esz1 mpbased; profit target; stop loss back-testing strategy performance report2

8/3/2019 ESZ1 MPbased; Profit Target; Stop Loss Back-Testing Strategy Performance Report2

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Strategy Performance Summary

All Trades Long Trades

Net Profit 29800 16977.5

Gross Profit 49572.5 26127.5

Gross Loss -19772.5 -9150

Adjusted Net Profit 19189.30164 9361.096084Adjusted Gross Profit 42012.76462 20557.09828

Adjusted Gross Loss -22823.46299 -11196.0022

Select Net Profit 6292.5 5795

Select Gross Profit 17967.5 10325

Select Gross Loss -11675 -4530

Account Size Required 2030 1617.5

Return on Account 733.9901478 524.8068006

Return on Initial Capital 198.6666667 113.1833333

Max Strategy Drawdown -3055 -3097.5

Max Strategy Drawdown (%) -16.77251732 -14.69845722

Max Close To Close Drawdown -2030 -1617.5

Max Close To Close Drawdown (%) -13.05676154 -9.383611313

Return on Max Strategy Drawdown 9.754500818 5.481033091

Profit Factor 2.50714376 2.855464481

Adjusted Profit Factor 1.840770818 1.836110597

Select Profit Factor 1.538972163 2.279249448

Max # Contracts Held 1 1

Slippage Paid 4275 2125

Commission Paid 427.5 212.5

Open Position P/L -327.5 -327.5

Annual Rate of Return 429.3404006 252.3148579

Monthly Rate of Return 35.77836672 21.02623816

Buy & Hold Return -226.0111023 -310.4671792

Avg Monthly Return 4210.357143

Monthly Return StdDev 4105.464201

Performance Ratios

Upside Potential Ratio n/a

Sharpe Ratio 0.797599553

Sortino Ratio 198.8438696

Fouse Ratio 0.184849761Calmar Ratio 0.002109236

Sterling Ratio 0.001853538

Net Profit / Largest loss -2374.501992

Net Profit / Max Trade Drawdown -2427.698574

Net Profit / Max Strategy Drawdown -975.4500818

Select Net Profit / Largest loss -501.3944223

Select Net Profit / Max Trade Drawdown -512.6272912

Select Net Profit / Max Strategy Drawdown -205.9738134


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Adj Net Profit / Largest loss -1529.028019

Adj Net Profit / Max Trade Drawdown -1563.283229

Adj Net Profit / Max Strategy Drawdown -628.1277131

Time Analysis

Trading Period 5 Mths, 19 Dys, 15 Mins

Time in the Market 3 Mths, 29 Dys, 22 Hrs, 30 Mins

Percent in the Market 70.96456086

Longest flat period 2 Mths, 15 Dys, 17 Hrs

Max Run-up Date 7/1/2011

Max Drawdown Date 8/5/2011

Max Strategy Drawdown Date 8/8/2011 10:15

Max Close To Close Drawdown Date 6/28/2011 8:15

Equity Curve Detailed


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Equity Curve Detailed with DrawDown


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Equity Run-up & Drawdown


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Equity Run-up & Drawdown (%)


6/83

Equity Curve Close To Close


7/83


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Equity Curve Close To Close With Drawdown


