending Equity | 117,230 | Incentive + Fees | 0 | |
| ROI | 17.23% | Other Credits | 4,122 | |
| Compound Annual ROI | 17.44% | Commission/slippage netted | 0 | |
| Max Drawdown % | 16.06% | Other Debits | 0 | |
| Max Drawdown % Date | 20060922 | |||
| Longest Drawdown in years | 60.00% | Long Wins | 20 | |
| Longest Drawdown Start Date | 20060523 | Long Losses | 32 | |
| Longest Drawdown End Date | 20,061,229 | Short Wins | 17 | |
| MAR Ratio | 1.09 | Short Losses | 22 | |
| Sharpe Ratio | 0.75 | Long $ Won | 30,659 | |
| Return Retracement Ratio | 2.25 | Long $ Lost | 27,962 | |
| Sterling Ratio | 0.37 | Short $ Won | 31,107 | |
| Std. Dev. Daily % Returns | 1.18% | Short $ Lost | 20,696 | |
| Value at Risk (99% confidence) | 2.94% | Largest Winning Trade | 4,390 | |
| Average Expectation Value | 13.12 | Largest Losing Trade | 2,875 | |
| Expectation | 15.99% | Transactions netted at open | 0 | |
| Kelly | 0.09 | Average Winning Trade | 1,669 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 901 | |
| Percent New Highs | 8.49% | Max Consecutive Wins | 7 | |
| Max Consecutive Losses | 7 | |||
| Trades | 91 | Days Winning | 139 | |
| Trades Rejected | 1,290 | Days Losing | 120 | |
| Wins | 37 | Average Days in Winning Trade | 31 | |
| Losses | 54 | Average Days in Losing Trade | 12 | |
| Percent Wins | 40.66% | |||
| Avg $Win to Avg $Loss | 1.85 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20060102 | |||
| End Date | 20061231 | Size Adjustments | 0 | |
| Max Items Held | 15 | Size Adjusted Items | 0 | |
| Total Items Traded | 112 | |||
| Total Slippage + Commission | 5,600 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 4.38 | |||
| 80% Held In T-Bills nets | 3.504 |