Settings 1

TradeStation Strategy Performance Report

Settings
Initial Capital $100.000,00
Commission $0,00
Slippage $0,00
Interest Rate 5,00%
Version Type Intra-Day
Version Number 2000,00
Symbol AUD A0-FX
Description Australia Dollar
Compression 30 min.
Start Date 09/03/2020
End Date 10/04/2020
Display Periods 40
Number of Standard Deviations 1

Strategy Inputs
MBBollingerBand_BBLength 38
MBBollingerBand_BBStdDev 3
MBBollingerBand_BBHPrice ADAPTIVE(H,10)
MBBollingerBand_BBLPrice ADAPTIVE(L,10)

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Summary 1

TradeStation Strategy Performance Report

TradeStation Strategy Performance Report - MB Outperform AUD A0-FX-30 min. (09/03/2020-10/04/2020)

Performance Summary: All Trades

Total Net Profit $295,20 Open position P/L $192,00
Gross Profit $1.433,50 Gross Loss ($1.138,30)

Total # of trades 10 Percent profitable 50,00%

Number winning trades 5 Number losing trades 5

Largest winning trade $718,50 Largest losing trade ($433,60)

Average winning trade $286,70 Average losing trade ($227,66)
Ratio avg win/avg loss 1,26 Avg trade (win & loss) $29,52

Max consec. Winners 2 Max consec. losers 2

Avg # bars in winners 166 Avg # bars in losers 43

Max intraday drawdown ($676,70)

Profit Factor 1,26 Max # contracts held 17.000
Account size required $676,70 Return on account 43,62%

Performance Summary: Long Trades

Total Net Profit ($102,00) Open position P/L $192,00
Gross Profit $673,40 Gross Loss ($775,40)

Total # of trades 5 Percent profitable 40,00%

Number winning trades 2 Number losing trades 3

Largest winning trade $486,20 Largest losing trade ($433,60)

Average winning trade $336,70 Average losing trade ($258,47)
Ratio avg win/avg loss 1,30 Avg trade (win & loss) ($20,40)

Max consec. Winners 1 Max consec. losers 2

Avg # bars in winners 179 Avg # bars in losers 48

Max intraday drawdown ($689,20)

Profit Factor ,87 Max # contracts held 17.000
Account size required $689,20 Return on account -14,80%

Performance Summary: Short Trades

Total Net Profit $397,20 Open position P/L $0,00
Gross Profit $760,10 Gross Loss ($362,90)

Total # of trades 5 Percent profitable 60,00%

Number winning trades 3 Number losing trades 2

Largest winning trade $718,50 Largest losing trade ($212,50)

Average winning trade $253,37 Average losing trade ($181,45)
Ratio avg win/avg loss 1,40 Avg trade (win & loss) $79,44

Max consec. Winners 2 Max consec. losers 1

Avg # bars in winners 158 Avg # bars in losers 36

Max intraday drawdown ($335,70)

Profit Factor 2,09 Max # contracts held 17.000
Account size required $335,70 Return on account 118,32%
11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Trades 1
Trade # Date Time Type Cnts Price Signal Name Entry P/L Cumulative
1 10/03/2020 04:59 Buy 15000 ,66 Buy
12/03/2020 07:31 LExit 15000 ,65 Sell (225,00) (225,00)
2 12/03/2020 07:31 Sell 15000 ,65 Sell
20/03/2020 13:31 SExit 15000 ,60 Buy 718,50 493,50
3 20/03/2020 13:31 Buy 16000 ,60 Buy
23/03/2020 04:59 LExit 16000 ,57 Sell (433,60) 59,90
4 23/03/2020 04:59 Sell 17000 ,57 Sell
24/03/2020 03:01 SExit 17000 ,58 Buy (212,50) (152,60)
5 24/03/2020 03:01 Buy 17000 ,58 Buy
31/03/2020 17:01 LExit 17000 ,61 Sell 486,20 333,60
6 31/03/2020 17:01 Sell 16000 ,61 Sell
02/04/2020 14:31 SExit 16000 ,61 Buy 6,40 340,00
7 02/04/2020 14:31 Buy 16000 ,61 Buy
02/04/2020 20:01 LExit 16000 ,60 Sell (116,80) 223,20
8 02/04/2020 20:01 Sell 16000 ,60 Sell
06/04/2020 12:31 SExit 16000 ,60 Buy 35,20 258,40
9 06/04/2020 12:31 Buy 16000 ,60 Buy
08/04/2020 09:01 LExit 16000 ,61 Sell 187,20 445,60
10 08/04/2020 09:01 Sell 16000 ,61 Sell
08/04/2020 22:31 SExit 16000 ,62 Buy (150,40) 295,20
11 08/04/2020 22:31 Buy 16000 ,62 Buy

