SP500-INDEX FUTURES CONTRACT RESULTS (updated monthly) See trade page for current status.
SPFUTURESHRLY042202_013103SPYnu.M
ENTRY EXIT CLOSE
Type Bar# Time Price Bar# Time Price P/L
Date 020507
B 9 73 1000 1051.5 111 1400 1095.0 391.50
Date 020628
S 10 362 1200 999.5 379 1300 955.5 440.00
Date 020708
S 10 396 900 984.3 415 1200 941.8 425.00
Date 020710
B 10 416 1300 942.0 433 1400 928.0 -140.00
Date 020802
B 11 553 1400 864.3 582 1100 877.5 145.20
Date 020829
B 10 702 1100 912.2 759 1200 904.2 -80.00
Date 020911
S 10 765 1300 913.5 778 1000 885.5 280.00
Date 021002
S 11 881 900 837.5 894 1400 824.5 143.00
Date 021015
S 11 957 1300 874.0 1005 1300 879.5 -60.50
Date 021121
S 10 1172 1200 930.2 1189 1300 928.3 19.00
Date 030127
B 11 1511 1300 848.3 1546 1600 857.0 95.70 (OPEN TRADE)
File Name $WnLng $LssLg $Long $WnSht $LsSht $Short $Wins $Loss Net$
SPFUTURESHRLY042202_013632 -220 412 1307 -60 1247 1939 -280 1659
HISTORICAL Test REPORT SPYnu.MDL Data : SPFUTURESHRLY042202_013103.txt
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All Trades
Total Net Profit 1659
Gross Trading Profit 1939 Gross Trading Loss -280
Total Number Trades 11 Percentage profitable 72.73
Number Winning Trades 8 Number Losing Trades 3
Biggest Winner 440 Biggest Loser -140
Average Winning Trade 242.43 Average Losing Trade -93.50
Ratio avg win/avg loss 2.59 Ave trade(win & loss) 150.81
Max Unrecognized Gain 201 Max Adverse Posn -427
Max Consec Winners 3 Max Consec Losers 1
Average # bars in winners 22.62 Average # bars in losers 40.67
Average DrawDown -180 StanDev Agv DD 158
Mx Intday d/down(020903) -490 Sharpe Ratio 1.99
Max Closed Draw Down -140 Max Number Posns 11
Profit Factor 6.91
Return on 10000 16.59 Return on account, %/year 21.86
BarsInMkt 303 %Bars 20 $ / Bar In Mkt 5.47
Optimal Capital 21 TWR, annualized 1.00
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Long Trades
Total Net Profit 412
Gross Trading Profit 632 Gross Trading Loss -220
Total Number Trades 5 Percentage profitable 60.00
Number Winning Trades 3 Number Losing Trades 2
Biggest Winner 392 Biggest Loser -140
Average Winning Trade 211 Average Losing Trade -110
Ratio avg win/avg loss 1.92 Ave trade(win & loss) 82
Average # bars in winners 34.00 Average # bars in losers 37.00
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Short Trades
Total Net Profit 1247
Gross Trading Profit 1307 Gross Trading Loss -60
Total Number Trades 6 Percentage profitable 83.33
Number Winning Trades 5 Number Losing Trades 1
Biggest Winner 440 Biggest Loser -60
Average Winning Trade 261 Average Losing Trade -60
Ratio avg win/avg loss 4.32 Ave trade(win & loss) 207.75
Average # bars in winners 15.80 Average # bars in losers 48.00
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