2005
| Initial Balance | 100,000 | $ Won | 83,952 | |
| Net Win Loss | 32,601 | $ Lost | 53,978 | |
| Ending Equity | 132,601 | Incentive + Fees | 0 | |
| ROI | 32.60% | Other Credits | 2,626 | |
| Compound Annual ROI | 33.02% | Commission/slippage netted | 0 | |
| Max Drawdown % | 9.68% | Other Debits | 0 | |
| Max Drawdown % Date | 20050510 | |||
| Longest Drawdown in years | 22.00% | Long Wins | 36 | |
| Longest Drawdown Start Date | 20050708 | Long Losses | 28 | |
| Longest Drawdown End Date | 20,050,926 | Short Wins | 9 | |
| MAR Ratio | 3.41 | Short Losses | 27 | |
| Sharpe Ratio | 1.8 | Long $ Won | 74,275 | |
| Return Retracement Ratio | 36.49 | Long $ Lost | 32,321 | |
| Sterling Ratio | 0.82 | Short $ Won | 9,677 | |
| Std. Dev. Daily % Returns | 1.08% | Short $ Lost | 21,656 | |
| Value at Risk (99% confidence) | 2.30% | Largest Winning Trade | 5,825 | |
| Average Expectation Value | 26.03 | Largest Losing Trade | 3,413 | |
| Expectation | 30.54% | Transactions netted at open | 0 | |
| Kelly | 0.16 | Average Winning Trade | 1,866 | |
| Sum of Up % / Sum of Down % | 1 | Average Losing Trade | 981 | |
| Percent New Highs | 18.85% | Max Consecutive Wins | 5 | |
| Max Consecutive Losses | 6 | |||
| Trades | 100 | Days Winning | 153 | |
| Trades Rejected | 1,347 | Days Losing | 107 | |
| Wins | 45 | Average Days in Winning Trade | 32 | |
| Losses | 55 | Average Days in Losing Trade | 13 | |
| Percent Wins | 45.00% | |||
| Avg $Win to Avg $Loss | 1.9 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20050103 | |||
| End Date | 20051231 | Size Adjustments | 0 | |
| Max Items Held | 15 | Size Adjusted Items | 0 | |
| Total Items Traded | 120 | |||
| Total Slippage + Commission | 6,000 | Process time (H:M:S) | 0:00:18 | |
| 3 Month T-Bill Rate | 2.79 | |||
| 80% Held In T-Bills nets | 2.232 |