This backtest report summarizes the performance of a trading strategy over 210 trades. The strategy started with $100,000 in initial capital and ended with $2,798,648 in ending capital, for a total net profit of $2,698,648 or 2698.65%. The strategy had 152 winning trades with an average profit of $19,944 or 8.99% and 58 losing trades with an average loss of $5,740 or -4.59%. The maximum drawdown was -$142,466 or -19.75% and risk-adjusted returns were positive.

1. Sector.Rotation - Backtest Report Page 1 of 1
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 2798648.55 2798648.55 100000.00
Net Profit 2698648.55 2698648.55 0.00
Net Profit % 2698.65 % 2698.65 % 0.00 %
Exposure % 78.72 % 78.72 % 0.00 %
Net Risk Adjusted Return % 3428.37 % 3428.37 % N/A
Annual Return % 13.92 % 13.92 % 0.00 %
Risk Adjusted Return % 17.68 % 17.68 % N/A
All trades 210 210 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss 12850.71 12850.71 N/A
Avg. Profit/Loss % 5.24 % 5.24 % N/A
Avg. Bars Held 74.31 74.31 N/A
Winners 152 (72.38 %) 152 (72.38 %) 0 (0.00 %)
Total Profit 3031612.47 3031612.47 0.00
Avg. Profit 19944.82 19944.82 N/A
Avg. Profit % 8.99 % 8.99 % N/A
Avg. Bars Held 81.84 81.84 N/A
Max. Consecutive 20 20 0
Largest win 159763.76 159763.76 0.00
# bars in largest win 141 141 0
Losers 58 (27.62 %) 58 (27.62 %) 0 (0.00 %)
Total Loss -332963.92 -332963.92 0.00
Avg. Loss -5740.76 -5740.76 N/A
Avg. Loss % -4.59 % -4.59 % N/A
Avg. Bars Held 54.59 54.59 N/A
Max. Consecutive 5 5 0
Largest loss -20165.83 -20165.83 0.00
# bars in largest loss 52 52 0
Max. trade drawdown -84047.22 -84047.22 0.00
Max. trade % drawdown -38.90 % -38.90 % 0.00 %
Max. system drawdown -142466.09 -142466.09 0.00
Max. system % drawdown -19.75 % -19.75 % 0.00 %
Recovery Factor 18.94 18.94 N/A
CAR/MaxDD 0.70 0.70 N/A
RAR/MaxDD 0.90 0.90 N/A
Profit Factor 9.10 9.10 N/A
Payoff Ratio 3.47 3.47 N/A
Standard Error 307737.40 307737.40 0.00
Risk-Reward Ratio 0.23 0.23 N/A
Ulcer Index 4.59 4.59 0.00
Ulcer Performance Index 1.85 1.85 N/A
Sharpe Ratio of trades 0.86 0.86 0.00
K-Ratio 0.0213 0.0213 -1.#IND
file://C:Program FilesAmiBrokerReportsSector.Rotation-20110107004541421stats.html 1/7/2011