Strategy Performance Summary

All Trades
Net Profit
Gross Profit
Gross Loss
Adjusted Net Profit
Adjusted Gross Profit
Adjusted Gross Loss
Select Net Profit
Select Gross Profit
Select Gross Loss
Account Size Required
Return on Account
Return on Initial Capital
Max Strategy Drawdown
Max Strategy Drawdown (%)
Max Close To Close Drawdown
Max Close To Close Drawdown (%)
Return on Max Strategy Drawdown
Profit Factor
Adjusted Profit Factor
Select Profit Factor
Max # Contracts Held
Slippage Paid
Commission Paid
Open Position P/L
Annual Rate of Return
Monthly Rate of Return
Buy & Hold Return
Avg Monthly Return
Monthly Return StdDev

-56200
377170
-433370
-218352.721427716
288270.178446623
-506622.899874339
-72579.9999999997
184570
-257150
192630
-291751.025281628
-56.2
-211750
-119.1413942497
-192630
-116.4279238441
-0.26540732
-0.8703186653
-0.5690034511
-0.7177522847
1
0
0
-18840
-68.8057541899
-5.7338128492
3192.3676726906
-6821.8181818182
43117.3426403302

Performance Ratios
Upside Potential Ratio
Sharpe Ratio
Sortino Ratio
Fouse Ratio
Calmar Ratio
Sterling Ratio
Net Profit as % of Largest loss
Net Profit as % of Max Trade Drawdown
Net Profit as % of Max Strategy Drawdown

n/a
0.1387431948
0.279508084
-0.580454236
0.0004910213
0.0014931741
-106.7832034961
-93.4330839568
-26.5407319953

Select Net Profit as % of Largest loss

Select Net Profit as % of Max Trade Drawdown
Select Net Profit as % of Max Strategy Drawd
Adj Net Profit as % of Largest loss
Adj Net Profit as % of Max Trade Drawdown
Adj Net Profit as % of Max Strategy Drawdown

-137.9061371841
-120.6650041563
-34.2762691854
-414.8826171912
-363.013668209
-103.1181683248

Time Analysis
Trading Period
Time in the Market
Percent in the Market
Longest flat period
Max Run-up Date
Max Drawdown Date
Max Strategy Drawdown Date
Max Close To Close Drawdown Date

Equity Curve Detailed

9 Mths, 28 Dys, 8 Hrs

9 Mths, 17 Dys
96.2011173184
12 Dys, 8 Hrs
9/12/2011
6/16/2011
8/25/2011 11:00
8/31/2011 12:00

Equity Curve Detailed with DrawDown

Equity Run-up & Drawdown

Equity Run-up & Drawdown (%)

Equity Curve Close To Close

Equity Curve Close To Close With Drawdown

Buy & Hold Return

Value Added Monthly Index

Long Trades

Short Trades

2200
161760
-159560
-88843.0034308837
110606.996569116
-199450
-10240
96690
-106930
76100
28909.3298291723
2.2
-117050
-61.8886480199
-76100
-42.6808749299
0.0187953866
1.0137879168
-0.5545600229
-0.9042364163
1
0
0
-18840 n/a
2.826084408
0.235507034
1359.8444175796

-58400
215410
-273810
-197375.257958796
139251.064132303
-336626.322091098
-62340
87880
-150220
144280
-404768.505683394
-58.4
-152710
-127.3963460415
-144280
-125.5700609225
-0.3824242027
-0.7867134144
-0.4136665941
-0.585008654
1
0
0
-71.4992178771
-5.9582681564
3192.3676726906

List of Trades
Trade # Order # Type
1 EntryShort
1
2 ExitShort
3 EntryLong
2
4 ExitLong
5 EntryShort
3
6 ExitShort
7 EntryLong
4
8 ExitLong
9 EntryShort
5
10 ExitShort
11 EntryLong
6
12 ExitLong
13 EntryShort
7
14 ExitShort
15 EntryLong
8
16 ExitLong
17 EntryShort
9
18 ExitShort
19 EntryLong
10
20 ExitLong
21 EntryShort
11
22 ExitShort
23 EntryLong
12
24 ExitLong
25 EntryShort
13
26 ExitShort
27 EntryLong
14
28 ExitLong
29 EntryShort
15
30 ExitShort
31 EntryLong
16
32 ExitLong
33 EntryShort
17
34 ExitShort
35 EntryLong
18
36 ExitLong
37 EntryShort
19
38 ExitShort
39 EntryLong
20
40 ExitLong
41 EntryShort
21
42 ExitShort

Signal
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long

22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

43 EntryLong
44 ExitLong
45 EntryShort
46 ExitShort
47 EntryLong
48 ExitLong
49 EntryShort
50 ExitShort
51 EntryLong
52 ExitLong
53 EntryShort
54 ExitShort
55 EntryLong
56 ExitLong
57 EntryShort
58 ExitShort
59 EntryLong
60 ExitLong
61 EntryShort
62 ExitShort
63 EntryLong
64 ExitLong
65 EntryShort
66 ExitShort
67 EntryLong
68 ExitLong
69 EntryShort
70 ExitShort
71 EntryLong
72 ExitLong
73 EntryShort
74 ExitShort
75 EntryLong
76 ExitLong
77 EntryShort
78 ExitShort
79 EntryLong
80 ExitLong
81 EntryShort
82 ExitShort
83 EntryLong
84 ExitLong
85 EntryShort
86 ExitShort
87 EntryLong

Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long

44
45
46
47
48
49
50
51
52
53
54

88 ExitLong
89 EntryShort
90 ExitShort
91 EntryLong
92 ExitLong
93 EntryShort
94 ExitShort
95 EntryLong
96 ExitLong
97 EntryShort
98 ExitShort
99 EntryLong
100 ExitLong
101 EntryShort
102 ExitShort
103 EntryLong
104 ExitLong
105 EntryShort
106 ExitShort
107 EntryLong
108 ExitLong

Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
Short
Short
Long
Long
open

Date

Time
11/29/2010
12/13/2010
12/13/2010
12/15/2010
12/15/2010
12/27/2010
12/27/2010
12/28/2010
12/28/2010
12/29/2010
12/29/2010
1/5/2011
1/5/2011
1/10/2011
1/10/2011
1/11/2011
1/11/2011
1/12/2011
1/12/2011
1/28/2011
1/28/2011
1/31/2011
1/31/2011
2/3/2011
2/3/2011
2/8/2011
2/8/2011
2/10/2011
2/10/2011
2/18/2011
2/18/2011
2/21/2011
2/21/2011
2/22/2011
2/22/2011
2/25/2011
2/25/2011
3/9/2011
3/9/2011
3/10/2011
3/10/2011
3/14/2011

Price
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
12:00:00 PM
12:00:00 PM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
12:00:00 PM
12:00:00 PM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM

Contracts
1.30812
1.33177
1.33177
1.33313
1.33313
1.3156
1.3156
1.31302
1.31302
1.31424
1.31424
1.31462
1.31462
1.29238
1.29238
1.29145
1.29145
1.3042
1.3042
1.36927
1.36927
1.37257
1.37257
1.36437
1.36437
1.36525
1.36525
1.35819
1.35819
1.36442
1.36442
1.36584
1.36584
1.36888
1.36888
1.37301
1.37301
1.39302
1.39302
1.37958
1.37958
1.39687

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

3/14/2011
3/21/2011
3/21/2011
3/24/2011
3/24/2011
3/25/2011
3/25/2011
3/28/2011
3/28/2011
4/1/2011
4/1/2011
4/6/2011
4/6/2011
4/22/2011
4/22/2011
4/28/2011
4/28/2011
5/5/2011
5/5/2011
5/24/2011
5/24/2011
5/25/2011
5/25/2011
5/31/2011
5/31/2011
6/1/2011
6/1/2011
6/7/2011
6/7/2011
6/23/2011
6/23/2011
6/27/2011
6/27/2011
7/1/2011
7/1/2011
7/13/2011
7/13/2011
7/14/2011
7/14/2011
7/19/2011
7/19/2011
7/22/2011
7/22/2011
7/26/2011
7/26/2011

11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
12:00:00 PM
12:00:00 PM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM

1.39687
1.41635
1.41635
1.41491
1.41491
1.41216
1.41216
1.4094
1.4094
1.40634
1.40634
1.43047
1.43047
1.45495
1.45495
1.48304
1.48304
1.46713
1.46713
1.41058
1.41058
1.40515
1.40515
1.44075
1.44075
1.44059
1.44059
1.46743
1.46743
1.4148
1.4148
1.4226
1.4226
1.44681
1.44681
1.40764
1.40764
1.41525
1.41525
1.41961
1.41961
1.43323
1.43323
1.44898
1.44898

