2007
| Initial Balance | 100,000 | $ Won | 96,222 | |
| Net Win Loss | 62,141 | $ Lost | 38,519 | |
| Ending Equity | 162,141 | Incentive + Fees | 0 | |
| ROI | 62.14% | Other Credits | 4,438 | |
| Compound Annual ROI | 72.08% | Commission/slippage netted | 0 | |
| Max Drawdown % | 16.86% | Other Debits | 0 | |
| Max Drawdown % Date | 20070403 | |||
| Longest Drawdown in years | 39.00% | Long Wins | 19 | |
| Longest Drawdown Start Date | 20070102 | Long Losses | 22 | |
| Longest Drawdown End Date | 20070523 | Short Wins | 19 | |
| MAR Ratio | 4.28 | Short Losses | 22 | |
| Sharpe Ratio | 3.67 | Long $ Won | 55,878 | |
| Return Retracement Ratio | 21.44 | Long $ Lost | 19,545 | |
| Sterling Ratio | 1.33 | Short $ Won | 40,343 | |
| Std. Dev. Daily % Returns | 1.17% | Short $ Lost | 18,974 | |
| Value at Risk (99% confidence) | 2.49% | Largest Winning Trade | 10,550 | |
| Average Expectation Value | 49.19 | Largest Losing Trade | 2,303 | |
| Expectation | 80.38% | Transactions netted at open | 0 | |
| Kelly | 0.28 | Average Winning Trade | 2,532 | |
| Sum of Up % / Sum of Down % | 2 | Average Losing Trade | 875 | |
| Percent New Highs | 23.08% | Max Consecutive Wins | 9 | |
| Max Consecutive Losses | 12 | |||
| Trades | 82 | Days Winning | 137 | |
| Trades Rejected | 1,191 | Days Losing | 97 | |
| Wins | 38 | Average Days in Winning Trade | 32 | |
| Losses | 44 | Average Days in Losing Trade | 13 | |
| Percent Wins | 46.34% | |||
| Avg $Win to Avg $Loss | 2.89 | Number of Margin Calls | 0 | |
| $ Largest Margin Call | 0 | |||
| Start Date | 20070102 | |||
| End Date | 20071123 | Size Adjustments | 0 | |
| Max Items Held | 15 | Size Adjusted Items | 0 | |
| Total Items Traded | 104 | |||
| Total Slippage + Commission | 5,200 | Process time (H:M:S) | 0:00:17 | |
| 3 Month T-Bill Rate | 5 | |||
| 80% Held In T-Bills nets | 4 |