1997
| Initial Balance | 100,000 | $ Won | 80,560 | |
| Net Win Loss | 39,910 | $ Lost | 45,692 | |
| Ending Equity | 139,910 | Incentive + Fees | 0 | |
| ROI | 39.91% | Other Credits | 5,043 | |
| Compound Annual ROI | 40.17% | Commission/slippage netted | 0 | |
| Max Drawdown % | 6.91% | Other Debits | 0 | |
| Max Drawdown % Date | 19970904 | |||
| Longest Drawdown in years | 22.00% | Long Wins | 18 | |
| Longest Drawdown Start Date | 19971003 | Long Losses | 34 | |
| Longest Drawdown End Date | 19,971,222 | Short Wins | 20 | |
| MAR Ratio | 5.81 | Short Losses | 24 | |
| Sharpe Ratio | 2.31 | Long $ Won | 42,649 | |
| Return Retracement Ratio | 50.79 | Long $ Lost | 24,713 | |
| Sterling Ratio | 1.08 | Short $ Won | 37,911 | |
| Std. Dev. Daily % Returns | 0.99% | Short $ Lost | 20,979 | |
| Value at Risk (99% confidence) | 2.81% | Largest Winning Trade | 7,337 | |
| Average Expectation Value | 29.47 | Largest Losing Trade | 2,140 | |
| Expectation | 46.10% | Transactions netted at open | 0 | |
| Kelly | 0.17 | Average Winning Trade | 2,120 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 788 | |
| Percent New Highs | 16.67% | Max Consecutive Wins | 5 | |
| Max Consecutive Losses | 9 | |||
| Trades | 96 | Days Winning | 138 | |
| Trades Rejected | 1,025 | Days Losing | 120 | |
| Wins | 38 | Average Days in Winning Trade | 31 | |
| Losses | 58 | Average Days in Losing Trade | 16 | |
| Percent Wins | 39.58% | |||
| Avg $Win to Avg $Loss | 2.69 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 19970102 | |||
| End Date | 19971231 | Size Adjustments | 0 | |
| Max Items Held | 17 | Size Adjusted Items | 0 | |
| Total Items Traded | 122 | |||
| Total Slippage + Commission | 6,100 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 5.07 | |||
| 80% Held In T-Bills nets | 4.056 |