9/83

Buy & Hold Return


10/83

Value Added Monthly Index


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12/83

Short Trades

12822.5

23445

-10622.5

5441.656954

18328.88156

-12887.22461

497.5

7642.5

-7145

1535

417.6710098

85.48333333

-3055

-16.78571429

-1535

-9.75

4.197217676

2.207107555

1.422252046

1.069629111

1

2150

215

n/a

184.7388351

15.39490293

-226.0111023


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Total Trade Analysis

All Trades Long Trades

Total # of Trades 85 42

Total # of Open Trades 1 1

Number Winning Trades 43 22

Number Losing Trades42 20

% Profitable 50.58823529 52.38095238

Avg Trade (win & loss) 350.5882353 404.2261905

Average Winning Trade 1152.848837 1187.613636

Average Losing Trade -470.7738095 -457.5

Ratio Avg Win / Avg Loss 2.448838091 2.595876801

Largest Winning Trade 2257.5 2257.5

Largest Losing Trade -1255 -1255

Avg # Bars in Trades 83.6 114.3

Avg # Bars in Winning Trades 120.9 157.8

Avg # Bars in Losing Trades 45.3 66.5

Avg # Bars Between Trades n/a n/a

Avg # Bars Between Winning Trades 110.8 295.2

Avg # Bars Between Losing Trades 192 431.8

Outliers

Total Positive

1 Std. Deviation of Avg. Trade 1050.932313 858.106578

Avg. Trade +1 Std. Deviation 1401.520549 2010.955415

Avg. Trade - 1 Std. Deviation -700.3440781 294.7422592

Number of Outliers 21 14Outlier Profit/Loss 23507.5 31605

Run-up/Drawdown

Run-up Drawdown

Max Value 2285 -1227.5

Max Value Date 7/1/2011 8/5/2011

Avg Value 1051.627907 -432.877907

Max Value (%) 4.035320088 -2.247139588

Max Value (%) Date 8/23/2011 8/9/2011

Avg Value (%) 1.751496038 -0.719753883

1 Std. Deviation 798.3640228 335.8403677

Avg. Trade +1 Std. Deviation 1849.99193 -97.03753929

Avg. Trade - 1 Std. Deviation 253.2638842 -768.7182747

Trade Series Analysis


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Z-score 2.402187121

Confidence Limits 0.983702655

Strategy ME 350.5882353

Max Consec. Winners 6

Max Consec. Losers 6

Largest Consec. Profit 4782.5Largest Consec. Loss -2030

Largest Consec. Profit (%) 16.84793976

Largest Consec. Loss (%) -13.05676154

Trade Series Statistics

Consecutive Winners Number of Series Avg. Gain per Series

1 19 1359.473684

2 4 1166.875

3 2 1128.333333

4 1 713.75

6 1 797.0833333

Consecutive Losers Number of Series Avg. Loss per Series

1 18 -586.9444444

2 6 -398.75

3 2 -398.75

6 1 -338.3333333

Total Trades


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Winning Trades


26/83

Losing Trades


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Drawdown


28/83


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Drawdown P/L


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Maximum Adverse Excursion


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Maximum Adverse Excursion (%)


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Run-up


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Run-up P/L


34/83

Maximum Favorable Excursion


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Maximum Favorable Excursion (%)


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Short Trades

43

0

21

22

48.8372093

298.1976744

1116.428571

-482.8409091

2.312207914

2257.5

-1255

53.5

82.3

26

n/a

392.2

426.9

Negative

377.33076

-93.44304949

-848.1045696

7-8097.5


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Avg. Loss Next Trade

-554.7368421

-845.625

-142.5

-530

-742.5

Avg. Gain Next Trade

1445

1026.25

1363.75

2257.5


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Daily Period Analysis

Period Profit ($) Profit (%) Gross Profit

12/1/2011 -37.5 -0.08425073 0

11/30/2011 1967.5 4.624786978 2257.5

11/29/2011 -427.5 -0.994880149 0

11/28/2011757.5 1.794492153 757.5

11/27/2011 -2.5 -0.005922066 0

11/25/2011 -202.5 -0.477397301 0

11/24/2011 -180 -0.422560009 172.5

11/23/2011 262.5 0.620054329 262.5

11/22/2011 722.5 1.736257134 722.5

11/21/2011 472.5 1.148517258 472.5

11/20/2011 437.5 1.074872551 437.5

11/19/2011 0 0 0

11/18/2011 -342.5 -0.834449994 97.5

11/17/2011 1225 3.076343546 1225

11/16/2011 345 0.873970868 345

11/15/2011 -525 -1.3125 0

11/14/2011 -825 -2.020820576 0

11/13/2011 262.5 0.647149461 262.5

11/12/2011 0 0 0

11/11/2011 710 1.781569538 710

11/10/2011 -252.5 -0.629597307 0

11/9/2011 532.5 1.345631436 1310

11/8/2011 875 2.26112798 875

11/7/2011 150 0.389130294 150

11/6/2011 -137.5 -0.355434923 0

11/5/2011 0 0 0

11/4/2011 -137.5 -0.354176058 0

11/3/2011 1787.5 4.826515458 1787.5

11/2/2011 -952.5 -2.507403751 0

11/1/2011 1160 3.149820107 1160

10/31/2011 645 1.782629724 1097.5

10/30/2011 -537.5 -1.463779956 0

10/29/2011 0 0 0

10/28/2011 262.5 0.720016458 262.5

10/27/2011 1107.5 3.132956153 1107.5

10/26/2011 -60 -0.16944366 510

10/25/2011 -675 -1.870583345 010/24/2011 312.5 0.873576071 312.5

10/23/2011 150 0.421082181 150

10/22/2011 0 0 0

10/21/2011 1112.5 3.223703274 1112.5

10/20/2011 -65 -0.187997108 0

10/19/2011 -742.5 -2.102357188 0

10/18/2011 -102.5 -0.289384529 0

10/17/2011 -617.5 -1.713492889 472.5


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10/16/2011 350 0.980735552 350