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Analysis 1

TradeStation Strategy Performance Report

TradeStation Strategy Performance Report - MB Outperform AUD A0-FX-30 min. (09/03/2020-10/04/2020)

Strategy Analysis
Net Profit $295,20 Open Position $192,00
Gross Profit $1.433,50 Interest Earned $0,00
Gross Loss ($1.138,30) Commission Paid $0,00

Percent profitable 50,00% Profit factor 1,26

Ratio avg. win/avg. loss 1,26 Adjusted profit factor 0,48

Annual Rate of Return 3,78% Sharpe Ratio N/A

Return on Initial Capital 0,30% Return Retracement Ratio N/A
Return on Max. Drawdown 21,41% K-Ratio N/A

Buy/Hold return -3,89% RINA Index 2,30

Cumulative return 2,98% Percent in the market 96,82%

Adjusted Net Profit ($854,94) Select Net Profit $295,20

Adjusted Gross Profit $792,42 Select Gross Profit $1.433,50
Adjusted Gross Loss ($1.647,36) Select Gross Loss ($1.138,30)

Total Trade Analysis

Number of total trades 10
Average trade $29,52 Avg. trade ± 1 STDEV $379,17 / ($320,13)
1 Std. Deviation (STDEV) $349,65 Coefficient of variation 1184,45%

Run-up
Maximum Run-up $1.420,50 Max. Run-up Date 19/03/2020 08:01:00
Average Run-up $260,38 Avg. trade ± 1 STDEV $691,69 / $0,00
1 Std. Deviation (STDEV) $431,31 Coefficient of variation 165,64%

Drawdown
Maximum Drawdown ($436,80) Max. Drawdown Date 23/03/2020 04:59:00
Average Drawdown ($132,66) Avg. trade ± 1 STDEV ($4,19) / ($261,13)
1 Std. Deviation (STDEV) $128,47 Coefficient of variation 96,84%

Reward/Risk Ratios
Net Prft/Largest Loss 0,68 Net Prft/Max Drawdown 0,68
Adj Net Prft/Largest Loss 1,97 Adj Net Prft/Max Drawdown 1,96

Outlier Trades Total Trades Profit/Loss

Positive outliers 0 $0,00
Negative outliers 0 $0,00
Total outliers 0 $0,00

Efficiency Analysis
Total Efficiency
Average Total Efficiency -24,16% Avg. trade ± 1 STDEV 48,05% / -96,37%
11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Analysis 2
1 Std. Deviation (STDEV) 72,21% Coefficient of variation 298,87%

Entry Efficiency
Average Entry Efficiency 43,44% Avg. trade ± 1 STDEV 87,16% / -0,28%
1 Std. Deviation (STDEV) 43,72% Coefficient of variation 100,64%

Exit Efficiency
Average Exit Efficiency 32,40% Avg. trade ± 1 STDEV 61,79% / 3,00%
1 Std. Deviation (STDEV) 29,40% Coefficient of variation 90,74%

Open Position Analysis

Open Average Percent
Position Trade of Average
Unrealized Profit/Loss $192,00 $29,52 550,41%
Time in trade (Days) 1,96 2,97 65,89%

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Annual 1

TradeStation Strategy Performance Report

Annual Trading Summary
Annual Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
YTD $487,20 0,49% 1,43 11 54,55%
12 month $487,20 0,49% 1,43 12 50,00%

Annual Rolling Period Analysis (Mark-To-Market):

Period Net Profit % Gain Profit Factor # Trades % Profitable
20 $487,20 0,49% 1,43 11 54,55%

