assumptions:
$10,000 initial investment
all profits re-invested
$20.00 R/T slippage and commission
no management fee
this report shows results as of 9-30-2009 back 3 years.
| Cummulative P/L |
593.41% |
|
|
|
|
|
|
| Avg Annual Return |
67.36% |
|
Std Dev of Annual Returns |
|
48.29% |
| Avg Monthly Return |
5.02% |
|
Std Dev of Monthly Return |
|
|
6.42% |
| Avg Weekly Return |
1.17% |
|
Std Dev of Weekly Returns |
|
2.92% |
| Avg Daily Return |
0.24% |
|
Std Dev of Daily Returns |
|
|
1.48% |
| Best 12-Month Period |
129.56% |
|
Skewness |
|
|
|
1.00 |
| Worst 12-Month Period |
32.54% |
|
Kurtosis |
|
|
|
1.01 |
| % Years Profitable |
100.00% |
|
Sharpe Ratio |
|
|
2.48 |
| % Months Profitable |
82.93% |
|
Sortino Ratio |
|
|
12.46 |
| % Weeks Profitable |
66.86% |
|
CMGR |
|
|
|
4.84% |
| % Days Profitable |
40.72% |
|
CAGR |
|
|
|
76.26% |
| |
|
|
|
|
|
|
|
|
| Largest Drawdowns |
|
|
Maximum Drawdown % |
|
|
-11.42% |
| |
08/22/2007 |
-11.42% |
|
Months in Max Drawdown |
|
|
1.05 |
| |
04/02/2007 |
-8.69% |
|
Max Drawdown Date |
|
|
08/22/2007 |
| |
01/08/2007 |
-7.72% |
|
Average Months to Recovery |
|
0.13 |
| |
10/02/2006 |
-6.65% |
|
Longest Period Between Equity Peaks (months) |
2.63 |
| |
11/12/2007 |
-5.89% |
|
Average Months to New Equity Peak |
|
0.31 |