10/15/2011 0 0 0

10/14/2011 1087.5 3.143063584 1087.5

10/13/2011 -90 -0.259440761 0

10/12/2011 760 2.239905688 760

10/11/2011 -277.5 -0.811225608 0

10/10/2011 1072.5 3.236758714 1072.510/9/2011 662.5 2.040187851 662.5

10/8/2011 0 0 0

10/7/2011 -112.5 -0.345250882 0

10/6/2011 832.5 2.6218408 832.5

10/5/2011 1100 3.588614306 1100

10/4/2011 -27.5 -0.089634941 0

10/3/2011 -652.5 -2.082502194 0

10/2/2011 175 0.561662521 175

10/1/2011 0 0 0

9/30/2011 622.5 2.038644179 622.5

9/29/2011 -17.5 -0.057278455 0

9/28/2011 -1255 -3.945610312 0

9/27/2011 1047.5 3.405396619 1047.5

9/26/2011 1500 5.126452495 1500

9/25/2011 -290 -0.981387479 0

9/23/2011 -667.5 -2.20898486 0

9/22/2011 685 2.319478541 685

9/21/2011 1572.5 5.624105866 1572.5

9/20/2011 -130 -0.462798149 0

9/19/2011 -630 -2.193593315 0

9/18/2011 -765 -2.594539596 09/17/2011 0 0 0

9/16/2011 300 1.027925304 300

9/15/2011 1375 4.944264653 1375

9/14/2011 1132.5 4.245150408 1385

9/13/2011 -1032.5 -3.726091664 0

9/12/2011 -302.5 -1.079875056 0

9/11/2011 562.5 2.049180328 562.5

9/10/2011 0 0 0

9/9/2011 95 0.347285688 772.5

9/8/2011 -680 -2.425539504 0

9/7/2011 1262.5 4.715659725 1262.59/6/2011 610 2.331581462 610

9/5/2011 1147.5 4.587247651 1147.5

9/4/2011 400 1.625025391 400

9/3/2011 0 0 0

9/2/2011 420 1.735895846 710

9/1/2011 -1225 -4.819040126 0

8/31/2011 260 1.033386328 260

8/30/2011 335 1.349446123 335


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8/29/2011 962.5 4.033525406 962.5

8/28/2011 550 2.35924933 550

8/27/2011 0 0 0

8/26/2011 -307.5 -1.301862828 410

8/25/2011 722.5 3.155366306 722.5

8/24/2011 787.5 3.561736771 787.5

8/23/2011 252.5 1.155209882 782.58/22/2011 305 1.415149055 305

8/19/2011 -2.5 -0.011598237 0

8/18/2011 2070 10.62355658 2070

8/17/2011 340 1.775920606 957.5

8/16/2011 -187.5 -0.969869391 0

8/15/2011 437.5 2.315427362 437.5

8/14/2011 387.5 2.093745779 387.5

8/13/2011 0 0 0

8/12/2011 1000 5.711837784 1000

8/11/2011 -167.5 -0.947666195 110

8/10/2011 -1055 -5.632674853 0

8/9/2011 -262.5 -1.382124523 992.5

8/8/2011 2257.5 13.48969226 2257.5

8/5/2011 -907.5 -5.143828822 347.5

8/4/2011 1910 12.14047354 1910

8/3/2011 -745 -4.521316947 222.5

8/2/2011 1312.5 8.65479723 1312.5

8/1/2011 -205 -1.333767079 722.5

7/31/2011 72.5 0.473933649 72.5

7/29/2011 -742.5 -4.629052369 0

7/28/2011 -302.5 -1.851001989 07/27/2011 772.5 4.961464355 772.5

7/26/2011 -307.5 -1.936702881 0

7/25/2011 -317.5 -1.96048163 22.5

7/24/2011 -655 -3.887240356 0

7/23/2011 0 0 0

7/22/2011 -237.5 -1.389904901 0

7/21/2011 1125 7.047768207 1125

7/20/2011 -510 -3.096069206 0

7/19/2011 772.5 4.920382166 772.5

7/18/2011 -130 -0.821225521 0

7/15/2011 -432.5 -2.659492698 07/14/2011 -360 -2.165739209 272.5

7/13/2011 217.5 1.3258153 460

7/12/2011 -240 -1.441874437 0

7/11/2011 1262.5 8.207378515 1262.5

7/10/2011 375 2.498750625 375

7/9/2011 0 0 0

7/8/2011 -1030 -6.422447389 0

7/7/2011 400 2.557953637 400


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7/6/2011 -142.5 -0.903041825 360

