Score Card for Tutorial01

08 Sep 2011 10:48:43 UTC

Solution Characteristics
Solution Name

Start Date

Tutorial01

End Date

01 Jan 1999

Instruments

08 Sep 2011

CAC 40

Total Score: 0
Score Summary
Metrics

Value

Score

Annualized Sharpe ratio

0.37

-0

Annualized Sortino ratio

0.53

-2

-11.4 %

-36

No

-10

Maximum Drawdown
Standard Execution Costs

You might improve your strategy by reducing the drawdown period and amount, increasing the
Sharpe ratio, increasing the Sortino ratio, activating standard execution costs.
Score is capped at 200 if standard execution costs are not activated.
Score is 0 if backtest duration is shorter than 90 days or number of trades is less than 30.

http://algodeal.com/

-108 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

Performance Summary
Metrics

Value

Total Return

30.7 %

Annualized Return

2.1 %

Annualized Volatility

5.8 %

Maximum Drawdow (EUR)

-9,363.28

Maximum Drawdown Length (days)

1,176

Drawdown Average Length (days)

167

Maximum Exposition (EUR)

64,545.99

Required Initial Cash (EUR)

59,887.40

Monthly Return Skewness

0.30

Monthly Return Kurtosis

42.51

Trades Summary (EUR)

Metrics

All Trades

Total Net Profit

Long Trades

Short Trades

18,370.93

18,370.93

0.00

Gross Profit

127,813.18

127,813.18

0.00

Gross Loss

-109,442.24

-109,442.24

0.00

504

504

55.2 %

55.2 %

0.0 %

Number of Winning Trades

278

278

Number of Losing Trades

226

226

36.45

36.45

0.00

459.76

459.76

0.00

-484.26

-484.26

0.00

0.95

0.95

1.00

2,930.96

2,930.96

0.00

-3,587.35

-3,587.35

0.00

Largest Winner as % of Gross Profit

2.3 %

2.3 %

Largest Loser as % of Gross Loss

3.3 %

3.3 %

0.35

0.35

0.00

3.9 %

3.9 %

0.0 %

Total Number of Trades

Profitable Trades

Average P/L per Trade

Average Profit per Winning Trade
Average Loss per Losing Trade
Payout Ratio: Profit per 1 EUR loss
Largest Winning Trade
Largest Losing Trade

Average Holding Period (days)

Time in Market

http://algodeal.com/

-208 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

Monthly Return (EUR)

