2003
| Initial Balance | 100,000 | $ Won | 82,911 | |
| Net Win Loss | 34,176 | $ Lost | 49,944 | |
| Ending Equity | 134,176 | Incentive + Fees | 0 | |
| ROI | 34.18% | Other Credits | 1,209 | |
| Compound Annual ROI | 34.39% | Commission/slippage netted | 0 | |
| Max Drawdown % | 14.03% | Other Debits | 0 | |
| Max Drawdown % Date | 20030321 | |||
| Longest Drawdown in years | 30.00% | Long Wins | 37 | |
| Longest Drawdown Start Date | 20030521 | Long Losses | 37 | |
| Longest Drawdown End Date | 20,030,909 | Short Wins | 7 | |
| MAR Ratio | 2.45 | Short Losses | 16 | |
| Sharpe Ratio | 1.77 | Long $ Won | 72,575 | |
| Return Retracement Ratio | 9.95 | Long $ Lost | 32,963 | |
| Sterling Ratio | 0.78 | Short $ Won | 10,336 | |
| Std. Dev. Daily % Returns | 1.19% | Short $ Lost | 16,981 | |
| Value at Risk (99% confidence) | 2.89% | Largest Winning Trade | 9,238 | |
| Average Expectation Value | 28.7 | Largest Losing Trade | 2,018 | |
| Expectation | 36.07% | Transactions netted at open | 0 | |
| Kelly | 0.18 | Average Winning Trade | 1,884 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 942 | |
| Percent New Highs | 12.36% | Max Consecutive Wins | 10 | |
| Max Consecutive Losses | 6 | |||
| Trades | 97 | Days Winning | 141 | |
| Trades Rejected | 1,264 | Days Losing | 118 | |
| Wins | 44 | Average Days in Winning Trade | 28 | |
| Losses | 53 | Average Days in Losing Trade | 13 | |
| Percent Wins | 45.36% | |||
| Avg $Win to Avg $Loss | 2 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20030102 | |||
| End Date | 20031231 | Size Adjustments | 0 | |
| Max Items Held | 17 | Size Adjusted Items | 0 | |
| Total Items Traded | 128 | |||
| Total Slippage + Commission | 6,400 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 1.22 | |||
| 80% Held In T-Bills nets | 0.976 |