7/5/2011 -67.5 -0.42593469 160

7/4/2011 72.5 0.459587956 72.5

7/1/2011 760 5.061605062 760

6/30/2011 350 2.386634845 350

6/29/2011 712.5 5.106611718 712.5

6/28/2011 -125 -0.887941751 4356/27/2011 -677.5 -4.591663843 0

6/26/2011 175 1.200274348 175

6/25/2011 0 0 0

6/24/2011 -605 -3.984194929 185

6/23/2011 -145 -0.945857795 297.5

6/22/2011 -165 -1.064859632 0

6/21/2011 795 5.408163265 847.5

6/20/2011 -342.5 -2.276882167 0

6/19/2011 110 0.73664825 110

6/16/2011 -190 -1.256406018 0

6/15/2011 122.5 0.816666667 122.5

Daily Rolling Period Analysis


Today - 12/1/2011 -37.5 -0.025514543 0

11/30/2011 - 12/1 1930 1.35476625 2257.5

11/29/2011 - 12/1 1502.5 1.054682016 2257.5

11/28/2011 - 12/1 2260 1.603462343 2730

11/27/2011 - 12/1 2257.5 1.601688602 2727.511/26/2011 - 12/1 2257.5 1.601688602 2727.5

11/25/2011 - 12/1 2055 1.458015538 2727.5

11/24/2011 - 12/1 1875 1.333570413 2727.5

11/23/2011 - 12/1 2137.5 1.525968231 2727.5

11/22/2011 - 12/1 2860 2.063045517 3360

11/21/2011 - 12/1 3332.5 2.420379853 3832.5

11/20/2011 - 12/1 3770 2.755646517 4270

11/19/2011 - 12/1 3770 2.755646517 4270

11/18/2011 - 12/1 3427.5 2.508875307 4367.5

11/17/2011 - 12/1 4652.5 3.467744941 5152.5

11/16/2011 - 12/1 4997.5 3.744146844 5497.5

11/15/2011 - 12/1 4472.5 3.350814759 5375

11/14/2011 - 12/1 3647.5 2.732721483 5375

11/13/2011 - 12/1 3910 2.940955246 5375

11/12/2011 - 12/1 3910 2.940955246 5375

11/11/2011 - 12/1 4620 3.512506652 5375

11/10/2011 - 12/1 4367.5 3.320535239 5375

11/9/2011 - 12/1/ 4900 3.801101544 6432.5


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11/8/2011 - 12/1/ 5775 4.541522491 6530

11/7/2011 - 12/1/ 5925 4.670502917 6680

11/6/2011 - 12/1/ 5787.5 4.562115718 6542.5

11/5/2011 - 12/1/ 5787.5 4.562115718 6542.5

11/4/2011 - 12/1/ 5650 4.45372852 6432.5

11/3/2011 - 12/1/ 7437.5 6.032769599 8192.5

11/2/2011 - 12/1/ 6485 5.260169526 724011/1/2011 - 12/1/ 7645 6.32000992 8400

10/31/2011 - 12/1 8290 6.979877073 9497.5

10/30/2011 - 12/1 7752.5 6.527321714 9497.5

10/29/2011 - 12/1 7752.5 6.527321714 9497.5

10/28/2011 - 12/1 8015 6.778299294 9497.5

10/27/2011 - 12/1 9122.5 7.862190813 10095

10/26/2011 - 12/1 9062.5 7.879749587 10605

10/25/2011 - 12/1 8387.5 7.292844101 10605

10/24/2011 - 12/1 8700 7.605892381 10605

10/23/2011 - 12/1 8850 7.757373888 10605

10/22/2011 - 12/1 8850 7.757373888 10605

10/21/2011 - 12/1 9962.5 8.906222063 11340

10/20/2011 - 12/1 9897.5 8.848113714 11275

10/19/2011 - 12/1 9155 8.184337565 11275

10/18/2011 - 12/1 9052.5 8.092705167 11275

10/17/2011 - 12/1 8435 7.604922689 11645

10/16/2011 - 12/1 8785 7.970784376 11645

10/15/2011 - 12/1 8785 7.970784376 11645

10/14/2011 - 12/1 9872.5 9.137819326 11992.5

10/13/2011 - 12/1 9782.5 9.054516846 11902.5

10/12/2011 - 12/1 10542.5 9.897202403 12662.510/11/2011 - 12/1 10265 9.636687946 12385

10/10/2011 - 12/1 11337.5 10.86227545 13457.5

10/9/2011 - 12/1/ 12000 11.64483261 14120

10/8/2011 - 12/1/ 12000 11.64483261 14120

10/7/2011 - 12/1/ 11887.5 11.5356623 14007.5

10/6/2011 - 12/1/ 12720 12.54623465 14840

10/5/2011 - 12/1/ 13820 13.9335585 15940

10/4/2011 - 12/1/ 13792.5 13.90583254 15912.5

10/3/2011 - 12/1/ 13140 13.24797096 15912.5

10/2/2011 - 12/1/ 13315 13.4719482 15912.5

10/1/2011 - 12/1/ 13315 13.4719482 15912.59/30/2011 - 12/1/ 13937.5 14.2816887 16057.5