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Monthly 1

TradeStation Strategy Performance Report

Monthly Trading Summary
Monthly Average Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
January $0,00 N/A N/A 0,00 N/A
February $0,00 N/A N/A 0,00 N/A
March $343,20 0,34% 1,39 6,00 50,00%
April 144,00 0,14% 1,53 6,00 50,00%
May 0,00 N/A N/A 0,00 N/A
June 0,00 N/A N/A 0,00 N/A
July 0,00 N/A N/A 0,00 N/A
August 0,00 N/A N/A 0,00 N/A
September 0,00 N/A N/A 0,00 N/A
October 0,00 N/A N/A 0,00 N/A
November 0,00 N/A N/A 0,00 N/A
December 0,00 N/A N/A 0,00 N/A

Monthly Period Analysis (Mark-To-Market):

Period Net Profit % Gain Profit Factor # Trades % Profitable
4/20 $144,00 0,14% 1,53 6 50,00%
3/20 $343,20 0,34% 1,39 6 50,00%

Monthly Rolling Period Analysis (Mark-To-Market):

Period Net Profit % Gain Profit Factor # Trades % Profitable
4/20 $144,00 0,14% 1,53 6 50,00%
3/20-4/20 $487,20 0,49% 1,43 12 50,00%

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Weekly 1

TradeStation Strategy Performance Report

Weekly Trading Summary
Weekly Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
06/04/2020 $192,00 0,19% 2,03 4 50,00%
30/03/2020 ($116,60) (0,12%) 0,40 4 50,00%
23/03/2020 $198,30 0,20% 1,54 3 33,33%
16/03/2020 $30,50 0,03% 1,11 2 50,00%
09/03/2020 $183,00 0,18% 1,81 2 50,00%

Weekly Rolling Period Analysis (Mark-To-Market):

Period Net Profit % Gain Profit Factor # Trades % Profitable
06/04/2020 $192,00 0,19% 2,03 4 50,00%
30/03/2020-11/04/2020 $75,40 0,08% 1,20 8 50,00%
23/03/2020-11/04/2020 $273,70 0,27% 1,37 11 45,45%
16/03/2020-11/04/2020 $304,20 0,30% 1,30 13 46,15%
09/03/2020-11/04/2020 $487,20 0,49% 1,39 15 46,67%

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Daily 1

TradeStation Strategy Performance Report

Daily Trading Summary
Daily Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
4/10 $68,80 0,07% N/A 0 N/A
4/09 $129,60 0,13% N/A 0 N/A
4/08 ($249,60) (0,25%) 0,00 2 0,00%
4/07 $163,20 0,16% N/A 1 100,00%
4/06 $80,00 0,08% 3,17 2 50,00%
4/04 $11,20 0,01% N/A 1 100,00%
4/03 $60,80 0,06% N/A 1 100,00%
4/02 ($163,20) (0,16%) 0,00 3 0,00%
4/01 $43,20 0,04% N/A 1 100,00%
3/31 ($78,80) (0,08%) 0,11 2 50,00%
3/30 $10,20 0,01% N/A 1 100,00%
3/28 $44,20 0,04% N/A 1 100,00%
3/27 $161,50 0,16% N/A 1 100,00%
3/26 $124,10 0,12% N/A 1 100,00%
3/25 $95,20 0,10% N/A 1 100,00%
3/24 $90,10 0,09% 2,83 2 50,00%
3/23 ($316,80) (0,32%) 0,00 2 0,00%
3/21 ($48,00) (0,05%) 0,00 1 0,00%
3/20 ($457,00) (0,45%) 0,00 2 0,00%
3/19 ($120,00) (0,12%) 0,00 1 0,00%
3/18 $346,50 0,34% N/A 1 100,00%
3/17 $225,00 0,22% N/A 1 100,00%
3/16 $84,00 0,08% N/A 1 100,00%
3/14 ($34,50) (0,03%) 0,00 1 0,00%
3/13 $298,50 0,30% N/A 1 100,00%
3/12 $55,50 0,06% 1,63 2 50,00%
3/11 $57,00 0,06% N/A 1 100,00%
3/10 ($193,50) (0,19%) 0,00 1 0,00%

Daily Rolling Period Analysis (Mark-To-Market):

