1991
| Initial Balance | 100,000 | $ Won | 71,149 | |
| Net Win Loss | 22,992 | $ Lost | 52,720 | |
| Ending Equity | 122,992 | Incentive + Fees | 0 | |
| ROI | 22.99% | Other Credits | 4,563 | |
| Compound Annual ROI | 23.13% | Commission/slippage netted | 0 | |
| Max Drawdown % | 16.63% | Other Debits | 0 | |
| Max Drawdown % Date | 19910726 | |||
| Longest Drawdown in years | 60.00% | Long Wins | 27 | |
| Longest Drawdown Start Date | 19910222 | Long Losses | 43 | |
| Longest Drawdown End Date | 19,910,930 | Short Wins | 12 | |
| MAR Ratio | 1.39 | Short Losses | 24 | |
| Sharpe Ratio | 0.98 | Long $ Won | 55,418 | |
| Return Retracement Ratio | 2.65 | Long $ Lost | 33,627 | |
| Sterling Ratio | 0.49 | Short $ Won | 15,731 | |
| Std. Dev. Daily % Returns | 1.21% | Short $ Lost | 19,093 | |
| Value at Risk (99% confidence) | 3.56% | Largest Winning Trade | 8,088 | |
| Average Expectation Value | 17.19 | Largest Losing Trade | 2,588 | |
| Expectation | 22.10% | Transactions netted at open | 0 | |
| Kelly | 0.1 | Average Winning Trade | 1,824 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 787 | |
| Percent New Highs | 9.73% | Max Consecutive Wins | 11 | |
| Max Consecutive Losses | 9 | |||
| Trades | 106 | Days Winning | 141 | |
| Trades Rejected | 952 | Days Losing | 116 | |
| Wins | 39 | Average Days in Winning Trade | 30 | |
| Losses | 67 | Average Days in Losing Trade | 15 | |
| Percent Wins | 36.79% | |||
| Avg $Win to Avg $Loss | 2.32 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 19910102 | |||
| End Date | 19911231 | Size Adjustments | 0 | |
| Max Items Held | 17 | Size Adjusted Items | 0 | |
| Total Items Traded | 140 | |||
| Total Slippage + Commission | 7,000 | Process time (H:M:S) | 0:00:17 | |
| 3 Month T-Bill Rate | 5.42 | |||
| 80% Held In T-Bills nets | 4.336 |