9/29/2011 - 12/1/ 13920 14.26375653 16057.5

9/28/2011 - 12/1/ 12665 12.97776412 16057.5

9/27/2011 - 12/1/ 13712.5 14.35939054 17105

9/26/2011 - 12/1/ 15212.5 16.44683496 18605

9/25/2011 - 12/1/ 14922.5 16.1333045 18315

9/24/2011 - 12/1/ 14922.5 16.1333045 18315

9/23/2011 - 12/1/ 14255 15.41164387 18315


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9/22/2011 - 12/1/ 14940 16.39506173 19000

9/21/2011 - 12/1/ 16512.5 18.76847011 20572.5

9/20/2011 - 12/1/ 16382.5 18.62070925 20572.5

9/19/2011 - 12/1/ 15752.5 17.90463742 20572.5

9/18/2011 - 12/1/ 14987.5 17.03512162 20572.5

9/17/2011 - 12/1/ 14987.5 17.03512162 20572.5

9/16/2011 - 12/1/ 15287.5 17.49542229 20572.59/15/2011 - 12/1/ 16662.5 19.68864469 21482.5

9/14/2011 - 12/1/ 17795 21.73833374 22615

9/13/2011 - 12/1/ 16762.5 20.47703396 22337.5

9/12/2011 - 12/1/ 16460 20.10750061 22337.5

9/11/2011 - 12/1/ 17022.5 21.08441197 22597.5

9/10/2011 - 12/1/ 17022.5 21.08441197 22597.5

9/9/2011 - 12/1/2 17117.5 21.61573431 23370

9/8/2011 - 12/1/2 16437.5 20.75704003 23370

9/7/2011 - 12/1/2 17700 23.08745842 24530

9/6/2011 - 12/1/2 18310 24.26933528 25140

9/5/2011 - 12/1/2 19457.5 26.59945318 26287.5

9/4/2011 - 12/1/2 19857.5 27.44644091 26687.5

9/3/2011 - 12/1/2 19857.5 27.44644091 26687.5

9/2/2011 - 12/1/2 20277.5 28.58804455 27397.5

9/1/2011 - 12/1/2 19052.5 26.86098971 27397.5

8/31/2011 - 12/1/ 19312.5 27.4286323 27397.5

8/30/2011 - 12/1/ 19647.5 28.17249785 27732.5

8/29/2011 - 12/1/ 20610 30.3915063 28695

8/28/2011 - 12/1/ 21160 31.71700517 29245

8/27/2011 - 12/1/ 21160 31.71700517 29245

8/26/2011 - 12/1/ 20852.5 31.64504135 296558/25/2011 - 12/1/ 21575 33.47556245 30377.5

8/24/2011 - 12/1/ 22362.5 35.5666004 31165

8/23/2011 - 12/1/ 22615 36.88631545 31947.5

8/22/2011 - 12/1/ 22920 37.75947282 32252.5

8/21/2011 - 12/1/ 22920 37.75947282 32252.5

8/20/2011 - 12/1/ 22920 37.75947282 32252.5

8/19/2011 - 12/1/ 22917.5 37.7553542 32252.5

8/18/2011 - 12/1/ 24987.5 44.17874823 34320

8/17/2011 - 12/1/ 25327.5 46.34916278 35277.5

8/16/2011 - 12/1/ 25140 46.00603898 35090

8/15/2011 - 12/1/ 25577.5 47.56834666 35527.58/14/2011 - 12/1/ 25965 48.99518823 35915

8/13/2011 - 12/1/ 25965 48.99518823 35915

8/12/2011 - 12/1/ 26965 52.87773311 36915

8/11/2011 - 12/1/ 26797.5 52.77695716 37025

8/10/2011 - 12/1/ 25742.5 50.69916297 37025

8/9/2011 - 12/1/2 25480 52.22381636 37182.5

8/8/2011 - 12/1/2 27737.5 62.64822134 39440

8/7/2011 - 12/1/2 27737.5 62.64822134 39440


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8/6/2011 - 12/1/2 27737.5 62.64822134 39440

8/5/2011 - 12/1/2 26830 61.56493804 39787.5

8/4/2011 - 12/1/2 28740 72.28370221 41697.5

8/3/2011 - 12/1/2 27995 71.20691848 41920

8/2/2011 - 12/1/2 29307.5 79.87871355 43232.5

8/1/2011 - 12/1/2 29102.5 82.57199603 43955

7/31/2011 - 12/1/ 29175 83.11965812 439557/30/2011 - 12/1/ 29175 83.11965812 43955

