matsys1 GBP
Settings
Strategy Name Matsys1(rm).efs
Symbol Name GBP A0-FX
Initial Capital $10,000
Commission per Contract $0
Slippage $0
Interest Rate %5
Margin per Contract $50
Minimal Acceptable Rate of Return %0
Degree of Risk Aversion of the Investor Conservative
Number of Standard Deviations 1
Strategy Performance Summary
All Trades
Long Trades
Short Trades
Net Profit 425 237 188
Gross Profit 432 244 188
Gross Loss (7) (7) 0
Adjusted Net Profit 318 148 250
Adjusted Gross Profit 330 162 250
Adjusted Gross Loss (11) (14) $0.0
Select Net Profit 246 (38) (64)
Select Gross Profit 246 164 82
Select Gross Loss $0.0 (202) (146)
Max Strategy Drawdown (29) (29) (29)
Max Strategy Drawdown (%) (0.0003%) (0.0003%) (0.0003%)
Account Size Required $50 $50 $50
Return on Account 849% 473% 375%
Return on Initial Capital 4% 2% 1%
Return on Max Str Drawdown 1,4% 8% 6%
Profit Factor 61.7145 34.8571 N/A
Adjusted Profit Factor 27.6305 11.6190 N/A
# Type Signal Date Time Price Contracts Profit
Cum. Profit
1 Short Short 04/22/2005 09.45 $1.9162 1 40
40
Cover Long 04/22/2005 13.30 $1.9122 1
2 Buy Long 04/22/2005 13.30 $1.9122 1 25
65
Sell Short 04/22/2005 15.15 $1.9147 1
3 Short Short 04/22/2005 15.15 $1.9147 1 3
68
Cover EOD 04/22/2005 17.00 $1.9144 1
4 Buy Long 04/24/2005 15.00 $1.9134 1 15
83
Sell Short 04/24/2005 16.00 $1.9149 1
5 Short Short 04/24/2005 16.00 $1.9149 1 0
83
Cover EOD 04/24/2005 17.00 $1.9149 1
6 Buy Long 04/25/2005 05.30 $1.9095 1 19
102
Sell Short 04/25/2005 16.45 $1.9114 1
7 Short Short 04/25/2005 16.45 $1.9114 1 3
105
Cover EOD 04/25/2005 17.00 $1.9111 1
8 Buy Long 04/26/2005 06.15 $1.9055 1 4
109
Sell Short 04/26/2005 16.45 $1.9059 1
9 Short Short 04/26/2005 16.45 $1.9059 1 2
111
Cover EOD 04/26/2005 17.00 $1.9057 1
10 Buy Long 04/27/2005 05.30 $1.9000 1 80
191
Sell Short 04/27/2005 09.30 $1.9080 1
11 Short Short 04/27/2005 09.30 $1.9080 1 50
241
Cover Long 04/27/2005 12.30 $1.9030 1
12 Buy Long 04/27/2005 12.30 $1.9030 1 33
274
Sell Short 04/27/2005 14.45 $1.9063 1
13 Short Short 04/27/2005 14.45 $1.9063 1 6
280
Cover EOD 04/27/2005 17.00 $1.9057 1
14 Buy Long 04/28/2005 06.15 $1.9031 1 41
321
Sell Short 04/28/2005 07.45 $1.9072 1
15 Short Short 04/28/2005 07.45 $1.9072 1 8
329
Cover Long 04/28/2005 15.45 $1.9064 1
16 Buy Long 04/28/2005 15.45 $1.9064 1 (7)
322
Sell EOD 04/28/2005 17.00 $1.9057 1
17 Short Short 04/29/2005 06.00 $1.9135 1 20
342
Cover Long 04/29/2005 09.30 $1.9115 1
18 Buy Long 04/29/2005 09.30 $1.9115 1 4
346
Sell Short 04/29/2005 12.00 $1.9119 1
19 Short Short 04/29/2005 12.00 $1.9119 1 56
402
Cover Long 04/29/2005 14.45 $1.9063 1
20 Buy Long 04/29/2005 14.45 $1.9063 1 23
425
Sell EOD 04/29/2005 17.00 $1.9086 1
Total Trade Analysis
All Trades
Long Trades
Short Trades
Total # of Trades 20 10 10
Max Trade Run-up 95 95 68
Max Trade Drawdown (37) (37) (28)
Max Trade Run-up (%) 0.0% 0.0% 0.0%
Max Trade Drawdown (%) (0.0%) (0.0%) (0.0%)
Avg Trade Run-up 34 35 33
Avg Trade Drawdown (11) (14) (8)
Percent Profitable 90.00% 90.00% 90.00%
Avg Trade (win & loss) 21 23 18
Average Winning Trade 24 27 20
Average Losing Trade (3) (7) $0.0
Ratio Avg Win / Avg Loss 6.8 3.8 N/A
Largest Winning Trade 80 80 56
Largest Losing Trade (7) (7) $0.0
Max Consec. Winners 10 7 7
Max Consec. Losers 1 1 1
Largest Consec. Profit 246 217 145
Largest Consec. Loss (7) (7) $0.0
Time Analysis
Compression 15 minutes
Start Date Fri Apr 22 09:45:00 2005
End Date Fri Apr 29 17:00:00 2005
Trading Period 10,515 minutes
Time in the Market 3,990 minutes
Percent in the Market 37.94%
Longest flat period 2,745 minutes
Avg Time in Trades 194 minutes
Avg Time in Winning Trades 208 minutes
Avg Time in Losing Trades 67 minutes
Avg # Bars in Trades 13
Avg # Bars in Winning Trades 14
Avg # Bars in Losing Trades 5.5
Max Run-up Date Wed Apr 27 09:00:00 2005
Max DrawDown Date Tue Apr 26 10:15:00 2005
Daily Rolling Period Analysis
Period Profit
Profit (%) Gross Profit
Gross Loss # Trades
% Profitable
04/22/05 - 04/22/05 68
0.0% 68
0.0 3
100.00%
04/22/05 - 04/24/05 83
0.0% 83
0.0 5
80.00%
04/22/05 - 04/25/05 105
0.0001% 105
0.0 7
85.71%
04/22/05 - 04/26/05 111
0.0001% 111
0.0000 9
88.88%
04/22/05 - 04/27/05 280
0.0002% 0280
0.0 13
92.30%
04/22/05 - 04/28/05 322
0.0003% 329
(7) 16
87.50%
04/22/05 - 04/29/05 425
0.0004% 432
(7) 20
90.00%