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

7/27/2011
7/27/2011
7/29/2011
7/29/2011
8/1/2011
8/1/2011
8/5/2011
8/5/2011
8/8/2011
8/8/2011
8/17/2011
8/17/2011
8/18/2011
8/18/2011
8/19/2011
8/19/2011
8/31/2011
8/31/2011
9/12/2011
9/12/2011
9/23/2011

11:00:00 AM
11:00:00 AM
12:00:00 PM
12:00:00 PM
12:00:00 PM
12:00:00 PM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
11:00:00 AM
12:00:00 PM
12:00:00 PM
11:00:00 AM
11:00:00 AM
7:00:00 PM

1.44383
1.44383
1.43909
1.43909
1.42002
1.42002
1.42142
1.42142
1.41781
1.41781
1.45087
1.45087
1.43424
1.43424
1.44265
1.44265
1.4397
1.4397
1.36872
1.36872
1.34988

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

Profit ($)

Profit (%)

Cum. Profit ($)

Cum. Profit (%)

-23650

-1.8079381097

-23650

-23.65

1360

0.1021197354

-22290

-22.29

17530

1.31495053

-4760

-4.76

-2580

-0.1961082396

-7340

-7.34

-1220

-0.0929155687

-8560

-8.56

380

0.0289140492

-8180

-8.18

22240

1.6917436217

14060

14.06

-930

-0.0719602594

13130

13.13

-12750

-0.9872623795

380

0.38

65070

4.9892654501

65450

65.45

-3300

-0.2410043308

62150

62.15

-8200

-0.5974194394

53950

53.95

-880

-0.0644986331

53070

53.07

-7060

-0.5171214063

46010

46.01

-6230

-0.4586987093

39780

39.78

1420

0.1040735257

41200

41.2

-3040

-0.2225736543

38160

38.16

4130

0.3017065046

42290

42.29

-20010

-1.4573819564

22280

22.28

-13440

-0.9648102683

8840

8.84

-17290

-1.2532799838

-8450

-8.45

19480

1.3945463787

11030

11.03

1440

0.101669785

12470

12.47

-2750

-0.1943586518

9720

9.72

2760

0.1954452753

12480

12.48

-3060

-0.2171136654

9420

9.42

-24130

-1.7158012998

-14710

-14.71

24480

1.7113256482

9770

9.77

-28090

-1.9306505378

-18320

-18.32

-15910

-1.0727964182

-34230

-34.23

56550

3.8544641579

22320

22.32

-5430

-0.3849480356

16890

16.89

-35600

-2.5335373448

-18710

-18.71

-160

-0.0111053271

-18870

-18.87

-26840

-1.863125525

-45710

-45.71

-52630

-3.5865424586

-98340

-98.34

-7800

-0.5513146735

-106140

-106.14

24210

1.7018135808

-81930

-81.93

39170

2.7073354483

-42760

-42.76

7610

0.5406211816

-35150

-35.15

-4360

-0.3080727787

-39510

-39.51

13620

0.9594184318

-25890

-25.89

-15750

-1.0989164335

-41640

-41.64

-5150

-0.3554224351

-46790

-46.79

-5150

-0.3554224351

-46790

-46.79

4740

0.3282934972

-42050

-42.05

-19070

-1.3251429723

-61120

-61.12

-1400

-0.0985901607

-62520

-62.52

-3610

-0.2539713807

-66130

-66.13

-33060

-2.3317651872

-99190

-99.19

-16630

-1.1462088264

-115820

-115.82

-8410

-0.5863732709

-124230

-124.23

-2950

-0.2044848023

-127180

-127.18

70980

4.9301937904

-56200

-56.2

-18840

-1.3764685253

-75040

-75.04

Run-up ($)

Run-up (%)

Drawdown ($)

Drawdown (%)

11190

0.8554261077

-35440

-2.709231569

17820

1.3380688858

-3250

-0.2440361324

27650

2.0740662951

-2620

-0.1965299708

11730

0.8916083916

-3030

-0.2303131651

4720

0.3594766264

-2530

-0.1926855646

28890

2.198228634

-1200

-0.0913075237

27210

2.0697996379

-4540

-0.3453469444

6340

0.4905677897

-1190

-0.0920781813

730

0.0565256107

-13170

-1.0197839638

71400

5.474620457

-1840

-0.141082656

12280

0.8968282369

-3300

-0.2410043308

11590

0.8444013784

-8290

-0.6039764821

13570

0.9945982395

-2540

-0.1861665091

9000

0.6592199231

-7060

-0.5171214063

15400

1.1338619781

-6230

-0.4586987093

7050

0.516703068

13140

0.9620453347

-3470

-0.254056112

14810

1.081906376

-5380

-0.3930220326

1940

0.1412954021

-30470

-2.2192118047

320

0.0229716731

-13440

-0.9648102683

4380

0.3174879311

-18370

-1.3315646791

23220

1.6622878292

-11310

-0.8096673277

11010

0.7773502312

-8390

-0.5923677057

6940

0.4904905612

-3560

-0.2516061092

10130

0.7173408112

-3330

-0.2358089735

13800

0.9791400596

-4700

-0.3334752377

80

0.0056885248

-25180

-1.7904631881

34300

2.3978133061

-14560

-1.017847281

5610

0.3855802605

-33070

-2.2729303412

10830

0.7302567699

-17580

-1.1854029561

70200

4.7848520581

-1340

-0.0913347829

2580

0.1829034865

-9240

-0.6550496959

2400

0.1708002704

-37140

-2.643134185

3930

0.2727745966

-4590

-0.3185840708

9860

0.6844417912

-27470

-1.906857607

2070

0.1410629468

-60150

-4.0990030189

4590

0.3244274809

-15670

-1.1075770427

32450

2.2810347252

-370

-0.0260087164

63010

4.355098458

-10810

-0.7471609956

20330

1.4442613168

13790

0.9743861509

-6310

-0.4458576223

24000

1.6906051662

-8780

-0.6184797233

790

0.0551202529

-18880

-1.3173042708

4480

0.3091830115

-5150

-0.3554224351

4480

0.3091830115

-5150

-0.3554224351

20810

1.4413054168

6100

0.4238789791

-19070

-1.3251429723

14460

1.018295517

-16960

-1.1943493754

20930

1.4724711908

-6850

-0.4819124537

7400

0.5219317116

-33670

-2.3747892877

280

0.0192987656

-18870

-1.300598951

8270

0.5766120036

-8710

-0.6072902722

12080

0.8373479361

-9790

-0.678612276

89490

6.215878308

-3460

-0.2403278461

24850

1.8155649074

-30120

-2.2005961775

Total Trade Analysis

All Trades
Total # of Trades
Total # of Open Trades
Number Winning Trades
Number Losing Trades
% Profitable
Avg Trade (win & loss)
Average Winning Trade
Average Losing Trade
Ratio Avg Win / Avg Loss
Largest Winning Trade
Largest Losing Trade
Avg # Bars in Trades
Avg # Bars in Winning Trades
Avg # Bars in Losing Trades
Avg # Bars Between Trades
Avg # Bars Between Winning Trades
Avg # Bars Between Losing Trades

53
1
18
35
33.9622641509
-1060.3773584906
20953.8888888889
-12382
1.6922862937
70980
-52630
95.7
128.9
78.5
n/a
167.6
73.9

Outliers
Total
1 Std. Deviation of Avg. Trade
Avg. Trade +1 Std. Deviation
Avg. Trade - 1 Std. Deviation
Number of Outliers
Outlier Profit/Loss

22789.3950507235
21729.0176922329
-23849.772409214
8
16380

Run-up/Drawdown
Run-up
Max Value
Max Value Date
Avg Value
Max Value (%)
Max Value (%) Date
Avg Value (%)
1 Std. Deviation
Avg. Trade +1 Std. Deviation
Avg. Trade - 1 Std. Deviation

89490
9/12/2011
16411.6666666667
6.215878308
8/31/2011
1.1766517181
18647.6104746719
35059.2771413386
-2235.9438080053

Trade Series Analysis

Z-score
Confidence Limits
Strategy ME
Max Consec. Winners
Max Consec. Losers
Largest Consec. Profit
Largest Consec. Loss
Largest Consec. Profit (%)
Largest Consec. Loss (%)

0.5350370517
0.4073762296
-1060.3773584906
3
7
70990
-128460
85.9814505094
-146.902502157

Trade Series Statistics

Consecutive Winners

Number of Series
1
2
3

Consecutive Losers

Number of Series
1
2
3
5
6
7

Total Trades

9
3
1
4
5
1
1
1
1

Winning Trades

Losing Trades

Drawdown

Drawdown P/L

Maximum Adverse Excursion

Maximum Adverse Excursion (%)

Run-up

Run-up P/L

Maximum Favorable Excursion

Maximum Favorable Excursion (%)

Long Trades

Short Trades

26
1
10
16
38.4615384615
84.6153846154
16176
-9972.5
1.6220606668
65070
-52630
87
118
67.6
n/a