7/29/2011 - 12/1/ 28432.5 81.0042735 43955

7/28/2011 - 12/1/ 28130 80.14245014 43955

7/27/2011 - 12/1/ 28902.5 86.13470422 44425

7/26/2011 - 12/1/ 28595 85.21829832 44425

7/25/2011 - 12/1/ 28277.5 84.38525813 44425

7/24/2011 - 12/1/ 27622.5 82.43061773 44425

7/23/2011 - 12/1/ 27622.5 82.43061773 44425

7/22/2011 - 12/1/ 27385 81.72187407 44425

7/21/2011 - 12/1/ 28510 91.2028151 44672.5

7/20/2011 - 12/1/ 28000 89.57133717 44570

7/19/2011 - 12/1/ 28772.5 96.82820125 45265

7/18/2011 - 12/1/ 28642.5 96.39071176 45265

7/17/2011 - 12/1/ 28642.5 96.39071176 45265

7/16/2011 - 12/1/ 28642.5 96.39071176 45265

7/15/2011 - 12/1/ 28210 94.9352179 45265

7/14/2011 - 12/1/ 27850 95.47480288 45410

7/13/2011 - 12/1/ 28067.5 99.3539823 45417.5

7/12/2011 - 12/1/ 27827.5 98.50442478 45417.5

7/11/2011 - 12/1/ 29090 113.0806608 46440

7/10/2011 - 12/1/ 29465 117.977978 468157/9/2011 - 12/1/2 29465 117.977978 46815

7/8/2011 - 12/1/2 28435 113.8538539 46512.5

7/7/2011 - 12/1/2 28835 119.2761117 46512.5

7/6/2011 - 12/1/2 28692.5 122.3299936 46545

7/5/2011 - 12/1/2 28625 123.7302788 46545

7/4/2011 - 12/1/2 28697.5 124.8260113 46545

7/3/2011 - 12/1/2 28697.5 124.8260113 46545

7/2/2011 - 12/1/2 28697.5 124.8260113 46545

7/1/2011 - 12/1/2 29457.5 137.2030741 47305

6/30/2011 - 12/1/ 29807.5 143.5122773 47655

6/29/2011 - 12/1/ 30520 157.7668648 48367.56/28/2011 - 12/1/ 30395 164.5196211 48802.5

6/27/2011 - 12/1/ 29717.5 160.8525034 48802.5

6/26/2011 - 12/1/ 29892.5 164.9241379 48802.5

6/25/2011 - 12/1/ 29892.5 164.9241379 48802.5

6/24/2011 - 12/1/ 29287.5 164.9535342 48802.5

6/23/2011 - 12/1/ 29142.5 169.8280886 48802.5

6/22/2011 - 12/1/ 28977.5 168.8665501 48802.5

6/21/2011 - 12/1/ 29772.5 192.5153573 49650


58/83

6/20/2011 - 12/1/ 29430 190.300679 49572.5

6/19/2011 - 12/1/ 29540 193.7684487 49572.5

6/18/2011 - 12/1/ 29540 193.7684487 49572.5

6/17/2011 - 12/1/ 29540 193.7684487 49572.5

6/16/2011 - 12/1/ 29350 192.5221384 49572.5

6/15/2011 - 12/1/ 29472.5 196.4833333 49572.5

Monthly Analysis

Period Average Profit Gross Profit

June 15 15 0

July 355 355 0

August 10050 10050 0

September 5737.5 5737.5 0

October 5670 5670 0

November 7682.5 7682.5 0

December -37.5 0 -37.5

Monthly Period Analysis


11-Dec -37.5 -0.08425073 0

11-Nov 7682.5 20.86076981 8400

11-Oct 5670 18.19786568 7512.5

11-Sep 5737.5 22.57081039 11962.5

11-Aug 10050 65.38711776 16817.511-Jul 355 2.364302364 3422.5

11-Jun 15 0.1 2267.5

Monthly Rolling Period Analysis


Today - 12/11 -37.5 -0.08425073 0

11/11 - 12/11 7645 20.75894372 8400

10/11 - 12/11 13315 42.7344941 15912.509/11 - 12/11 19052.5 74.95082612 27397.5

08/11 - 12/11 29102.5 189.3461288 43955

07/11 - 12/11 29457.5 196.1871462 47305

06/11 - 12/11 29472.5 196.4833333 49572.5

Annual Period Analysis


59/83


2011 29472.5 196.4833333 49572.5

Annual Rolling Period Analysis

Period Profit ($) Profit (%) Gross ProfitToday - 2011 29472.5 196.4833333 49572.5

Monthly Returns & Drawdowns


60/83

Monthly Returns & Drawdowns (%)


61/83

Monthly Accumulative Net Profit


62/83

Average Profit By Month


63/83

Annual Returns & Drawdowns


64/83

Annual Returns & Drawdowns (%)


