Summary
2012 2C&MM50 FTSEMIB FUT 15 (|FMIB1505)
Simulation Date 12/04/2012 20:36:02 35902 15 Minute Bars 17/03/2008 09:15 Through 28/03/2012 17:40 (1472 Days)
Points Only Test
Performance
Profit 18530.5500 Pts
Performance N/A
Annualized Performance N/A
Buy & Hold Profit -14438.9500 Pts
Buy & Hold Performance N/A
Buy & Hold Annualized Performance N/A

Trade Summary
Total Trades 1296
Trade Efficiency -18.61 %
Average Profit/Average Loss N/A

Profitable Trades
Total 383
Long 195
Short 188
Average Profit 367.8833 Pts
Highest Profit 1847.1000 Pts
Lowest Profit 2.1000 Pts
Most Consecutive 7

Unprofitable Trades
Total 913
Long 453
Short 460
Average Loss -134.0336 Pts
Highest Loss -1087.9000 Pts
Lowest Loss -2.9000 Pts
Most Consecutive 13

Maximum Position Excursions
Long Favorable 2722.1000 Pts
Short Favorable 3202.1000 Pts
Long Adverse -1362.9000 Pts
Short Adverse -1057.9000 Pts

Trade Efficiency
Average Entry 49.62 %
Average Exit 31.69 %
Average Total -18.61 %
Average Long Entry 48.74 %
Average Long Exit 33.67 %
Average Long Total -17.59 %
Average Short Entry 50.50 %
Average Short Exit 29.70 %
Average Short Total -19.64 %

Performance Indices
Buy & Hold Index 228.34 %
Profit/Loss Index 13.15 %
Reward/Risk Index 76.75 %

Accounting
Initial Equity 0.0000 Pts
Trade Profit 140899.3000 Pts
Trade Loss -122372.7000 Pts
Commissions 10234.4500 Pts
Interest Credited 0.0000 Pts
Interest Charged 0.0000 Pts
Final Equity 18530.5500 Pts
Open Positions 152.1000 Pts

Account Variation
Highest Account Balance 22702.9500 Pts
Lowest Account Balance -5614.0500 Pts
Highest Portfolio Value 2812.1000 Pts
Highest Open Drawdown -5614.0500 Pts
Highest Closed Drawdown -5565.1000 Pts

Account Events
Margin Calls 0
Overdrafts 0

Profitable Timing
Average Trade Length 62
Longest Trade Length 197
Shortest Trade Length 2
Total Trade Length 23983

Unprofitable Timing
Average Trade Length 12
Longest Trade Length 76
Shortest Trade Length 2
Total Trade Length 11867

Out of Market Timing
Average 25
Longest 51
Total 51