27
0
8
19
29.6296296296
-2162.962962963
26926.25
-14411.052631579
1.8684443592
70980
-35600
104
142.6
87.7
n/a

415.7
265.9

524.5
193.2

Positive
Negative
22706.1852518826
12165.8424432072
43660.0741407715
-216.1575567928
-1752.2963629937
-24547.8424432072
3
5
192600
-176220

Drawdown
-60150
6/16/2011
-11897.037037037
-4.0990030189
6/7/2011
-0.8454998316
12288.0487465912
391.0117095542
-24185.0857836283

Avg. Gain per Series

Avg. Loss Next Trade
27083.3333333333
-10861.1111111111
10405
-2086.6666666667
23663.3333333333
-4360
Avg. Loss per Series
Avg. Gain Next Trade
-8450
5467.5
-10957
30244
-16913.3333333333
19480
-5134
1420
-21410
24210
-12161.4285714286
70980

Daily Period Analysis

Period

Profit ($)
9/23/2011
9/22/2011
9/21/2011
9/20/2011
9/19/2011
9/18/2011
9/17/2011
9/16/2011
9/15/2011
9/14/2011
9/13/2011
9/12/2011
9/11/2011
9/10/2011
9/9/2011
9/8/2011
9/7/2011
9/6/2011
9/5/2011
9/4/2011
9/3/2011
9/2/2011
9/1/2011
8/31/2011
8/30/2011
8/29/2011
8/28/2011
8/27/2011
8/26/2011
8/25/2011
8/24/2011
8/23/2011
8/22/2011
8/21/2011
8/20/2011
8/19/2011
8/18/2011
8/17/2011
8/16/2011
8/15/2011
8/14/2011
8/13/2011

Profit (%)
-3610
-12.6356317816
-370
-1.2785072564
-17450
-37.6158654883
9910
27.1655701754
-4930
-11.9053368752
-13540
-24.6405823476
0
0
-5160
-8.584262186
12270
25.647993311
7880
19.7197197197
-2750
-6.438773121
-10630
-19.9287589051
6290
13.3687566419
0
0
27850
145.0520833333
12710
195.8397534669
-3310
-33.7755102041
5130
109.8501070664
8960
208.8578088578
2320
35.0983358548
0
0
6940
51.2177121771
11250
45.3629032258
-1470
-6.3009001286
-8580
-58.1694915254
3310
18.3277962348
390
2.1138211382
0
0
8240
30.8729861371
340
1.2578616352
420
1.5300546448
1210
4.2219120726
940
3.1756756757
-2150
-7.8324225865
0
0
-13140
-91.8238993711
-3780
-35.8974358974
-23110
-183.7042925278
3720
41.9864559819
-11430
-56.3331690488
-6860
-25.2670349908
0
0

8/12/2011
8/11/2011
8/10/2011
8/9/2011
8/8/2011
8/7/2011
8/6/2011
8/5/2011
8/4/2011
8/3/2011
8/2/2011
8/1/2011
7/31/2011
7/30/2011
7/29/2011
7/28/2011
7/27/2011
7/26/2011
7/25/2011
7/24/2011
7/23/2011
7/22/2011
7/21/2011
7/20/2011
7/19/2011
7/18/2011
7/17/2011
7/16/2011
7/15/2011
7/14/2011
7/13/2011
7/12/2011
7/11/2011
7/10/2011
7/9/2011
7/8/2011
7/7/2011
7/6/2011
7/5/2011
7/4/2011
7/3/2011
7/2/2011
7/1/2011
6/30/2011
6/29/2011

-4230
1440
13440
-13070
-18910
4450
0
-3200
18570
-12200
8570
-24940
-1300
0
-6100
2260
2650
-770
-8570
-2610
0
-8150
14310
9170
-11490
-4920
8120
0
2560
-10400
6900
-4610
26220
5250
0
8950
-1270
11540
3120
6990
-3130
0
-8490
80
14900

-13.4799235182
4.8096192385
81.4545454545
-44.2002029084
-39.0057755776
10.1067454009
0
-6.7753546475
64.7941381717
-29.8580518845
26.5407246826
-43.5785427223
-2.2210832052
0
-9.4383413276
3.6235369569
4.4373744139
-1.2729376756
-12.4094989864
-3.6416910841
0
-10.2104735655
21.8439932835
16.2761803337
-16.9394073419
-6.7628865979
12.5638248491
0
4.1243757048
-14.3507658341
10.5231050785
-6.5688230265
59.6451319381
13.5623869801
0
30.0739247312
-4.0928134064
59.2098512057
19.0592547343
74.5202558635
-25.0199840128
0
-40.4285714286
0.3824091778
247.5083056478

6/28/2011
6/27/2011
6/26/2011
6/25/2011
6/24/2011
6/23/2011
6/22/2011
6/21/2011
6/20/2011
6/19/2011
6/18/2011
6/17/2011
6/16/2011
6/15/2011
6/14/2011
6/13/2011
6/12/2011
6/11/2011
6/10/2011
6/9/2011
6/8/2011
6/7/2011
6/6/2011
6/5/2011
6/4/2011
6/3/2011
6/2/2011
6/1/2011
5/31/2011
5/30/2011
5/29/2011
5/28/2011
5/27/2011
5/26/2011
5/25/2011
5/24/2011
5/23/2011
5/22/2011
5/21/2011
5/20/2011
5/19/2011
5/18/2011
5/17/2011
5/16/2011
5/15/2011

4460
-2170
5000
0
7390
-26510
-5970
3860
5800
-3670
0
13410
-1460
-22110
-390
6830
160
0
-18280
-9660
-2860
-11020
5420
-600
0
-14990
-12750
3860
-1460
-9630
1450
0
-11300
-2840
-10870
-12240
4630
7500
0
15170
-1640
-2700
-12310
-5050
2230

285.8974358974
-58.1769436997
393.7007874016
0
85.3348729792
-148.5154061625
-25.0629722922
19.3386773547
40.9604519774
-20.5832865956
0
303.3936651584
-24.8299319728
-78.9924973205
-1.3742071882
31.6937354988
0.7480130902
0
-46.080161331
-19.5824042165
-5.4799770071
-17.4339503243
9.378785257
-1.0275732146
0
-20.4279095121
-14.8032044584
4.6918682387
-1.7436999881
-10.3149100257
1.5776302905
0
-10.9485514969
-2.6779820839
-9.296955183
-9.476618148
3.7179796033
6.4086131761
0
14.892990379
-1.5845410628
-2.5423728814
-10.3873090878
-4.0870831984
1.8379625814

5/14/2011
5/13/2011
5/12/2011
5/11/2011
5/10/2011
5/9/2011
5/8/2011
5/7/2011
5/6/2011
5/5/2011
5/4/2011
5/3/2011
5/2/2011
5/1/2011
4/30/2011
4/29/2011
4/28/2011
4/27/2011
4/26/2011
4/25/2011
4/24/2011
4/23/2011
4/22/2011
4/21/2011
4/20/2011
4/19/2011
4/18/2011
4/17/2011
4/16/2011
4/15/2011
4/14/2011
4/13/2011
4/12/2011
4/11/2011
4/10/2011
4/9/2011
4/8/2011
4/7/2011
4/6/2011
4/5/2011
4/4/2011
4/3/2011
4/2/2011
4/1/2011
3/31/2011

0
9070
2450
15850
-5790
6140
-7890
0
24890
-5860
4720
-1520
2280
-2320
0
-1610
3240
-19720
-14590
880
2260
0
-950
-2150
17480
17650
-16470
-4300
0
-4050
2040
-2540
6690
-5920
-1720
0
12070
5830
-4770
-6120
2750
940
0
-26480
1480

0
8.0794584001
2.2311264912
16.8688803746
-5.8045112782
6.5591282983
-7.7733990148
0
32.4892311709
-7.1056141627
6.0707395498
-1.9174971616
2.9614235615
-2.9252301097
0
-1.9896193772
4.1709577755
-20.2464065708
-13.027948924
0.7920079201
2.0762517226
0
-0.8652094718
-1.9205002233
18.5032285382
22.9757875553
-17.6546253618
-4.4061891587
0
-3.9846517119
2.0481927711
-2.4867828471
7.008905186
-5.8399921081
-1.668445048
0
13.2608217974
6.8435262355
-5.3023566029
-6.3696919234
2.9465338048
1.0174261284
0
-22.2764364432
1.2607547491

