2004
| Initial Balance | 100,000 | $ Won | 47,695 | |
| Net Win Loss | 9,653 | $ Lost | 39,192 | |
| Ending Equity | 109,653 | Incentive + Fees | 0 | |
| ROI | 9.65% | Other Credits | 1,150 | |
| Compound Annual ROI | 9.68% | Commission/slippage netted | 0 | |
| Max Drawdown % | 18.39% | Other Debits | 0 | |
| Max Drawdown % Date | 20040723 | |||
| Longest Drawdown in years | 74.00% | Long Wins | 24 | |
| Longest Drawdown Start Date | 20040112 | Long Losses | 23 | |
| Longest Drawdown End Date | 20,041,008 | Short Wins | 10 | |
| MAR Ratio | 0.53 | Short Losses | 25 | |
| Sharpe Ratio | 0.43 | Long $ Won | 31,926 | |
| Return Retracement Ratio | 1.54 | Long $ Lost | 17,876 | |
| Sterling Ratio | 0.2 | Short $ Won | 15,769 | |
| Std. Dev. Daily % Returns | 1.27% | Short $ Lost | 21,315 | |
| Value at Risk (99% confidence) | 2.77% | Largest Winning Trade | 4,490 | |
| Average Expectation Value | 9.14 | Largest Losing Trade | 1,610 | |
| Expectation | 12.70% | Transactions netted at open | 0 | |
| Kelly | 0.07 | Average Winning Trade | 1,403 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 816 | |
| Percent New Highs | 3.07% | Max Consecutive Wins | 3 | |
| Max Consecutive Losses | 7 | |||
| Trades | 82 | Days Winning | 135 | |
| Trades Rejected | 1,272 | Days Losing | 126 | |
| Wins | 34 | Average Days in Winning Trade | 30 | |
| Losses | 48 | Average Days in Losing Trade | 16 | |
| Percent Wins | 41.46% | |||
| Avg $Win to Avg $Loss | 1.72 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20040102 | |||
| End Date | 20041231 | Size Adjustments | 0 | |
| Max Items Held | 15 | Size Adjusted Items | 0 | |
| Total Items Traded | 99 | |||
| Total Slippage + Commission | 4,950 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 1.42 | |||
| 80% Held In T-Bills nets | 1.136 |