Year

Jan

1999

Feb

Mar

0.0 %

1.2 %

Apr

May

Jun

-0.7 %

-1.4 %

0.0 %

-0.3 % 11.5 %

-1.4 %

Jul

Aug

Sep

Oct

Nov

Dec

Yearly

-0.7 %

2.2 %

2.5 %

0.8 %

-0.1 %

0.9 %

4.8 %

Yearly
(USD)
4.5 %

-1.6 %

1.4 %

-0.0 %

-0.7 %

0.0 %

2.3 %

2.5 %

13.9 %

13.8 %

2000

-4.1 %

4.4 %

2001

-1.1 %

-0.5 %

0.3 %

3.0 %

-1.7 %

0.2 %

0.3 %

2.5 %

-5.4 %

4.3 %

-0.1 %

-0.3 %

1.1 %

1.3 %

2002

1.0 %

-1.3 %

0.0 %

-0.2 %

-0.7 %

-0.1 %

-8.3 %

5.4 %

-4.0 %

2.3 %

-0.4 %

1.2 %

-5.5 %

-5.9 %

2003

-0.7 %

-0.8 %

1.8 %

1.3 %

0.6 %

2.1 %

-0.2 %

0.0 %

-1.0 %

0.9 %

1.1 %

0.2 %

5.4 %

6.6 %

2004

0.0 %

0.3 %

0.8 %

-0.2 %

0.7 %

0.6 %

-0.3 %

-0.6 %

0.0 %

0.9 %

0.0 %

0.2 %

2.4 %

2.9 %

2005

0.0 %

0.0 %

0.2 %

-0.6 %

0.0 %

0.0 %

0.0 %

0.0 %

0.0 %

0.0 %

0.2 %

0.0 %

-0.3 %

-0.3 %

2006

0.7 %

-0.1 %

0.4 %

-0.2 %

2.7 %

0.2 %

0.0 %

0.9 %

-0.4 %

0.0 %

0.0 %

-0.7 %

3.6 %

4.4 %

2007

0.0 %

0.5 %

-0.9 %

0.0 %

0.0 %

-1.1 %

0.8 %

0.4 %

0.8 %

0.0 %

1.9 %

0.5 %

3.0 %

3.5 %

2008

2.8 %

0.5 %

0.3 %

-0.1 %

0.4 %

-0.1 %

-0.1 %

-0.4 %

-0.6 %

-4.5 %

-2.6 %

2.8 %

-1.9 %

-2.3 %

2009

-3.8 %

-1.0 %

2.6 %

0.2 %

0.5 %

1.9 %

-0.0 %

0.0 %

-0.0 %

0.1 %

2.3 %

0.4 %

3.0 %

3.6 %

2010

-0.7 %

-0.9 %

0.0 %

-0.8 %

-0.9 %

0.3 %

-0.2 %

0.1 %

1.0 %

0.5 %

-0.6 %

-0.5 %

-2.7 %

-3.2 %

2011

1.1 %

-0.2 %

0.5 %

0.0 %

0.0 %

0.0 %

0.0 %

0.0 %

0.0 %

1.4 %

1.7 %

Time Window Analysis

1 month

3 months

6 months

12 months

Average Return

0.2 %

0.6 %

1.2 %

2.3 %

Average Volatility

1.8 %

2.7 %

3.7 %

5.3 %

Medium Return

1.6 %

3.5 %

1.9 %

3.9 %

Maximum Return

11.5 %

16.0 %

14.1 %

17.4 %

Minimum Return

-8.3 %

-9.0 %

-10.3 %

-9.6 %

http://algodeal.com/

-308 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

Daily Return Distribution (EUR)

3000
2800
2600
2400
2200
2000

1600
1400
1200
1000
800
600
400
200
0
-5.0

-4.5

-4.0

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Return (%)

http://algodeal.com/

-408 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

3.5

4.0

4.5

5.0

Frequency

1800

Trade Return Distribution (EUR)

85
80
75
70
65
60
55

45
40
35
30
25
20
15
10
5
0
-8

-7

-6

-5

-4

-3

-2

-1

Return (%)

http://algodeal.com/

-508 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

Frequency

50

Exposition (EUR)

65,000
60,000
55,000
50,000
45,000
40,000
35,000
30,000
25,000
20,000
15,000
10,000
5,000
0
2000

2001

2002

2003

2004

http://algodeal.com/

2005

2006

2007

2008

2009

-608 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

2010

2011

Long Exposition (EUR)

65,000
60,000
55,000
50,000
45,000
40,000
35,000
30,000
25,000
20,000
15,000
10,000
5,000
0
2000

2001

2002

2003

2004

http://algodeal.com/

2005

2006

2007

2008

2009

-708 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

2010

2011

Short Exposition (EUR)

0.0000000

2000

2001

2002

2003

2004

http://algodeal.com/

2005

2006

2007

2008

2009

-808 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

2010

2011

Portfolio Equity (EUR)

82.5 K

Equity

80 K
77.5 K
75 K
72.5 K
70 K
67.5 K
65 K
62.5 K
60 K
57.5 K
2500

Pnl

0
-2500
0

Drawdown

-5000

2000

2001

2002

2003

2004

http://algodeal.com/

2005

2006

2007

2008

2009

-908 Sep 2011 10:48:43 UTC

Tutorial01 (id:1314193248098046000-3997-1)

2010

2011