3/30/2011
3/29/2011
3/28/2011
3/27/2011
3/26/2011
3/25/2011
3/24/2011
3/23/2011
3/22/2011
3/21/2011
3/20/2011
3/19/2011
3/18/2011
3/17/2011
3/16/2011
3/15/2011
3/14/2011
3/13/2011
3/12/2011
3/11/2011
3/10/2011
3/9/2011
3/8/2011
3/7/2011
3/6/2011
3/5/2011
3/4/2011
3/3/2011
3/2/2011
3/1/2011
2/28/2011
2/27/2011
2/26/2011
2/25/2011
2/24/2011
2/23/2011
2/22/2011
2/21/2011
2/20/2011
2/19/2011
2/18/2011
2/17/2011
2/16/2011
2/15/2011
2/14/2011

5830
1100
-5200
2550
0
-1430
-4740
8700
5560
-7320
-410
0
11450
14770
-4410
1730
-6120
-2920
0
-8180
-10890
-8850
9090
-630
840
0
-2890
-9710
-10210
5200
-6390
770
0
-11330
5080
7670
-9710
5740
-1140
0
420
-2140
-6060
-1150
1960

5.2258874148
0.9958355966
-4.4959363652
2.254442578
0
-1.2484721495
-3.9738430584
7.8676071622
5.2942296705
-6.5159337725
-0.3636363636
0
11.3030602172
17.0692245464
-4.8493512206
1.9392444793
-6.4198048883
-2.9720101781
0
-7.6858028751
-9.2823048074
-7.014345724
7.7639221045
-0.5352136607
0.7187473261
0
-2.4131596526
-7.4998069051
-7.3095647194
3.8667459845
-4.5360971108
0.5496074233
0
-7.4820048867
3.4711308507
5.5307182002
-6.5435676259
4.0238345601
-0.7928228667
0
0.2929483155
-1.4706892997
-3.9981526687
-0.7530120482
1.3000795967

2/13/2011
2/12/2011
2/11/2011
2/10/2011
2/9/2011
2/8/2011
2/7/2011
2/6/2011
2/5/2011
2/4/2011
2/3/2011
2/2/2011
2/1/2011
1/31/2011
1/30/2011
1/29/2011
1/28/2011
1/27/2011
1/26/2011
1/25/2011
1/24/2011
1/23/2011
1/22/2011
1/21/2011
1/20/2011
1/19/2011
1/18/2011
1/17/2011
1/16/2011
1/15/2011
1/14/2011
1/13/2011
1/12/2011
1/11/2011
1/10/2011
1/9/2011
1/8/2011
1/7/2011
1/6/2011
1/5/2011
1/4/2011
1/3/2011
1/2/2011
1/1/2011
12/31/2010

1190
0
3500
-12390
5710
-4040
-190
-2770
0
4760
-13850
-3270
10240
-13330
1310
0
7410
150
1780
3060
5640
-1660
0
10910
6410
-560
16250
-5380
-3530
0
3480
23300
2320
-11810
-330
880
0
8430
14880
-13370
-7960
7420
-9430
0
9000

0.7956140937
0
2.3961114534
-7.8190079515
3.7381342062
-2.5766949423
-0.1210345267
-1.7339593114
0
3.0711658817
-8.2030324568
-1.8999477079
6.3260641255
-7.6084474886
0.7533498189
0
4.4509851033
0.090182168
1.0817380735
1.8948541705
3.6188642926
-1.0539013396
0
7.4420190996
4.5723660746
-0.3978685613
13.0522088353
-4.1422851863
-2.6459785623
0
2.6783652736
21.8512613711
2.2241395839
-10.1705132621
-0.2833834264
0.7614432811
0
7.8682098189
16.128332972
-12.6573889993
-7.0076591249
6.9887915607
-8.1574394464
0
8.4427767355

12/30/2010
12/29/2010
12/28/2010
12/27/2010
12/26/2010
12/25/2010
12/24/2010
12/23/2010
12/22/2010
12/21/2010
12/20/2010
12/19/2010
12/18/2010
12/17/2010
12/16/2010
12/15/2010
12/14/2010
12/13/2010
12/12/2010
12/11/2010
12/10/2010
12/9/2010
12/8/2010
12/7/2010
12/6/2010
12/5/2010
12/4/2010
12/3/2010
12/2/2010
12/1/2010
11/30/2010
11/29/2010

6200
7380
-11180
6250
-900
0
520
-880
1970
3150
-3280
4960
0
10520
-7940
10580
-3990
-5640
3430
0
1890
6440
-8420
11040
650
6860
0
-21330
-8430
-10300
9180
-2130

6.1752988048
7.9337776822
-10.7293666027
6.3808065339
-0.9104704097
0
0.5288314858
-0.8870073581
2.0259152612
3.3478584334
-3.3685940228
5.3673844822
0
12.8465014043
-8.8389179561
13.3501577287
-4.7933685728
-6.3456345635
4.0140433002
0
2.2618477741
8.3506224066
-9.8433481412
14.8187919463
0.8801624915
10.2403343783
0
-24.1508152174
-8.7131782946
-9.6216721158
9.3797895167
-2.13

-3610
-3980
-21430
-11520
-16450
-29990
-29990
-35150

Profit (%)
-0.1833865036
-0.2021823502
-1.0886351167
-0.5911633397
-0.8441525119
-1.5389747011
-1.5389747011
-1.8037666136

Daily Rolling Period Analysis

Period
Profit ($)
Today - 9/23/2011
9/22/2011 - 9/23/
9/21/2011 - 9/23/
9/20/2011 - 9/23/
9/19/2011 - 9/23/
9/18/2011 - 9/23/
9/17/2011 - 9/23/
9/16/2011 - 9/23/

9/15/2011 - 9/23/
9/14/2011 - 9/23/
9/13/2011 - 9/23/
9/12/2011 - 9/23/
9/11/2011 - 9/23/
9/10/2011 - 9/23/
9/9/2011 - 9/23/2
9/8/2011 - 9/23/2
9/7/2011 - 9/23/2
9/6/2011 - 9/23/2
9/5/2011 - 9/23/2
9/4/2011 - 9/23/2
9/3/2011 - 9/23/2
9/2/2011 - 9/23/2
9/1/2011 - 9/23/2
8/31/2011 - 9/23/
8/30/2011 - 9/23/
8/29/2011 - 9/23/
8/28/2011 - 9/23/
8/27/2011 - 9/23/
8/26/2011 - 9/23/
8/25/2011 - 9/23/
8/24/2011 - 9/23/
8/23/2011 - 9/23/
8/22/2011 - 9/23/
8/21/2011 - 9/23/
8/20/2011 - 9/23/
8/19/2011 - 9/23/
8/18/2011 - 9/23/
8/17/2011 - 9/23/
8/16/2011 - 9/23/
8/15/2011 - 9/23/
8/14/2011 - 9/23/
8/13/2011 - 9/23/
8/12/2011 - 9/23/
8/11/2011 - 9/23/
8/10/2011 - 9/23/
8/9/2011 - 9/23/2
8/8/2011 - 9/23/2
8/7/2011 - 9/23/2
8/6/2011 - 9/23/2
8/5/2011 - 9/23/2
8/4/2011 - 9/23/2
8/3/2011 - 9/23/2
8/2/2011 - 9/23/2

-22880
-15000
-17750
-28380
-22090
-22090
5760
18470
15160
20290
29250
31570
31570
38510
49760
48290
39710
43020
43410
43410
51650
51990
52410
53620
54560
52410
52410
39270
35490
12380
16100
4670
-2190
-2190
-6420
-4980
8460
-4610
-23520
-19070
-19070
-22270
-3700
-15900
-7330

-1.1890903043
-0.7859987424
-0.9300985118
-1.4871096206
-1.165195008
-1.165195008
0.3130230637
1.0177990852
0.8353997906
1.1244485824
1.6372612677
1.7717242463
1.7717242463
2.1781674208
2.8507590948
2.7741075635
2.2812137367
2.4807971767
2.5044134446
2.5044134446
3.0083990541
3.0294025102
3.0553709469
3.1303271606
3.1887039461
3.0630493735
3.0630493735
2.2950953806
2.0778445217
0.7248158687
0.9467358195
0.2746121911
-0.1287795928
-0.1287795928
-0.3775182585
-0.2933380456
0.5063382052
-0.2759124262
-1.4076920315
-1.1474679888
-1.1474679888
-1.3506628983
-0.229574109
-0.9865481982
-0.4596937048