Period Net Profit % Gain Profit Factor # Trades % Profitable
4/10 $68,80 0,07% N/A 0 N/A
4/09-4/10 $198,40 0,20% N/A 0 N/A
4/08-4/10 ($51,20) (0,05%) 0,79 2 100,00%
4/07-4/10 $112,00 0,11% 1,45 3 100,00%
4/06-4/10 $192,00 0,19% 1,67 5 80,00%
4/04-4/10 $203,20 0,20% 1,71 6 83,33%
4/03-4/10 $264,00 0,26% 1,92 7 85,71%
4/02-4/10 $100,80 0,10% 1,22 10 60,00%
4/01-4/10 $144,00 0,14% 1,32 11 63,64%
3/31-4/10 $65,20 0,06% 1,12 13 61,54%
3/30-4/10 $75,40 0,08% 1,14 14 64,29%
3/28-4/10 $119,60 0,12% 1,22 15 66,67%
3/27-4/10 $281,10 0,28% 1,52 16 68,75%
3/26-4/10 $405,20 0,40% 1,75 17 70,59%
3/25-4/10 $500,40 0,50% 1,93 18 72,22%
3/24-4/10 $590,50 0,59% 2,01 20 70,00%
3/23-4/10 $273,70 0,27% 1,30 22 63,64%
3/21-4/10 $225,70 0,23% 1,24 23 60,87%
11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Daily 2
3/20-4/10 ($231,30) (0,23%) 0,84 25 56,00%
3/19-4/10 ($351,30) (0,35%) 0,77 26 53,85%
3/18-4/10 ($4,80) (0,00%) 1,00 27 55,56%
3/17-4/10 $220,20 0,22% 1,14 28 57,14%
3/16-4/10 $304,20 0,30% 1,20 29 58,62%
3/14-4/10 $269,70 0,27% 1,17 30 56,67%
3/13-4/10 $568,20 0,57% 1,36 31 58,06%
3/12-4/10 $623,70 0,62% 1,38 33 57,58%
3/11-4/10 $680,70 0,68% 1,41 34 58,82%
3/10-4/10 $487,20 0,49% 1,26 35 57,14%

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Win | Loss 1

TradeStation Strategy Performance Report

Winning Trade Analysis
Number of winning trades 5
Avg. winning trade $286,70 Avg. win ± 1 STDEV $594,10 / ($20,70)
1 Std. Deviation (STDEV) $307,40 Coefficient of variation 107,22%

Largest profit $718,50 Largest consec. profit $718,50

% of Net Profit 243,39% % of Net Profit 243,39%

Consecutive Winning Series Data

Consec. # of Average Average Loss
Winners Series Gain/Series Next Trade
1 1 $718,50 ($433,60)
2 2 $357,50 ($133,60)

Losing Trade Analysis

Number of losing trades 5
Avg. losing trade ($227,66) Avg. loss ± 1 STDEV ($104,26) / ($351,06)
1 Std. Deviation (STDEV) $123,40 Coefficient of variation 54,20%

Largest loss ($433,60) Largest consec. loss ($646,10)

% of Net Profit 146,88% % of Net Profit 218,87%

Consecutive Losing Series Data

Consec. # of Average Average Gain
Losers Series Loss/Series Next Trade
1 3 ($164,07) $376,85
2 1 ($646,10) $486,20

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999
 Time 1

TradeStation Strategy Performance Report

Time Analysis (Days)
Trading period
Years 0,09
Months 1,04
Weeks 4,51
Days 31,69

Time in the market 32

Percent in the market 96,82%
Longest flat period 0,00

Avg. time in trades 2,97

Avg. time between trades 0,00

Avg. time in winning trades 4,65

Avg. time between winning trades 0,95

Avg. time in losing trades 1,29

Avg. time between losing trades 5,82

Equity Curve Analysis

Avg. time between peaks (days) N/A

Maximum Equity Run-up (daily) $1.444,50 19/3/2020 1,45%

Maximum Equity Drawdown (daily) ($1.378,70) 24/3/2020 1,36%

Average Monthly Return

Standard Deviation of Monthly Returns

11/04/2020 18:20:37 Printed using TradeStation 2000i by Omega Research, Inc. (c) 1999