65/83


66/83

Annual Accumulative Net Profit


67/83

Gross Loss # Trades % Profitable

-37.5 1 0

-290 2 50

-427.5 1 0

0 2 100

-2.5 1 0

-202.5 1 0

-352.5 2 50

0 1 100

0 1 100

0 1 100

0 1 100

0 1 0

-440 2 50

0 1 100

0 2 100

-525 1 0

-825 1 0

0 1 100

0 1 0

0 1 100

-252.5 1 0

-777.5 2 50

0 1 100

0 1 100

-137.5 1 0

0 1 0

-137.5 1 0

0 1 100

-952.5 1 0

0 1 100

-452.5 2 50

-537.5 1 0

0 1 0

0 1 100

0 2 100

-570 3 33.33333333

-675 1 00 1 100

0 1 100

0 1 0

0 1 100

-65 1 0

-742.5 1 0

-102.5 1 0

-1090 2 50


68/83

0 1 100

0 1 0

0 1 100

-90 1 0

0 1 100

-277.5 1 0

0 1 1000 1 100

0 1 0

-112.5 1 0

0 2 100

0 1 100

-27.5 1 0

-652.5 1 0

0 1 100

0 1 0

0 1 100

-17.5 1 0

-1255 1 0

0 1 100

0 1 100

-290 1 0

-667.5 1 0

0 1 100

0 1 100

-130 1 0

-630 1 0

-765 1 00 1 0

0 1 100

0 1 100

-252.5 2 50

-1032.5 2 0

-302.5 1 0

0 1 100

0 1 0

-677.5 2 50

-680 2 0

0 1 1000 1 100

0 1 100

0 1 100

0 1 0

-290 2 50

-1225 1 0

0 1 100

0 1 100


69/83

0 1 100

0 1 100

0 1 0

-717.5 2 50

0 1 100

0 1 100

-530 3 66.666666670 2 100

-2.5 1 0

0 2 100

-617.5 3 66.66666667

-187.5 1 0

0 1 100

0 1 100

0 1 0

0 1 100

-277.5 2 50

-1055 2 0

-1255 3 66.66666667

0 1 100

-1255 2 50

0 1 100

-967.5 2 50

0 1 100

-927.5 2 50

0 1 100

-742.5 1 0

-302.5 1 00 1 100

-307.5 2 0

-340 2 50

-655 2 0

0 1 0

-237.5 1 0

0 1 100

-510 3 0

0 1 100

-130 1 0

-432.5 2 0-632.5 3 33.33333333

-242.5 2 50

-240 1 0

0 1 100

0 1 100

0 1 0

-1030 2 0

0 1 100


70/83

-502.5 2 50

-227.5 2 50

0 1 100

0 1 100

0 1 100

0 1 100

-560 3 33.33333333-677.5 1 0

0 1 100

0 1 0

-790 2 50

-442.5 2 50

-165 1 0

-52.5 2 50

-342.5 2 0

0 1 100

-190 1 0

0 1 100


-37.5 1 0

-327.5 2 50

-755 3 33.33333333

-470 4 50

-470 4 50-470 4 50

-672.5 5 40

-852.5 6 33.33333333

-590 6 33.33333333

-500 6 50

-500 7 57.14285714

-500 7 57.14285714

-500 7 57.14285714

-940 8 50

-500 8 62.5

-500 9 66.66666667

-902.5 9 55.55555556

-1727.5 9 55.55555556

-1465 9 55.55555556

-1465 9 55.55555556

-755 9 55.55555556

-1007.5 10 50

-1532.5 11 54.54545455


71/83

-755 11 63.63636364

-755 11 63.63636364

-755 11 63.63636364

-755 11 63.63636364

-782.5 11 54.54545455

-755 11 63.63636364

-755 11 63.63636364-755 12 66.66666667

-1207.5 13 61.53846154

-1745 13 61.53846154

-1745 13 61.53846154

-1482.5 13 61.53846154

-972.5 14 64.28571429

-1542.5 16 56.25

-2217.5 16 56.25

-1905 16 56.25

-1755 16 56.25

-1755 16 56.25

-1377.5 16 62.5

-1377.5 16 62.5

-2120 17 58.82352941

-2222.5 18 55.55555556

-3210 19 57.89473684

-2860 19 57.89473684

-2860 19 57.89473684

-2120 19 63.15789474

-2120 19 63.15789474

-2120 20 65-2120 20 65

-2120 21 66.66666667

-2120 21 66.66666667

-2120 21 66.66666667

-2120 21 66.66666667

-2120 22 68.18181818

-2120 22 68.18181818

-2120 22 68.18181818

-2772.5 23 65.2173913

-2597.5 23 65.2173913

-2597.5 23 65.2173913-2120 23 69.56521739

-2137.5 24 66.66666667

-3392.5 25 64

-3392.5 26 65.38461538

-3392.5 26 65.38461538

-3392.5 26 65.38461538

-3392.5 26 65.38461538

-4060 27 62.96296296


72/83

-4060 28 64.28571429

-4060 28 64.28571429

-4190 29 62.06896552

-4820 30 60

-5585 31 58.06451613

-5585 31 58.06451613

-5285 31 58.06451613-4820 31 61.29032258