8/1/2011 - 9/23/2
7/31/2011 - 9/23/
7/30/2011 - 9/23/
7/29/2011 - 9/23/
7/28/2011 - 9/23/
7/27/2011 - 9/23/
7/26/2011 - 9/23/
7/25/2011 - 9/23/
7/24/2011 - 9/23/
7/23/2011 - 9/23/
7/22/2011 - 9/23/
7/21/2011 - 9/23/
7/20/2011 - 9/23/
7/19/2011 - 9/23/
7/18/2011 - 9/23/
7/17/2011 - 9/23/
7/16/2011 - 9/23/
7/15/2011 - 9/23/
7/14/2011 - 9/23/
7/13/2011 - 9/23/
7/12/2011 - 9/23/
7/11/2011 - 9/23/
7/10/2011 - 9/23/
7/9/2011 - 9/23/2
7/8/2011 - 9/23/2
7/7/2011 - 9/23/2
7/6/2011 - 9/23/2
7/5/2011 - 9/23/2
7/4/2011 - 9/23/2
7/3/2011 - 9/23/2
7/2/2011 - 9/23/2
7/1/2011 - 9/23/2
6/30/2011 - 9/23/
6/29/2011 - 9/23/
6/28/2011 - 9/23/
6/27/2011 - 9/23/
6/26/2011 - 9/23/
6/25/2011 - 9/23/
6/24/2011 - 9/23/
6/23/2011 - 9/23/
6/22/2011 - 9/23/
6/21/2011 - 9/23/
6/20/2011 - 9/23/
6/19/2011 - 9/23/
6/18/2011 - 9/23/

-32270
-33570
-33570
-39670
-37410
-34760
-35530
-44100
-46710
-46710
-54860
-40550
-31380
-42870
-47790
-39670
-39670
-37110
-47510
-40610
-45220
-19000
-13750
-13750
-4800
-6070
5470
8590
15580
12450
12450
3960
4040
18940
23400
21230
26230
26230
33620
7110
1140
5000
10800
7130
7130

-2.0237811532
-2.1053093682
-2.1053093682
-2.4896760346
-2.3545183339
-2.2132514931
-2.2662040285
-2.8128229006
-2.9792960927
-2.9792960927
-3.4991261752
-2.634485447
-2.0633062872
-2.8187998895
-3.1423010665
-2.6365461047
-2.6365461047
-2.4748249416
-3.1683894632
-2.7643903502
-3.0782007297
-1.3412395877
-0.9778820852
-0.9778820852
-0.3457715027
-0.4372568794
0.4006973746
0.6321382315
1.1584504424
0.9257193843
0.9257193843
0.2944456837
0.3004298229
1.4403699028
1.7917030367
1.64494584
2.0482266402
2.0482266402
2.6559438792
0.5616823611
0.0900587752
0.3974183703
0.8664120913
0.5719924269
0.5719924269

6/17/2011 - 9/23/
6/16/2011 - 9/23/
6/15/2011 - 9/23/
6/14/2011 - 9/23/
6/13/2011 - 9/23/
6/12/2011 - 9/23/
6/11/2011 - 9/23/
6/10/2011 - 9/23/
6/9/2011 - 9/23/2
6/8/2011 - 9/23/2
6/7/2011 - 9/23/2
6/6/2011 - 9/23/2
6/5/2011 - 9/23/2
6/4/2011 - 9/23/2
6/3/2011 - 9/23/2
6/2/2011 - 9/23/2
6/1/2011 - 9/23/2
5/31/2011 - 9/23/
5/30/2011 - 9/23/
5/29/2011 - 9/23/
5/28/2011 - 9/23/
5/27/2011 - 9/23/
5/26/2011 - 9/23/
5/25/2011 - 9/23/
5/24/2011 - 9/23/
5/23/2011 - 9/23/
5/22/2011 - 9/23/
5/21/2011 - 9/23/
5/20/2011 - 9/23/
5/19/2011 - 9/23/
5/18/2011 - 9/23/
5/17/2011 - 9/23/
5/16/2011 - 9/23/
5/15/2011 - 9/23/
5/14/2011 - 9/23/
5/13/2011 - 9/23/
5/12/2011 - 9/23/
5/11/2011 - 9/23/
5/10/2011 - 9/23/
5/9/2011 - 9/23/2
5/8/2011 - 9/23/2
5/7/2011 - 9/23/2
5/6/2011 - 9/23/2
5/5/2011 - 9/23/2
5/4/2011 - 9/23/2

20540
19080
-3030
-3420
3410
3570
3570
-14710
-24370
-27230
-38250
-32830
-33430
-33430
-48420
-61170
-57310
-58770
-68400
-66950
-66950
-78250
-81090
-91960
-104200
-99570
-92070
-92070
-76900
-78540
-81240
-93550
-98600
-96370
-96370
-87300
-84850
-69000
-74790
-68650
-76540
-76540
-51650
-57510
-52790

1.6840206608
1.5643190949
-0.2484217431
-0.2803968189
0.2827435243
0.2960886441
0.2960886441
-1.2200179146
-2.0211989517
-2.2584016189
-3.17237833
-2.74755624
-2.7977704874
-2.7977704874
-4.0522897697
-5.1193425281
-4.83677672
-4.9682142495
-5.7823014236
-5.6736326503
-5.6736326503
-6.6312435382
-6.8719174251
-7.7930882527
-8.8303588075
-8.504731969
-7.9661867516
-7.9661867516
-6.8330045672
-6.9787279416
-7.218638375
-8.3124522401
-8.7611736063
-8.5970953468
-8.5970953468
-7.9160697122
-7.7282497814
-6.4714599238
-7.0144998218
-6.5136535287
-7.2622729947
-7.2622729947
-5.1436026131
-5.8535542708
-5.4252651484

5/3/2011 - 9/23/2
5/2/2011 - 9/23/2
5/1/2011 - 9/23/2
4/30/2011 - 9/23/
4/29/2011 - 9/23/
4/28/2011 - 9/23/
4/27/2011 - 9/23/
4/26/2011 - 9/23/
4/25/2011 - 9/23/
4/24/2011 - 9/23/
4/23/2011 - 9/23/
4/22/2011 - 9/23/
4/21/2011 - 9/23/
4/20/2011 - 9/23/
4/19/2011 - 9/23/
4/18/2011 - 9/23/
4/17/2011 - 9/23/
4/16/2011 - 9/23/
4/15/2011 - 9/23/
4/14/2011 - 9/23/
4/13/2011 - 9/23/
4/12/2011 - 9/23/
4/11/2011 - 9/23/
4/10/2011 - 9/23/
4/9/2011 - 9/23/2
4/8/2011 - 9/23/2
4/7/2011 - 9/23/2
4/6/2011 - 9/23/2
4/5/2011 - 9/23/2
4/4/2011 - 9/23/2
4/3/2011 - 9/23/2
4/2/2011 - 9/23/2
4/1/2011 - 9/23/2
3/31/2011 - 9/23/
3/30/2011 - 9/23/
3/29/2011 - 9/23/
3/28/2011 - 9/23/
3/27/2011 - 9/23/
3/26/2011 - 9/23/
3/25/2011 - 9/23/
3/24/2011 - 9/23/
3/23/2011 - 9/23/
3/22/2011 - 9/23/
3/21/2011 - 9/23/
3/20/2011 - 9/23/

-54310
-52030
-54350
-54350
-55960
-52720
-72440
-87030
-86150
-83890
-83890
-84840
-86990
-69510
-51860
-68330
-72630
-72630
-76680
-74640
-77180
-70490
-76410
-78130
-78130
-66060
-60230
-65000
-71120
-68370
-67430
-67430
-93910
-92430
-86600
-85500
-90700
-88150
-88150
-89580
-94320
-85620
-80060
-87380
-87790

-5.5814766094
-5.3723360317
-5.6118866678
-5.6118866678
-5.7781265488
-5.4889222056
-7.5420623022
-9.0610944528
-8.9859395861
-8.7916579333
-8.7916579333
-8.8912177741
-9.1165374135
-7.561681389
-5.8669140439
-7.7301626807
-8.2166210376
-8.2166210376
-8.6747969319
-8.4831677767
-8.7718500671
-8.1352137383
-8.8184378174
-9.0169421106
-9.0169421106
-7.8424389202
-7.2506861848
-7.8249145279
-8.5616603265
-8.2854649895
-8.19021013
-8.19021013
-11.4065346775
-11.2672794207
-10.7088094178
-10.6016268227
-11.2464041266
-10.9997753875
-10.9997753875
-11.2735967783
-11.9322925891
-11.0754663286
-10.5073890333
-11.4680946006
-11.5219046119

3/19/2011 - 9/23/
3/18/2011 - 9/23/
3/17/2011 - 9/23/
3/16/2011 - 9/23/
3/15/2011 - 9/23/
3/14/2011 - 9/23/
3/13/2011 - 9/23/
3/12/2011 - 9/23/
3/11/2011 - 9/23/
3/10/2011 - 9/23/
3/9/2011 - 9/23/2
3/8/2011 - 9/23/2
3/7/2011 - 9/23/2
3/6/2011 - 9/23/2
3/5/2011 - 9/23/2
3/4/2011 - 9/23/2
3/3/2011 - 9/23/2
3/2/2011 - 9/23/2
3/1/2011 - 9/23/2
2/28/2011 - 9/23/
2/27/2011 - 9/23/
2/26/2011 - 9/23/
2/25/2011 - 9/23/
2/24/2011 - 9/23/
2/23/2011 - 9/23/
2/22/2011 - 9/23/
2/21/2011 - 9/23/
2/20/2011 - 9/23/
2/19/2011 - 9/23/
2/18/2011 - 9/23/
2/17/2011 - 9/23/
2/16/2011 - 9/23/
2/15/2011 - 9/23/
2/14/2011 - 9/23/
2/13/2011 - 9/23/
2/12/2011 - 9/23/
2/11/2011 - 9/23/
2/10/2011 - 9/23/
2/9/2011 - 9/23/2
2/8/2011 - 9/23/2
2/7/2011 - 9/23/2
2/6/2011 - 9/23/2
2/5/2011 - 9/23/2
2/4/2011 - 9/23/2
2/3/2011 - 9/23/2

