1996
| Initial Balance | 100,000 | $ Won | 84,092 | |
| Net Win Loss | 38,132 | $ Lost | 50,860 | |
| Ending Equity | 138,132 | Incentive + Fees | 0 | |
| ROI | 38.13% | Other Credits | 4,901 | |
| Compound Annual ROI | 38.26% | Commission/slippage netted | 0 | |
| Max Drawdown % | 8.76% | Other Debits | 0 | |
| Max Drawdown % Date | 19960223 | |||
| Longest Drawdown in years | 22.00% | Long Wins | 33 | |
| Longest Drawdown Start Date | 19960103 | Long Losses | 41 | |
| Longest Drawdown End Date | 19,960,322 | Short Wins | 14 | |
| MAR Ratio | 4.37 | Short Losses | 23 | |
| Sharpe Ratio | 2.04 | Long $ Won | 66,617 | |
| Return Retracement Ratio | 32.00 | Long $ Lost | 32,739 | |
| Sterling Ratio | 0.98 | Short $ Won | 17,474 | |
| Std. Dev. Daily % Returns | 1.06% | Short $ Lost | 18,120 | |
| Value at Risk (99% confidence) | 2.21% | Largest Winning Trade | 5,800 | |
| Average Expectation Value | 28.11 | Largest Losing Trade | 1,850 | |
| Expectation | 37.67% | Transactions netted at open | 0 | |
| Kelly | 0.17 | Average Winning Trade | 1,789 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 795 | |
| Percent New Highs | 15.38% | Max Consecutive Wins | 7 | |
| Max Consecutive Losses | 11 | |||
| Trades | 111 | Days Winning | 139 | |
| Trades Rejected | 1,024 | Days Losing | 121 | |
| Wins | 47 | Average Days in Winning Trade | 31 | |
| Losses | 64 | Average Days in Losing Trade | 10 | |
| Percent Wins | 42.34% | |||
| Avg $Win to Avg $Loss | 2.25 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 19960102 | |||
| End Date | 19961231 | Size Adjustments | 0 | |
| Max Items Held | 22 | Size Adjusted Items | 0 | |
| Total Items Traded | 157 | |||
| Total Slippage + Commission | 7,850 | Process time (H:M:S) | 0:00:17 | |
| 3 Month T-Bill Rate | 5.02 | |||
| 80% Held In T-Bills nets | 4.016 |