-4820 32 62.5

-5575 33 60.60606061

-5877.5 34 58.82352941

-5575 34 61.76470588

-5575 34 61.76470588

-6252.5 35 60

-6932.5 36 58.33333333

-6830 36 61.11111111

-6830 36 61.11111111

-6830 37 62.16216216

-6830 37 62.16216216

-6830 37 62.16216216

-7120 38 60.52631579

-8345 38 60.52631579

-8085 38 60.52631579

-8085 39 61.53846154

-8085 39 61.53846154

-8085 39 61.53846154

-8085 39 61.53846154

-8802.5 40 60-8802.5 41 60.97560976

-8802.5 41 60.97560976

-9332.5 43 60.46511628

-9332.5 44 61.36363636

-9332.5 44 61.36363636

-9332.5 44 61.36363636

-9335 45 60

-9332.5 46 63.04347826

-9950 48 62.5

-9950 48 62.5

-9950 48 62.5-9950 48 62.5

-9950 48 62.5

-9950 48 62.5

-10227.5 49 61.2244898

-11282.5 50 60

-11702.5 52 59.61538462

-11702.5 53 60.37735849

-11702.5 53 60.37735849


73/83

-11702.5 53 60.37735849

-12957.5 55 60

-12957.5 55 60

-13925 57 59.64912281

-13925 57 59.64912281

-14852.5 58 58.62068966

-14780 58 58.62068966-14780 58 58.62068966

-15522.5 59 57.62711864

-15825 60 56.66666667

-15522.5 60 58.33333333

-15830 62 56.4516129

-16147.5 63 55.55555556

-16802.5 64 54.6875

-16802.5 64 54.6875

-17040 64 54.6875

-16162.5 64 56.25

-16570 66 54.54545455

-16492.5 66 56.06060606

-16622.5 67 55.2238806

-16622.5 67 55.2238806

-16622.5 67 55.2238806

-17055 69 53.62318841

-17560 71 53.52112676

-17350 72 54.16666667

-17590 73 53.42465753

-17350 73 54.79452055

-17350 73 54.79452055-17350 73 54.79452055

-18077.5 74 54.05405405

-17677.5 74 54.05405405

-17852.5 75 54.66666667

-17920 76 53.94736842

-17847.5 76 53.94736842

-17847.5 76 53.94736842

-17847.5 76 53.94736842

-17847.5 77 54.54545455

-17847.5 77 54.54545455

-17847.5 77 54.54545455-18407.5 79 53.16455696

-19085 80 52.5

-18910 80 52.5

-18910 80 52.5

-19515 81 51.85185185

-19660 82 51.2195122

-19825 83 50.60240964

-19877.5 84 51.19047619


74/83

-20142.5 85 50.58823529

-20032.5 85 50.58823529

-20032.5 85 50.58823529

-20032.5 85 50.58823529

-20222.5 86 50

-20100 86 50

Profit Factor Average # Trades % Profitable

0 10 20

0 20 45

0 21 57.14285714

0 16 50

0 12 66.66666667

0 12 66.66666667

0 1 0


-37.5 1 0

-717.5 12 66.66666667

-1842.5 12 66.66666667

-6225 16 50

-6767.5 21 57.14285714-3067.5 20 45

-2252.5 10 20


-37.5 1 0

-755 12 66.66666667

-2597.5 23 65.2173913-8345 38 60.52631579

-14852.5 58 58.62068966

-17847.5 77 54.54545455

-20100 86 50


75/83


-20100 86 50

Gross Loss # Trades % Profitable-20100 86 50


76/83


77/83


78/83


79/83


80/83


81/83


82/83


83/83

Settings

Strategy Name MPbased; Profit Target; Stop Loss

Strategy Inputs (3,14,1,40,1,36,58,20,4,5); (false,2250); (false,1250)

Symbol Name ESZ1

Initial Capital 15000

Commission2.5

Backtesting Assumptions Fill Limit price or better. (Classic mode)

Slippage 25

Interest Rate 2

Margin per Contract 0

Minimal Acceptable Rate of Return 2

Degree of Risk Aversion of the Investor Conservative

Number of Standard Deviations 1

Compression 15 Minutes

Bar Magnifier Disabled.

Point Value $50

Start Date 6/15/2011 11:00

End Date 12/1/2011 11:15

Back-Testing Mode Classic

Ask Data Series ESZ1

Bid Data Series ESZ1

esz1 mpbased; profit target; stop loss back-testing strategy performance report2

Documents