-87790
-76340
-61570
-65980
-64250
-70370
-73290
-73290
-81470
-92360
-101210
-92120
-92750
-91910
-91910
-94800
-104510
-114720
-109520
-115910
-115140
-115140
-126470
-121390
-113720
-123430
-117690
-118830
-118830
-118410
-120550
-126610
-127760
-125800
-124610
-124610
-121110
-133500
-127790
-131830
-132020
-134790
-134790
-130030
-143880

-11.5219046119
-10.3296168002
-8.6779422128
-9.2995066949
-9.1000509886
-9.9668574018
-10.3804317036
-10.3804317036
-11.5390062886
-13.081411818
-14.3348818764
-13.3922600529
-13.4838484575
-13.3944446064
-13.3944446064
-13.8156168935
-15.2306974846
-16.7186452534
-16.2064577229
-17.1520317263
-17.0770052207
-17.0770052207
-18.757415757
-18.2794241658
-17.5293646145
-19.0566620349
-18.5830228005
-18.76302659
-18.76302659
-18.936510475
-19.2787462018
-20.2478810171
-20.4317927395
-20.2452605491
-20.1308562197
-20.1308562197
-19.7892156863
-21.8180035301
-21.2820171202
-21.9548346268
-21.9864770343
-22.4477900276
-22.4477900276
-22.0039259485
-24.4336514621

2/2/2011 - 9/23/2
2/1/2011 - 9/23/2
1/31/2011 - 9/23/
1/30/2011 - 9/23/
1/29/2011 - 9/23/
1/28/2011 - 9/23/
1/27/2011 - 9/23/
1/26/2011 - 9/23/
1/25/2011 - 9/23/
1/24/2011 - 9/23/
1/23/2011 - 9/23/
1/22/2011 - 9/23/
1/21/2011 - 9/23/
1/20/2011 - 9/23/
1/19/2011 - 9/23/
1/18/2011 - 9/23/
1/17/2011 - 9/23/
1/16/2011 - 9/23/
1/15/2011 - 9/23/
1/14/2011 - 9/23/
1/13/2011 - 9/23/
1/12/2011 - 9/23/
1/11/2011 - 9/23/
1/10/2011 - 9/23/
1/9/2011 - 9/23/2
1/8/2011 - 9/23/2
1/7/2011 - 9/23/2
1/6/2011 - 9/23/2
1/5/2011 - 9/23/2
1/4/2011 - 9/23/2
1/3/2011 - 9/23/2
1/2/2011 - 9/23/2
1/1/2011 - 9/23/2
12/31/2010 - 9/23
12/30/2010 - 9/23
12/29/2010 - 9/23
12/28/2010 - 9/23
12/27/2010 - 9/23
12/26/2010 - 9/23
12/25/2010 - 9/23
12/24/2010 - 9/23
12/23/2010 - 9/23
12/22/2010 - 9/23
12/21/2010 - 9/23
12/20/2010 - 9/23

-147150
-136910
-150240
-148930
-148930
-141520
-141370
-139590
-136530
-130890
-132550
-132550
-121640
-115230
-115790
-99540
-104920
-108450
-108450
-104970
-81670
-79350
-91160
-91490
-90610
-90610
-82180
-67300
-80670
-88630
-81210
-90640
-90640
-81640
-75440
-68060
-79240
-72990
-73890
-73890
-73370
-74250
-72280
-69130
-72410

-24.9889617227
-24.0877581899
-26.4330201626
-26.3238829186
-26.3238829186
-25.7834134966
-25.7701702578
-25.6119041503
-25.3349415476
-24.807626701
-25.1222470718
-25.1222470718
-24.0490312376
-23.3741733945
-23.4877682665
-21.6165740097
-22.7849200834
-23.5515114663
-23.5515114663
-23.1456165108
-20.0702840853
-20.1181481669
-23.1124182344
-23.4409428645
-23.3206362279
-23.3206362279
-22.1104175635
-19.6829667759
-23.6541168191
-25.9881538822
-24.8957694666
-27.7866339669
-27.7866339669
-26.4892926671
-25.5037187289
-24.4925867281
-28.5899841247
-28.1553772566
-28.5025459034
-28.5025459034
-28.4159566228
-28.7567776917
-28.4275938016
-27.879496693
-29.202290692

12/19/2010 - 9/23
12/18/2010 - 9/23
12/17/2010 - 9/23
12/16/2010 - 9/23
12/15/2010 - 9/23
12/14/2010 - 9/23
12/13/2010 - 9/23
12/12/2010 - 9/23
12/11/2010 - 9/23
12/10/2010 - 9/23
12/9/2010 - 9/23/
12/8/2010 - 9/23/
12/7/2010 - 9/23/
12/6/2010 - 9/23/
12/5/2010 - 9/23/
12/4/2010 - 9/23/
12/3/2010 - 9/23/
12/2/2010 - 9/23/
12/1/2010 - 9/23/
11/30/2010 - 9/23
11/29/2010 - 9/23

-67450
-67450
-56930
-64870
-54290
-58280
-63920
-60490
-60490
-58600
-52160
-60580
-49540
-48890
-42030
-42030
-63360
-71790
-82090
-72910
-75040

-28.3355738531
-28.3355738531
-26.2350230415
-29.8940092166
-28.164556962
-30.2344884831
-35.7134875405
-35.1440855217
-35.1440855217
-34.8105025544
-33.5520391097
-38.9682233372
-37.1420002999
-37.0154451847
-35.5103075363
-35.5103075363
-53.531598513
-60.6539371409
-69.3562014194
-72.91
-75.04

46270
-27390
-15610
-39560
2960
-61270
36230
-82030
49760
7050
8550

46270
0
0
0
2960
0
36230
0
49760
7050
8550

Monthly Analysis
Period
January
February
March
April
May
June
July
August
September
November
December

Average Profit

Monthly Period Analysis

Period

Profit ($)
Sep-11
Aug-11
Jul-11

Profit (%)
49760
200.6451612903
-82030
-143.3339157784
36230
172.5238095238

Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10

-61270
2960
-39560
-15610
-27390
46270
8550
7050

-74.4742919655
3.73219014
-33.2800538403
-11.6076740036
-16.9209859764
40.0259515571
7.9869219991
7.05

Monthly Rolling Period Analysis

Period
Profit ($)
Today - 09/2011
08/2011 - 09/2011
07/2011 - 09/2011
06/2011 - 09/2011
05/2011 - 09/2011
04/2011 - 09/2011
03/2011 - 09/2011
02/2011 - 09/2011
01/2011 - 09/2011
12/2010 - 09/2011
11/2010 - 09/2011

49760
-32270
3960
-57310
-54350
-93910
-109520
-136910
-90640
-82090
-75040

Profit (%)
200.6451612903
-56.3865105714
18.8571428571
-69.6608727361
-68.5285588198
-79.0022713889
-81.4396192742
-84.580218694
-78.4083044983
-76.6837926203
-75.04

Annual Period Analysis

Period

Profit ($)
2011
2010

Profit (%)
-90640
-78.4083044983
15600
15.6

Annual Rolling Period Analysis

Period
Today - 2011
2010 - 2011

Profit ($)

Profit (%)
-90640
-78.4083044983
-75040
-75.04

Monthly Returns & Drawdowns

Monthly Returns & Drawdowns (%)

Monthly Accumulative Net Profit

Average Profit By Month

Annual Returns & Drawdowns

Annual Returns & Drawdowns (%)

Annual Accumulative Net Profit

Gross Profit

Gross Loss
0
0
0
9910
0
0
0
0
12270
7880
0
0
6290
0
27850
12710
0
5130
8960
2320
0
6940
11250
2380
0
3310
390
0
8240
340
420
1210
940
0
0
0
1510
0
3720
0
0
0

# Trades
-3610
-370
-17450
0
-4930
-13540
0
-5160
0
0
-2750
-10630
0
0
0
0
-3310
0
0
0
0
0
0
-3850
-8580
0
0
0
0
0
0
0
0
-2150
0
-13140
-5290
-23110
0
-11430
-6860
0

1
1
1
1
1
1
1
1
1
1
1
2
1
1
1
1
1
1
1
1
1
1
1
2
1
1
1
1
1
1
1
1
1
1
1
2
2
2
1
1
1
1

0
1440
13440
0
0
4450
0
6550
18570
0
8570
0
0
0
580
2260
9160
1360
0
0
0
0
14310
9170
0
0
8120
0
2560
0
15230
0
26220
5250
0
8950
0
11540
3120
6990
0
0
0
80
14900

-4230
0
0
-13070
-18910
0
0
-9750
0
-12200
0
-24940
-1300
0
-6680
0
-6510
-2130
-8570
-2610
0
-8150
0
0
-11490
-4920
0
0
0
-10400
-8330
-4610
0
0
0
0
-1270
0
0
0
-3130
0
-8490
0
0

1
1
1
1
2
1
1
2
1
1
1
2
1
1
2
1
2
2
1
1
1
2
1
1
2
1
1
1
1
2
2
1
1
1
1
1
1
1
1
1
1
1
2
1
1

4460
7700
5000
0
7390
0
0
3860
5800
0
0
13410
0
0
0
6830
160
0
0
0
0
0
5420
0
0
0
0
5000
980
0
1450
0
0
0
0
0
4630
7500
0
15170
0
0
0
0
2230

0
-9870
0
0
0
-26510
-5970
0
0
-3670
0
0
-1460
-22110
-390
0
0
0
-18280
-9660
-2860
-11020
0
-600
0
-14990
-12750
-1140
-2440
-9630
0
0
-11300
-2840
-10870
-12240
0
0
0
0
-1640
-2700
-12310
-5050
0

1
2
1
1
1
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
1
1
1
1
1
2
2
1
1
1
1
1
2
2
1
1
1
1
1
1
1
1
1

0
9070
2450
15850
0
6140
0
0
24890
10840
4720
0
2280
0
0
0
4000
0
0
880
2260
0
0
0
17480
17650
0
0
0
0
2040
0
6690
0
0
0
12070
5830
0
0
2750
940
0
0
1480

0
0
0
0
-5790
0
-7890
0
0
-16700
0
-1520
0
-2320
0
-1610
-760
-19720
-14590
0
0
0
-950
-2150
0
0
-16470
-4300
0
-4050
0
-2540
0
-5920
-1720
0
0
0
-4770
-6120
0
0
0
-26480
0

1
1
1
1
1
1
1
1
1
2
1
1
1
1
1
1
2
1
1
1
1
1
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
1
1
1
1
2
1

5830
1100
0
2550
0
3390
2070
8700
5560
0
0
0
11450
14770
0
1730
0
0
0
0
0
0
9090
0
840
0
0
0
0
5200
0
770
0
0
5080
7670
520
7190
0
0
4010
0
0
0
1960

0
0
-5200
0
0
-4820
-6810
0
0
-7320
-410
0
0
0
-4410
0
-6120
-2920
0
-8180
-10890
-8850
0
-630
0
0
-2890
-9710
-10210
0
-6390
0
0
-11330
0
0
-10230
-1450
-1140
0
-3590
-2140
-6060
-1150
0

1
1
2
1
1
2
2
1
1
2
1
1
1
1
1
1
2
1
1
1
2
2
1
1
1
1
1
1
1
1
1
1
1
2
1
1
2
2
1
1
2
1
1
1
1

1190
0
3500
60
5710
0
0
0
0
4760
1040
0
10240
0
1310
0
8440
150
1780
3060
5640
0
0
10910
6410
0
16250
0
0
0
3480
23300
6250
0
2060
880
0
8430
14880
440
0
7420
0
0
9000

0
0
0
-12450
0
-4040
-190
-2770
0
0
-14890
-3270
0
-13330
0
0
-1030
0
0
0
0
-1660
0
0
0
-560
0
-5380
-3530
0
0
0
-3930
-11810
-2390
0
0
0
0
-13810
-7960
0
-9430
0
0

1
1
1
2
1
2
1
1
1
1
2
1
1
2
1
1
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
2
2
1
1
1
1
2
1
1
1
1
1

6200
8960
360
8960
0
0
520
0
1970
3150
0
4960
0
10520
0
12120
0
6890
3430
0
1890
6440
0
11040
650
6860
0
0
0
0
9180
0

Gross Profit

0
-1580
-11540
-2710
-900
0
0
-880
0
0
-3280
0
0
0
-7940
-1540
-3990
-12530
0
0
0
0
-8420
0
0
0
0
-21330
-8430
-10300
0
-2130

Gross Loss
0
0
0
0
0
0
0
0

1
2
2
2
1
1
1
1
1
1
1
1
1
1
1
2
1
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1

# Trades
-3610
-3980
-21430
-11520
-16450
-29990
-29990
-35150

1
1
1
1
1
1
1
1

0
0
0
0
0
0
24600
37310
34000
39130
48090
50410
50410
57350
68600
70980
70980
70980
70980
70980
70980
70980
71250
72460
73400
71250
71250
70980
70980
70980
70980
70980
70980
70980
70980
70980
70980
70980
70980
70980
70980
70980
79800
70980
76170

-22880
-15000
-17750
-28380
-22090
-22090
-18840
-18840
-18840
-18840
-18840
-18840
-18840
-18840
-18840
-22690
-31270
-27960
-27570
-27570
-19330
-18990
-18840
-18840
-18840
-18840
-18840
-31710
-35490
-58600
-54880
-66310
-73170
-73170
-77400
-75960
-62520
-75590
-94500
-90050
-90050
-93250
-83500
-86880
-83500

1
1
1
2
2
2
2
2
2
2
2
2
2
2
2
3
3
3
3
3
3
3
3
3
3
3
3
4
5
6
6
6
6
6
6
6
6
6
7
7
7
8
8
8
8

70980
70980
70980
70980
70980
75720
75720
75720
75720
75720
75720
84320
93490
89340
89340
89340
89340
89340
89340
96950
96950
110230
115480
115480
124430
123160
134700
137820
144810
141680
141680
136120
136120
148170
152630
160330
160330
160330
162850
160330
160330
160330
160330
160330
160330

-103250
-104550
-104550
-110650
-108390
-110480
-111250
-119820
-122430
-122430
-130580
-124870
-124870
-132210
-137130
-129010
-129010
-126450
-136850
-137560
-142170
-129230
-129230
-129230
-129230
-129230
-129230
-129230
-129230
-129230
-129230
-132160
-132080
-129230
-129230
-139100
-134100
-134100
-129230
-153220
-159190
-155330
-149530
-153200
-153200

9
9
9
10
10
11
12
12
12
12
13
13
13
14
14
14
14
14
15
16
16
16
16
16
16
16
16
16
16
16
16
17
17
17
17
18
18
18
18
19
19
19
19
19
19

160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
160330
165620
165620
180790
179150
176450
164140
160330
161320
161320
170390
172840
188690
182900
189040
181150
181150
206040
216880
216880

-139790
-141250
-163360
-163750
-156920
-156760
-156760
-175040
-184700
-187560
-198580
-193160
-193760
-193760
-208750
-221500
-217640
-219100
-228730
-227280
-227280
-238580
-241420
-252290
-264530
-259900
-257690
-257690
-257690
-257690
-257690
-257690
-258930
-257690
-257690
-257690
-257690
-257690
-257690
-257690
-257690
-257690
-257690
-274390
-269670

19
19
19
19
19
19
19
19
19
19
20
20
20
20
20
20
21
22
22
22
22
22
22
23
24
24
24
24
24
24
24
24
24
24
24
24
24
24
24
24
24
24
24
25
25

216880
216880
216880
216880
216880
220880
216880
216880
216880
216880
216880
216880
216880
232180
249830
233360
229060
229060
225010
227050
224510
231200
225280
223560
223560
235630
241460
241360
241360
241360
241360
241360
241360
241360
241360
241360
241360
241360
241360
244120
244120
246010
251570
245560
245560

-271190
-268910
-271230
-271230
-272840
-273600
-289320
-303910
-303030
-300770
-300770
-301720
-303870
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-301690
-306360
-312480
-309730
-308790
-308790
-335270
-333790
-327960
-326860
-332060
-329510
-329510
-333700
-338440
-331630
-331630
-332940
-333350

25
25
25
25
25
26
26
26
26
26
26
27
27
27
27
27
27
27
27
27
27
27
27
27
27
27
27
28
28
28
28
28
29
29
29
29
30
30
30
31
32
32
32
33
33

245560
255290
270060
265650
267380
265040
265040
265040
265040
265040
265040
270240
269610
270450
270450
267560
265040
265040
265040
265040
265040
265040
265040
265040
268650
269170
269170
269170
269170
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590
270590

-333350
-331630
-331630
-331630
-331630
-335410
-338330
-338330
-346510
-357400
-366250
-362360
-362360
-362360
-362360
-362360
-369550
-379760
-374560
-380950
-380180
-380180
-391510
-386430
-382370
-392600
-386860
-388000
-388000
-389000
-391140
-397200
-398350
-396390
-395200
-395200
-391700
-404090
-398380
-402420
-402610
-405380
-405380
-400620
-414470

33
33
33
33
33
34
34
34
34
35
36
36
36
36
36
36
36
36
36
36
36
36
37
37
37
38
39
39
39
40
40
40
40
40
40
40
40
41
41
42
42
42
42
42
43

270590
270590
270590
270590
270590
270590
270590
271490
274550
280190
278530
278530
289440
295850
295290
311540
306160
302630
302630
306110
329410
335660
335660
335660
335660
335660
342580
357460
357900
357900
357900
357900
357900
357900
357900
358280
358280
358280
358280
358280
358280
358280
358280
359430
358280

-417740
-407500
-420830
-419520
-419520
-412110
-411960
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-411080
-415010
-426820
-427150
-426270
-426270
-424760
-424760
-438570
-446530
-439110
-448540
-448540
-439540
-433340
-426340
-437520
-431270
-432170
-432170
-431650
-432530
-430560
-428560
-430690

43
43
44
44
44
45
45
45
45
45
45
45
45
45
45
45
45
45
45
45
45
46
47
48
48
48
48
48
49
49
49
49
49
49
49
50
51
52
52
52
52
52
52
52
52

361110
361110
371630
363690
375810
375810
377170
377170
377170
377170
377170
377170
379020
379670
386530
386530
377170
377170
377170
377170
377170

Gross Profit

-428560
-428560
-428560
-428560
-430100
-434090
-441090
-437660
-437660
-435770
-429330
-437750
-428560
-428560
-428560
-428560
-440530
-448960
-459260
-450080
-452210

Profit Factor
0
-27390
-15610
-39560
0
-61270
0
-82030
0
0
0

Gross Profit

Average # Trades
0
7
0
8
0
8
0
5
0
5
0
5
0
9
0
8
0
2
0
1
0
6

Gross Loss
68600
2380
65140

52
52
52
52
53
53
54
54
54
54
54
54
54
54
54
54
54
54
54
54
54

# Trades
-18840
-84410
-28910

2
8
9

27140
57530
24480
30070
5550
87310
43050
7050

Gross Profit

-88410
-54570
-64040
-45680
-32940
-41040
-34500
0

Gross Loss
68600
70980
136120
160330
216880
241360
265040
270590
357900
377170
377170

Gross Profit

# Trades
-18840
-103250
-132160
-217640
-271230
-335270
-374560
-407500
-448540
-459260
-452210

Gross Loss
357900
43050

Gross Profit

2
9
17
21
25
29
36
43
49
54
54

# Trades
-448540
-27450

Gross Loss
357900
377170

5
5
5
8
8
7
6
1

49
6

# Trades
-448540
-452210

49
54

% Profitable
0
0
0
100
0
0
0
0
100
100
0
0
100
0
100
100
0
100
100
100
0
100
100
50
0
100
100
0
100
100
100
100
100
0
0
0
50
0
100
0
0
0

0
100
100
0
0
100
0
50
100
0
100
0
0
0
50
100
50
50
0
0
0
0
100
100
0
0
100
0
100
0
50
0
100
100
0
100
0
100
100
100
0
0
0
100
100

100
50
100
0
100
0
0
100
100
0
0
100
0
0
0
100
100
0
0
0
0
0
100
0
0
0
0
50
50
0
100
0
0
0
0
0
100
100
0
100
0
0
0
0
100

0
100
100
100
0
100
0
0
100
50
100
0
100
0
0
0
50
0
0
100
100
0
0
0
100
100
0
0
0
0
100
0
100
0
0
0
100
100
0
0
100
100
0
0
100

100
100
0
100
0
50
50
100
100
0
0
0
100
100
0
100
0
0
0
0
0
0
100
0
100
0
0
0
0
100
0
100
0
0
100
100
50
50
0
0
50
0
0
0
100

100
0
100
50
100
0
0
0
0
100
50
0
100
0
100
0
50
100
100
100
100
0
0
100
100
0
100
0
0
0
100
100
50
0
50
100
0
100
100
50
0
100
0
0
100

100
50
50
50
0
0
100
0
100
100
0
100
0
100
0
50
0
50
100
0
100
100
0
100
100
100
0
0
0
0
100
0

% Profitable
0
0
0
0
0
0
0
0

0
0
0
0
0
0
50
50
50
50
50
50
50
50
50
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333
66.6666666667
66.6666666667
66.6666666667
66.6666666667
66.6666666667
25
20
16.6666666667
16.6666666667
16.6666666667
16.6666666667
16.6666666667
16.6666666667
16.6666666667
16.6666666667
16.6666666667
14.2857142857
14.2857142857
14.2857142857
12.5
25
12.5
25

11.1111111111
11.1111111111
11.1111111111
10
10
18.1818181818
16.6666666667
16.6666666667
16.6666666667
16.6666666667
15.3846153846
23.0769230769
23.0769230769
21.4285714286
21.4285714286
21.4285714286
21.4285714286
21.4285714286
20
25
25
31.25
31.25
31.25
31.25
31.25
31.25
31.25
31.25
31.25
31.25
29.4117647059
29.4117647059
35.2941176471
35.2941176471
33.3333333333
33.3333333333
33.3333333333
38.8888888889
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684

31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
31.5789473684
30
30
30
30
30
30
28.5714285714
27.2727272727
27.2727272727
27.2727272727
27.2727272727
27.2727272727
27.2727272727
26.0869565217
25
25
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
25
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
29.1666666667
28
28

28
28
28
28
28
30.7692307692
26.9230769231
26.9230769231
26.9230769231
26.9230769231
26.9230769231
25.9259259259
25.9259259259
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
29.6296296296
28.5714285714
28.5714285714
28.5714285714
28.5714285714
28.5714285714
27.5862068966
27.5862068966
27.5862068966
27.5862068966
26.6666666667
26.6666666667
26.6666666667
29.0322580645
28.125
31.25
31.25
30.303030303
30.303030303

30.303030303
33.3333333333
33.3333333333
33.3333333333
33.3333333333
32.3529411765
32.3529411765
32.3529411765
32.3529411765
31.4285714286
30.5555555556
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333
30.5555555556
30.5555555556
30.5555555556
30.5555555556
30.5555555556
30.5555555556
29.7297297297
29.7297297297
32.4324324324
31.5789473684
30.7692307692
30.7692307692
30.7692307692
32.5
32.5
32.5
32.5
32.5
32.5
32.5
32.5
31.7073170732
31.7073170732
30.9523809524
30.9523809524
30.9523809524
30.9523809524
30.9523809524
30.2325581395

30.2325581395
30.2325581395
29.5454545455
29.5454545455
29.5454545455
28.8888888889
28.8888888889
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
31.1111111111
30.4347826087
29.7872340426
29.1666666667
29.1666666667
29.1666666667
31.25
31.25
30.612244898
30.612244898
30.612244898
30.612244898
30.612244898
30.612244898
30.612244898
32
31.3725490196
30.7692307692
30.7692307692
30.7692307692
30.7692307692
30.7692307692
30.7692307692
32.6923076923
30.7692307692

32.6923076923
32.6923076923
32.6923076923
32.6923076923
32.0754716981
32.0754716981
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333
35.1851851852
35.1851851852
35.1851851852
35.1851851852
33.3333333333
33.3333333333
33.3333333333
33.3333333333
33.3333333333

% Profitable
28.5714285714
25
50
20
40
20
44.4444444444
12.5
50
100
50

% Profitable
50
12.5
44.4444444444

20
40
20
50
25
28.5714285714
50
100

% Profitable
50
11.1111111111
29.4117647059
28.5714285714
28
27.5862068966
30.5555555556
30.2325581395
30.612244898
33.3333333333
33.3333333333

% Profitable
30.612244898
50

% Profitable
30.612244898
33.3333333333

Settings
Strategy Name
Strategy Inputs
Symbol Name
Initial Capital
Commission
Backtesting Assumptions
Slippage
Interest Rate
Margin per Contract
Minimal Acceptable Rate of Return
Degree of Risk Aversion of the Investor
Number of Standard Deviations
Compression
Bar Magnifier
Point Value
Start Date
End Date
Back-Testing Mode
Ask Data Series
Bid Data Series

!_LUXOR
(6, 21, 1000, 100)
^EURUSD
100000
0
Fill Limit price or better. (Classic mode)
0
2
0
2
Conservative
1
1 Hour
Disabled.
$1,000,000
11/29/2010 11:00
9/23/2011 19:00
Classic
^EURUSD
^EURUSD

assic mode)